John

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Jan 4	comment	Yield of a risky bond To find the yield to maturity for zero-coupon or coupon-paying bonds, the calculation is the same whether the bond is default-free or not.
Dec 21	comment	How to enumerate all the possible portfolios with a given target volatility? @SRKX The algorithm I discussed would generate a potentially infinite number of portfolios. I would think you'd have to impose some kind of cardinality constraints (like you can't hold half a share of stock but only a full share) in order to obtain some kind of unique solution. But even then, I imagine the set of all potential portfolios to be quite large.
Dec 21	comment	How to enumerate all the possible portfolios with a given target volatility? What if you just generated random portfolios, scaled their weights to 1, then blended that with the risk-free return to generate the target volatility?
Dec 17	answered	Calculating true value of a stock given the order-book and recent trades
Dec 14	comment	Control Bloomberg logins in a library Perhaps this is better directed to Bloomberg help?
Dec 13	comment	Missing factor in the factor model @Jase If you don't have much data, then the estimates may not be precise. As a practical matter it is easier to estimate in a Bayesian framework, which also imposes a computational burden. This makes backtesting take significantly longer.
Dec 12	revised	Regression extensions edited title
Dec 12	awarded	Enlightened
Dec 12	awarded	Nice Answer
Dec 10	comment	Monty Hall Model Not sure what the practical purpose of this is (regime-switching models of asset returns don't usually show much difference in the mean between regimes). Just think it through a second, if information comes out that the return on the market will be higher, would you try to take advantage of that, to the extent that the market will give you a fair price?
Dec 10	reviewed	Approve suggested edit on Option pricing before Black-Scholes
Dec 7	comment	Kalman Filter Equity Example I read a bit about how to use Particle Filters for on line Bayesian estimation. Don't understand all the math yet, but that might be a good enough reason to use them.
Dec 7	revised	Calculating pre-tax cost of debt added 9 characters in body
Dec 6	comment	Kalman Filter Equity Example Some great resources there. I think I have a vague sense of how the particle filter works, but I don't find it very intuitive. That March 2003 talk says that PF is best for multi-modal or skewed pdfs (implying that EKF or UKF might be better otherwise). Any insight if you only want to use a Kalman filter with t distributed errors?
Dec 4	comment	Why are regressors squared and not ^1.5 or ^2.2 or ^2.5? Instead of performing a non-linear least squares routine, the researcher has effectively imposed constraints on the coefficient. They want to handle non-lineraities without too many extra variables. So they just square it. Parsimony.
Dec 4	answered	How to calculate discounted inflation and growth?
Dec 4	comment	Why are regressors squared and not ^1.5 or ^2.2 or ^2.5? The main reason is parsimony.
Dec 3	answered	Optimality of Kelly criterion in non-normal environment
Nov 30	comment	Is there a piratebay for data(bases)? (here, talking about historical financial data) As far as I can tell, there's nothing more stopping anyone from putting up a torrent of financial databases than there is from torrents of movies/tv/etc. That being said, this site is for professionals, which suggests the question is off-topic, at a minimum.
Nov 30	answered	desk's performance