John

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Jul 13	comment	Equivalency of FX forwards and FX basis swaps for risk-management purposes Swaps always get me mixed up, but it might be helpful to begin by considering a swap where only one payment changes hands and show it's equivalence to the forward. A swap with many payments may turn out to equal a series of forward at different times (no idea if that's really the case, but just speculating).
Jul 10	comment	Using rolling returns in a multivariate linear regression? Freddy and I had some disagreement about what you meant. The answer I would give would be different depending on what you're really talking about.
Jul 9	comment	Using rolling returns in a multivariate linear regression? For equities, I wouldn't think there would be much of an issue with autocorrelation if he were only looking at one month returns. But you're right that the OP is not exactly clear.
Jul 8	comment	Using rolling returns in a multivariate linear regression? I thought I was quite clear that I was talking about the autocorrelation of the rolling return series.
Jul 5	comment	How to better understand trading signals? This is really just a generic attribution problem (see papers.ssrn.com/sol3/papers.cfm?abstract_id=1565134 for guidance on how to do that, but there's a large literature on other techniques). The biggest problem is that your holdings will not necessarily be constant over time. So in some periods you may be 100% long pork bellies and others you're 100% short the Sri Lankan rupee. The approach by Meucci I mention above can help with point in time attribution.
Jul 5	comment	How can I use Entropy-pooling of Atillio Meucci to constuct a portfolio? Based on the comment, it seems he is wondering about how to construct CVaR views, not optimize the portfolio to minimize CVaR, which is what the butterfly example does. It is easy to take a view on the tail, but taking a view on the CVaR is slightly more complicated, which is why he has that separate paper on extreme views.
Jun 26	comment	How to Quantify Headwinds You may want to look up contribution to Value at Risk or Expected Shortfall. This is a more general approach: papers.ssrn.com/sol3/papers.cfm?abstract_id=1565134
Jun 24	comment	Skewness and Kurtosis under aggregation Might want to apply the procedure described here: papers.ssrn.com/sol3/papers.cfm?abstract_id=1635484
Jun 21	comment	Bootstrapping spot rates from treasury yield curve That topic provided one technique to obtain the rates (linear interpolation). Is the answer your looking for the industry standard method, the best method, or something else?
Jun 20	comment	Is a linear combination of GARCH processes also a GARCH process? True, but the answer I provided was mainly for illustrative purposes since you weren't particularly clear about under what conditions, what kind of Garch, etc.
Jun 16	comment	What are the best sources for equity quantitative research? You should add quantivity's twitter feed. I check it every day.
Jun 13	comment	How to annualize dividends paid at varying intervals? Try this instead: en.wikipedia.org/wiki/True_time-weighted_rate_of_return
Jun 12	comment	How to annualize dividends paid at varying intervals? For calculating the statistics, I believe you'd want to look up the formula for a time weighted return.
May 31	comment	Trading Strategies and Portfolio Constructions based on Cross Sectional Regression? You might try picking up a book like QEPM by Chincarini and Kim.
May 18	comment	Measuring co-movement at non-constant intervals I'm not sure this is entirely what the OP is asking, but it seems like it is...
May 15	comment	Is there a closed-form solution for the partial autocorrelation function of a Markov regime-switching process? Tricky question. An MRS model estimated on something like the S&P500 with switching means and variances will be primarily dominated by the regime-switching variance. Regime-switching variance tends to look like Garch, so you can often capture a lot of the effect with that. Also, the regime-switching forecasted means tend to bounce around a lot, so you need to be sure to account for the transaction costs of the switching strategies. Nevertheless, Ang and Bekaert report positive results for international asset allocation. www2.gsb.columbia.edu/faculty/aang/papers/inquire.pdf
May 14	comment	Is there a closed-form solution for the partial autocorrelation function of a Markov regime-switching process? I've played around with MRS models a little in econometric and financial applications, but I wasn't positive on this property.
May 14	comment	Is there a closed-form solution for the partial autocorrelation function of a Markov regime-switching process? I'm aware of the point about ARMA models, but wanted to get to a simpler case just to understand it better. Let me take a look at that paper.
May 4	comment	MPT: Adding constraint on minimum asset weight I disagree that it can be expressed as you did in the other post as groups. The reason is that the groups in that other link can be stated up front. You know what's a bond fund or a stock fund. In this case, you don't know until you run the optimization what these groups effectively are. Recall that the OP wants the constraint to be equal to zero or between those two values. If you already know what should be zero, then it is trivial. I only know how to do it with mixed integer programming, though I imagine something like a genetic algorithm would be possible as well.
May 4	comment	How to measure investors' “experienced” volatility? Garch(1,1) is usually a good starting place. While there's evidence of assymmetry and fractionally integrated volatility, the question is whether you're trying to estimate volatility well or whether you're trying to show someone what their real-time volatility is. Garch(1,1) is probably sufficient for the latter, but not necessarily the former.