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Oct
31
answered compute sharpe ratio for options?
Oct
28
awarded  Nice Question
Oct
23
revised What is the market impact of OTC trading ETFs?
added 44 characters in body
Oct
23
asked What is the market impact of OTC trading ETFs?
Oct
23
comment Examples of Spectral Risk Measures
@statquant Well, the aim is not to try a different spectrum $\phi$ but rather to identify the spectra of other well known risk measures. Brian B: I dont understand your comment about units. The units are irrelevant for a risk measure as far es the spectral property is concerned, right?
Oct
21
revised Examples of Spectral Risk Measures
added 1309 characters in body
Oct
21
accepted When does the Epps effect start?
Oct
18
awarded  Scholar
Oct
18
accepted Is there a Bloomberg field for a bonds (upcoming) coupon dates?
Oct
18
comment Is there a Bloomberg field for a bonds (upcoming) coupon dates?
Thats exactly what I was looking for, thank you.
Oct
17
comment Is there a Bloomberg field for a bonds (upcoming) coupon dates?
Yeah I found those but I didnt want to play around with calenders, weekends, public holidays and so forth. Nevertheless, there is the sad possibility that the field I am looking for does not exist. For now, I only upvoted your answer.
Oct
17
asked Is there a Bloomberg field for a bonds (upcoming) coupon dates?
Oct
16
asked When does the Epps effect start?
Oct
4
awarded  Informed
Oct
2
comment Can option prices be characterised by an ODE?
You can alway use a semidiscretization for your PDE or some kind of Galerkin method to end up with an ODE system. I suppose this would correspond to a process with either discrete timestep or discrete state space but thats a guess.
Sep
30
asked Examples of Spectral Risk Measures
Sep
30
revised Additive portfolio risk decomposition
added 82 characters in body
Sep
30
answered Additive portfolio risk decomposition
Sep
30
comment Asynchronous Data Across Time Zones - RiskMetrics
Be sure to look at this answer: quant.stackexchange.com/questions/7650/data-synchronization
Sep
30
comment What is the correct Stutzer index and Sharpe ratio relation, assuming a normal returns distribution?
I doubt that it makes a lot of sense with only twelve data points but opinions can vary. Some people may argue that its better to calculate something than nothing. If you calculate it, be sure to compare it with the sharpe ratio. One thing I did not mention above is that the equality with the sharpe ratio only holds when we consider the expectations (instead of approximating them by means as in $I_p$ above). So even for this comparison you would want to have more returns...