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Mar
3
comment What to use as portfolio diversification measure?
"PC analysis assumes the existence of zero variance portfolios" - no, it does not. It is rather the opposite ... where do you have this from? Any proof or reference?
Mar
3
answered What to use as portfolio diversification measure?
Mar
2
awarded  Taxonomist
Feb
25
revised hedging correlated instruments
added 20 characters in body
Feb
25
answered hedging correlated instruments
Feb
25
answered Markowitz Mean-Variance Implied Returns
Feb
24
answered Copulas simply explained
Feb
24
answered Why an option has sometimes and implied volatility greater than 100%?
Feb
24
comment Why an option has sometimes and implied volatility greater than 100%?
Very good answer! Log-return can be less than $-100\%$ and the price is still positive. And the standard deviation can be whatever.
Feb
24
comment Non-Negative Matrix Factorization - Estimating the Mean
I am aware of the PCA of a covariance matrix and I have seen NNMF being applied to data. But how is NNMF applied to a covariance matrix? A covariance matrix is usually negative too. Is it transformed? In my experience NNMF is hard to interpret.
Feb
23
answered Incorrect characterization of spot rate?
Feb
19
comment VIX-implied Volatility calculator
Right, I agree.
Feb
19
comment VIX-implied Volatility calculator
I would put it a bit differently. CBOE VIX still represents implied (not realized) vol as it is derived from option prices. I think if you can put it like: buy amount $X$ of option 1, buy amount $Y$ of option 2 then you have a portolio and you can use cost-of-carry. But as VIX equals square-root of something you can not buy it. It just does not exist in the market. You can neither buy VIX spot (because VIX is not an asset ....) and you can not buy sqare-root of the portfolio. For cost-of-carry you have to be able to buy spot.
Feb
19
comment VIX-implied Volatility calculator
I added some more details in the answer.
Feb
19
revised VIX-implied Volatility calculator
added 613 characters in body
Feb
19
answered VIX-implied Volatility calculator
Feb
16
reviewed Close Discounting factor depends on
Feb
11
comment Is Geometric Brownian Model suitable for long term price forecast?
In how far does GBM help you in forecasting? As a stochastic model - yes. As a forecast: no.
Feb
10
comment Why do we usually model returns and not prices?
And @emcor. In case you ever heard of white noise and random walks it might be natural to consider returns, maybe aggregate them for longer perios and if needed multiply them by some initial price.
Feb
10
comment Why do we usually model returns and not prices?
Dear @emcor. You are right about this not very insightful comment. Of course if one reads Meucci's work one sees what is meant. So I edited the questions. Thanks for your valuable input.