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| bio | website | |
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| location | ||
| age | ||
| visits | member for | 1 year |
| seen | 4 hours ago | |
| stats | profile views | 153 |
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Nov 4 |
comment |
Why does $\hat{\epsilon}'\hat{\epsilon}$ of a factor model measure risk? In the multivariate case, that term is proportional to the covariance matrix of the error. It follows that in the univariate case it is proportional to the variance of the error. |
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Oct 25 |
comment |
Whare are the common Global Asset Allocation indices? I don't think there's one "right" answer that is generally accepted. Sometimes people will use a 60/40 allocation between the MSCI World and Barcap Global Treasury index. Many of the more interesting ideas I've had for this type of benchmark (like using your priors to construct a portfolio with a target level of risk) are normally thrown out because they aren't transparent enough to the person who is evaluating the performance. |
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Oct 19 |
awarded | Critic |
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Oct 17 |
comment |
Why the interest rate for put-call parity is not constant? @justin I see what you're saying, but I'm not sure that's what I meant. I believe (been a while) I was arguing that the implied dividend yield in the market, working backwards, would be larger for the smaller strike price. Again, similar to your much better thought out answer where you provide the formula. Some cursory double-checking of his graph and the formula you provide suggests that the implied dividend would be higher for the lower stock price strikes. |
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Oct 16 |
comment |
Why the interest rate for put-call parity is not constant? @Justin I didn't say they had anything to do with the strike price. I said I thought it had to do with incorporating dividends into put-call parity, as even your answer addresses. |
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Oct 12 |
reviewed | Approve suggested edit on Searching for pairs-trading in sub O(n^2 t) time |
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Oct 10 |
comment |
Searching for pairs-trading in sub O(n^2 t) time One simple approach might be to break the $n$ symbols into clusters and then only search within the clusters. |
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Oct 10 |
comment |
Which objective function should I choose to minimize tracking error? Because $Var\left(x\right)=E\left(x^{2}\right)-E\left(x\right)^{2}$ |
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Oct 10 |
answered | Which objective function should I choose to minimize tracking error? |
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Oct 10 |
awarded | Citizen Patrol |
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Oct 10 |
comment |
Why for one year (and not two or three) government bonds (there is a spike for Switzerland & Denmark)? I looked up these curves on Bloomberg and don't see the same discontinuity at 1Y for either. |
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Oct 9 |
comment |
How do I model risks for specific short-term short calls in a portfolio with limited data? You need to get the volatility surface and how it changes over time. |
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Oct 6 |
comment |
Can money technically flow in and out of stocks or asset classes? My understanding is that a well-run flow trading desk can provide information that can benefit traders. However, not everyone is able to take advantage of that information. |
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Oct 6 |
comment |
Testing for stock market herding over short periods I would imagine that over a short horizon you can't have decent information about the composition of others' portfolios. |
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Oct 5 |
revised |
Why the interest rate for put-call parity is not constant? Cleaning up some of the latex formulas. |
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Oct 5 |
awarded | Custodian |
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Oct 5 |
reviewed | Approve suggested edit on Is it possible to “steal” financial data on publicly traded companies off the internet? Legally, I mean, what is the truth about “data” as a property |
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Oct 5 |
comment |
Why the interest rate for put-call parity is not constant? I think it has to do with incorporating dividends into put-call parity. Note that $e^{-rt}$ is positive here, which would imply negative interest rates. The rates are more negative for a lower price. Not 100%, but it is like the dividend yield is higher for a lower stock price. |
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Oct 3 |
answered | constructing a minimum variance portfolio |
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Oct 2 |
comment |
When to use Monte Carlo simulation over analytical methods for options pricing? You may want to add something about Greeks. |
