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seen Jan 25 at 20:05

Jul
2
awarded  Curious
Mar
9
awarded  Popular Question
Feb
12
awarded  Yearling
Aug
9
reviewed Approve suggested edit on Average correlation of index/portfolio
Jul
16
reviewed Approve suggested edit on Cointegrating relationships - Johansen in R
Jul
14
reviewed Approve suggested edit on bootstrap tag wiki excerpt
Jul
14
reviewed Approve suggested edit on bootstrap tag wiki
Jul
12
comment The reason behind the selection of a 1 standard deviation movement for self financing delta hedge
Where did you find this "assumption of 1 standard deviation"? There should be no such assumption. Please provide a referenece.
Jul
12
comment how to calculate more efficient volatility figure than historical volatility?
What is "alpha value"?
Jul
10
comment Is there such a thing as “sell-off risk” in bond funds?
@AriB.Friedman Ok, then the answer is: in the end H type investors own less than 500k because if the market is thin they cannot convert it to $500k cash as investors who sold earlier consumed a lot of ask-side liquidity, thus there is not much buyers left to whom you can unload without driving the price down. Is that it?
Jul
10
comment How to make a historical index of a group of materials in which the set of materials changes every month?
This is more relevant for a Operation Research or Supply Chain Management StackExchange.
Jul
9
comment Is there such a thing as “sell-off risk” in bond funds?
@AriB.Friedman Ok. Then the answer: because their mandate or/and risk limits tell them to sell.
Jul
9
comment Is there such a thing as “sell-off risk” in bond funds?
@AriB.Friedman In your example a bondholder didn't lost anything (as he didn't panic) and holders of the funds lost due to sell off the fund manager, right? If yes, what is the question exactly? Why fund managers sell off funds assets on drawdown?
Jul
9
answered How to deal with zeroes in returns?
Jul
9
comment Is there such a thing as “sell-off risk” in bond funds?
As Matt mentioned in the comment there is no specific "sell-off risk" of bond funds and "sell-off risk" as you describe is just a directional exposure. Even if you sell with other shareholders you are still exposed to market impact risk, i.e. risk that knowing about large scale sell-off market participants will exploit it ("predatory trading"). This can also be related to "imperfect accounting" that you mention.
Jul
8
comment Practical quantitative finance problems that could be solved in trustless grid computing environment?
@vonjd Sure, if you can come up with homomorphic encryption scheme. But this is usually an extremely tough problem. That's why I'm curious if there is something that doesn't require one to leak his or her private data but still is of practical interest.
Jul
8
revised Practical quantitative finance problems that could be solved in trustless grid computing environment?
edited title
Jul
8
asked Practical quantitative finance problems that could be solved in trustless grid computing environment?
Jul
6
accepted Principle Component Analysis vs. Cholesky Decomposition for MonteCarlo
Jul
3
comment expected value of the discounted payoff
"Then (with market completeness) one can show that this implies the existence of a risk neutral measure" NA already implies existence of a risk neutral measure, no need for completeness. Completeness helps to have a unique risk-neutral measure.