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Apr
11
revised Delta of a standardized at-the-money 30-day put option
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Apr
11
revised Delta of a standardized at-the-money 30-day put option
added 10 characters in body
Apr
11
answered Delta of a standardized at-the-money 30-day put option
Apr
10
comment Debt vs. Equity?
en.wikipedia.org/wiki/Modigliani%E2%80%93Miller_theorem
Apr
6
comment Having trouble finding PPI for commodity using NAICS code
In case you don't have any answers, you could try contacting the BLS. I've had some luck with these government offices responding for issues like this.
Apr
6
comment What quant-related functionalities is R lacking compared to commercial software like Mathematica and Matlab?
Still a good point though.
Apr
2
comment Overview of robust/regularized portfolio selection
That stuff about non-negative matrix factorization is interesting. Thanks for that.
Apr
1
comment Mean-variance portfolio & quadratic programming
The minimize variance or maximize utility approach can easily be cast in terms of a quadratic programming problem, which have been well-studied. As you note, you can't apply quadratic programming to maximizing return given variance because it involves a non-linear constraint. There are a lot of techniques that can do it. Second-order cone programming comes to mind. Most commercial optimizers I've used can do it. There are some open source non-linear optimizers that can as well.
Mar
31
answered Mean-variance portfolio & quadratic programming
Mar
25
comment Backtesting with fundamentals
Python is a full programming language so it has a lot of potential, but you'll probably have to roll up your sleeves and program some of the stuff you want. There is dedicated backtesting software out there, but you'd have to pay for it.
Mar
24
comment Backtesting with fundamentals
What analysis do you need to do that you can't do with numpy and pandas? Why don't you try going through the documentation and playing around with it a bit more?
Mar
23
reviewed Reject suggested edit on What are some research articles on using principle components to generate alpha?
Mar
23
revised How is the MA (moving average model) useful?
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Mar
21
comment Log returns vs Relativizing to Portfolio size of $1
It makes it difficult to recommend something without understanding the context. For instance, if I am performing mean-variance optimization including transaction costs I might think about them differently than if I were trying to evaluate how much transaction costs have impacted my portfolio in the past. In one case, I might think about transaction costs as a function of a change in weights or holdings, while in the other I might think in terms of dollars as a % of AUM. I'm not sure why you would analyze them in terms of log returns.
Mar
21
answered How is the MA (moving average model) useful?
Mar
17
comment Log returns vs Relativizing to Portfolio size of $1
It might be useful if you add more details about what you're trying to do and what the various calculations are.
Mar
14
comment Use of geometric mean for average return of several indices
@ChrisDegnen What you're trying to do doesn't make much sense to me. You don't need a geometric average to get an average of returns cross-sectionally. Arithmetic average is fine. Weighted averages (based on market-cap or something) are also common.
Mar
13
comment Critique against consumption-based asset pricing theory?
Also, this theory isn't all that popular among practitioners. You'd get more information talking to some finance professors or something.
Mar
13
comment Critique against consumption-based asset pricing theory?
@Investor To your first point, advocates of this approach would likely say that it is an abstraction that wouldn't substantially impact the analysis. Others (like yourself) may disagree with that assessment, but oh well. To your second point, this is not agent based modelling. Representative agents are be more-or-less alike. Same utility functions, same preferences, same expectations. Maybe different ages in overlappying generation models. For the most part, all the agents are exposed to the same consumption goods in the same way.
Mar
12
revised Critique against consumption-based asset pricing theory?
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