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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
Jan
16
comment Why is Weighted Least Squares necessary in fundamental factor model?
Could you give an example where "the loadings are known" and the factors not? I can imagine what you mean but is this a rigorous statement?
Jan
15
answered Comparing Portfolio Volatility with Index Volatility seems a wrong method?
Jan
14
asked Fixed Income risk attribution in the historical simulation of a sovereign bond portfolio
Jan
14
revised Question about the stochastic differential equation in the Merton model
edited title
Jan
13
comment Why Markov Functional Models (Hunt 2000) are not yet so popular?
Would you like to post the full title of the reference or even tex some formula as an a example? This would be helpful to me.
Jan
9
answered Research methodology of systematic strategies