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Jan
29
comment VIX For Convertible Bonds
Hi, I don't know of such an index but you could try to calculate an index yourself. In the VIX whitepaper, you can see the calculation methodology: cboe.com/micro/vix/vixwhite.pdf I think one of the problems is that the built-in options in convertible bonds all have different underlyings and are usually not of plain vanilla type. Just look at 3-5 random prospectus of convertible bonds - you will usually find lots of different trigger levels and optionalities. That makes it harder to compare the options in two different convertible bonds let alone a whole CB index.
Jan
20
reviewed Approve Using the R package “ termstrc ”
Jan
16
awarded  Popular Question
Jan
15
comment Law of large numbers necessary for APT derivation?
To upvote and accept your answer I had to edit it first so I added the resource. Your explanation is not different from the paper but my question was aiming at something different. The shanken paper answered it though. What confused me was that the APT equation is only an approximate result! (which is unusual for an arbitrage argument and very seldomly stressed in the literature) Of course, $x^\prime \varepsilon=0$ can never hold for independent $\varepsilon_i$ and thus there will never be an arbitrage portfolio, even if arbitrage possibilities are present.
Jan
15
accepted Law of large numbers necessary for APT derivation?
Jan
15
revised Law of large numbers necessary for APT derivation?
added the paper so i can upvote and accept the answer
Jan
14
reviewed Approve How do I specify Thirty360::European day counter in RQuantLib
Jan
14
comment Law of large numbers necessary for APT derivation?
I am sorry I have to downvote this answer. To get the APT relation you could simply assume $x^\prime \varepsilon = 0$ for an arbitrage portfolio... If you think its about the assumptions, feel free to be more specific about "some extent making assumptions of linear regression". Please also explain in detail where these assumptions are needed and how they imply the need for the law of large numbers with respect to the no-arbitrage argument!
Jan
13
revised Law of large numbers necessary for APT derivation?
added 30 characters in body
Jan
13
revised Transaction Costs Measure ATOP: What does it mean and exactly measure?
added 420 characters in body
Jan
13
answered Transaction Costs Measure ATOP: What does it mean and exactly measure?
Jan
13
asked Law of large numbers necessary for APT derivation?
Jan
8
comment Equall Risk Contribution and The Most Diversified Portfolio
What is your question?
Jan
7
comment Are there any tools or useful algos for identifying corner portfolios?
Since its derivation is via the Lagrangian, I think it still holds...
Jan
7
comment Are there any tools or useful algos for identifying corner portfolios?
I think there are two different questions to be considered here: "How to calculate corner portfolios?" and "How to generate the efficent frontier?" The second question can be answered by the mutual fund separation theorem - at least if the asset weights should sum to one (or total wealth). If you impose weight constraints, I don't know. I think the other comments refer to the mutual fund separation theorem.
Jan
7
comment Are there any tools or useful algos for identifying corner portfolios?
@Bryce I downvoted this answer because I cannot find any reference to corner portfolios at all. It is just a basic introduction to some R functions.
Dec
30
comment For the Dothan model $E^Q[B(t)]=\infty$?
You can find the same argument in Brigo/Mercurio - Interest Rate Models - Chapter 3.2.2.
Dec
30
comment For the Dothan model $E^Q[B(t)]=\infty$?
@Roozbe Could you post your solution here for sake of completeness?
Dec
23
reviewed Reject Are e-mini markets manipulated?
Dec
9
comment Book recommendation on robust optimization
Of course its a stretch as I dont know you nor your exact background so you might as well find it easy. You are more than welcome to try and see how you can handle the topics. The book is free for download. If you have a (very) solid background in optimization you schould be able to handle it. For an advanced finance course the books contents will be too much of a specialization I think.