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location Gold Coast
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visits member for 2 years, 4 months
seen Jan 16 at 4:28

Ex-derivatives trader, current PhD student


Aug
1
answered Derivation of the tangency (maximum Sharpe Ratio) portfolio in Markowitz Portfolio Theory?
Feb
1
comment Empirical or theoretical quant insights that have shaped your thinking?
@Jase Lognin and Solnik (JoF 2002) test the relationship between volatility and correlation directly. Yes, volatility does bias correlation, however, even when this is adjusted for correlation increases with volatility. The effect is asymmetric, that is the effect is only present conditional on volatility from large negative returns, and not volatility from large positive returns. Effectively, correlations do not increase in bull markets they only increase in bear markets.
Nov
26
comment What is the canonical reference for Minimum Variance Portfolio's uniqueness?
JOURNAL OF FINANCIAL AND QUANTITATIVE ANALYSIS September 1972 AN ANALYTIC DERIVATION OF THE EFFICIENT PORTFOLIO FRONTIER Robert C. Merton* In this paper, the efficient portfolio frontiers are derived explicitly, and the characteristics claimed for these frontiers are verified.
Jun
13
comment Measuring co-movement at non-constant intervals
Thanks for the advice. I will look into these areas further - I have Carol ALexanders text and another by Malevergne which I hope will help.
May
18
awarded  Student
May
18
asked Measuring co-movement at non-constant intervals