meta user
network profile
| bio | website | |
|---|---|---|
| location | Vienna, Austria | |
| age | ||
| visits | member for | 10 months |
| seen | May 17 at 13:29 | |
| stats | profile views | 46 |
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Dec 19 |
comment |
How to cluster ETFs to reduce cardinality for portfolio selection I would definitely do a preselection by looking at bid-ask spreads, cost/tracking error, trading volume, NAV premium/discount, replication mode (not necessarily in this order but I would advise it). I think you will find that after this analysis your universe will be narrowed down... |
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Dec 17 |
answered | Price difference between bond cash and futures |
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Nov 29 |
comment |
Recommendations for books to understand the math in quantitative finance papers? @Gravitas : I think most of the book recommendations below are marvellous books but they are merely primers. I doubt you will fully understand recent academical work after reading them. Its like driving a formula 1 car in your first driving lesson. It feels cool but it will not take you very far. Take these texts as a motivation to plunge into some more serious math and take the problems one step at a time. (and after many years things will still be a mystery I can assure you that :-) ) |
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Nov 28 |
revised |
When do Finite Element method provide considerable advantage over Finite Differences for option pricing? deleted 34 characters in body |
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Nov 28 |
answered | When do Finite Element method provide considerable advantage over Finite Differences for option pricing? |
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Nov 9 |
comment |
Exposition of Growth in a Perpetuity Take the dividend discount model for example. In your example the dividend growth rate $g$ would be greater than the investors required return $r$. So the required return should definitely be larger than the dividend growth rate. Finally, you should end up with the price of the stock after all. :-) |
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Nov 8 |
comment |
Is the binomial model wrong? Hm I am reading your reference right now and I have a suggestion. In the part where you say "It is safe to say the set of traders and risk managers that are able to comprehend this differs little form the empty set". I think you should restate this - it is rather a set of measure zero - but definietely not empty. ;-) |
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Nov 8 |
awarded | Custodian |
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Nov 8 |
reviewed | Approve suggested edit on Hurst Exponent Calculation |
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Nov 5 |
revised |
How do you synthesize a probability density function (pdf) from equally weighted price data? added 1857 characters in body |
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Nov 5 |
revised |
Why does $\hat{\epsilon}'\hat{\epsilon}$ of a factor model measure risk? added 4 characters in body |
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Nov 5 |
answered | Why does $\hat{\epsilon}'\hat{\epsilon}$ of a factor model measure risk? |
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Nov 2 |
answered | How do you synthesize a probability density function (pdf) from equally weighted price data? |
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Oct 31 |
awarded | Organizer |
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Oct 31 |
revised |
Conditional or unconditional volatility? edited tags |
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Oct 4 |
comment |
How to show that this weak scheme is a cubature scheme? @TheBridge Is this question still of interest? |
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Oct 4 |
awarded | Mortarboard |
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Oct 3 |
comment |
Encyclopedia of Statistical Tests @DangerMouse I dont doubt that its a great book I just thought it would be great to read a book review before ordering it. (And I almost surely will) Just to see if it is too theoretical or too "shallow" material. |
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Oct 3 |
comment |
Markowitz mean-variance optimization as “error maximization” @vonjd I am sorry but I am missing the point about the maximization of the error here. Sensitive to error, ok, but maximized? In what sense? Maybe it is not maximization in a mathematical but a more dubious sense (form people ciritcal about MV optimization) like: "The optimal portfolio not only maximizes your utility but also your error" (whatever that error means). |
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Oct 3 |
awarded | Critic |
