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Jan
27
asked Black-Litterman: Why should the views be independent of each other?
Jan
27
comment Is the CAPM beta equivalent to the coefficient estimate of an OLS regression?
What are these other methods? Do they rigorously fit into the framework of CAPM?
Jan
26
comment Black-Litterman, how to choose the uncertainty in the views $\Omega$ for smooth transitions form prior to posterior
Thanks for the link to the full publication - I have already read summaries of it ...
Jan
22
accepted Black-Litterman, how to choose the uncertainty in the views $\Omega$ for smooth transitions form prior to posterior
Jan
22
comment Black-Litterman, how to choose the uncertainty in the views $\Omega$ for smooth transitions form prior to posterior
Your edit is a good point!
Jan
21
comment Black-Litterman, how to choose the uncertainty in the views $\Omega$ for smooth transitions form prior to posterior
@Felix do you have a reference for this choice of $\Omega$ in a preprint or article that I can look at for free? Maye one of Meucci's papers? Thanks!
Jan
20
comment Black-Litterman, how to choose the uncertainty in the views $\Omega$ for smooth transitions form prior to posterior
Or where does $\tau$ enter? do we have 2 factors: $(1/c-1) \tau$? Then one would see things quite clearly in the correction term above ...
Jan
20
comment Black-Litterman, how to choose the uncertainty in the views $\Omega$ for smooth transitions form prior to posterior
But you have to agree that setting $1/c-1 = \tau$ leads to what I write above ... I will play with your $c$ factor - thanks for your answer.
Jan
20
asked Black-Litterman, how to choose the uncertainty in the views $\Omega$ for smooth transitions form prior to posterior
Jan
20
revised How to price an option on a dividend-paying stock using the binomial model?
edited title
Jan
19
answered How to price an European call on zero-coupon from the yield curve?
Jan
19
comment How to price an European call on zero-coupon from the yield curve?
What is $R_{t_2}(t_1)$? I guess there is a typo.
Jan
19
revised How to price an European call on zero-coupon from the yield curve?
added 5 characters in body
Jan
19
revised Parametric/Analytical VaR
added 7 characters in body
Jan
19
answered Parametric/Analytical VaR
Jan
19
revised Parametric/Analytical VaR
added 2 characters in body
Jan
19
comment Finding Expression for Optimal Markowitz Weights
Would you like to accept one of the answers?
Jan
19
comment Finding Expression for Optimal Markowitz Weights
Could you show us the derivation of this result? Thanks!
Jan
19
revised Finding Expression for Optimal Markowitz Weights
edited tags
Jan
16
answered Factor immunization for bond portfolio