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Jan
3
reviewed Reviewed Market weights for Black-Litterman
Jan
3
reviewed Reviewed How to check if a timeseries is stationary?
Jan
3
reviewed Reviewed Where to download list of all common stocks traded on NYSE, NASDAQ and AMEX?
Jan
3
reviewed Reviewed How to simulate stock prices using variance gamma process?
Jan
3
reviewed No Action Needed Typical risk aversion parameter value for mean-variance optimization?
Jan
3
awarded  Custodian
Jan
3
reviewed No Action Needed Mapping symbols between tickers, Reuters RICs and Bloomberg tickers
Dec
20
awarded  Necromancer
Dec
18
comment Calculating and interpreting cumulative returns is R
@SBS Probably there is a require(TTR) missing. ROC() calculates discrete returns and you convert back with the exponential. You should correct that. Further more, if you model the price directly, try to reduce the sigma. You could also try something like seq(100,100.95,by=0.05) just to get started...
Dec
13
answered What does “primary calendar” mean?
Dec
6
comment What is the right group of durations?
Do you mean the set of Ito Processes with constant coefficients? They will be proportional to $e^{R(t+W_t)-R^2t/2}$ of course and I think the "link" gets lost here because of the $R^2$-term. One more point: If you take $R_+^*$, it is only a group with the operation $*$, not with $+$. Semantically, when refering to duration, we measure the difference of time points. Of course, when using $+$, the group property and therefore the exponential as a homomorphism is lost. Thats why I asked about "group of durations"...
Dec
6
comment What is the right group of durations?
Can you define "group of durations"? you don't mean interest rate sinsitivities right? what is the group operation? And in your point 1, you have an mapping of $\mathbb{R}_+^*$ on what space?
Dec
6
comment Large (5K-10K) non positive definite (particularly near singular) covariance matrices and treatments for Cholesky decomposition
Ok, now we are getting close... :-) I couldn't agree more with what @John said. Keep in mind that parametrizing the curves and modelling the parameters will effectively result in a dimension reduction. If you wanted to use your cholesky decomposition to simulate random paths for example, one realization gives you all the changed curves. Using those, you can reprice ALL your thousands of futures contracts (from your curves) and thus get the price changes. There can be other issues though: You will see them when you get there ;-)
Dec
6
comment Single Most Important Fact about a Fund - Interview Question
Agree, this is a strange question. I think he just wanted to hear "performance". However, I hope the question will be closed.
Dec
5
comment Large (5K-10K) non positive definite (particularly near singular) covariance matrices and treatments for Cholesky decomposition
@acmh I said that. Basically, I suggested to use some kind of dimension reduction techniques. Instead of including all of those highly correlated returns you could take, say 1000 of them and use the returns of a corresponding index or sector instead. Probably, the derivations from the index returns would be about equal the estimation error. Roughly spoken, if you want to have more stable results, there is only one way: Try to reduce the estimation error by taking some bias. See also Richards shrinking suggestion. Thats also what you did by fiddling around with the Eigenvalues.
Dec
5
comment Large (5K-10K) non positive definite (particularly near singular) covariance matrices and treatments for Cholesky decomposition
IMHO, trying to estimate about 50 million parameters from only 1000 observations does not seem to be very wise. First of all, if there are linear dependencies, the matrix will be singular. If you fiddle around with the spectrum (by your method or shrinkage), this property will definitely be lost. You should try to reduce the dimension here. There are numerous ways to do this, all of them have their weaknesses. For a start, you could pool those returns with similar properties into asset classes and the problem becomes more feasible...
Dec
3
revised Min VaR and Min TE as second order cone program
latexified ;-)
Nov
19
comment Are there any other standard rates term structure decomposition than PCA?
@user2763361 can you provide a paper/reference or more details?
Nov
18
comment Library for interactive financial charts
Did you look at GoogleVis? It comes as an R package too and should be quite easy to modify although I didn't put a lot of effort into it.developers.google.com/chart/interactive/docs/gallery
Oct
31
answered compute sharpe ratio for options?