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Mar
8
revised Comparing Cash Equivalent of risky portfolios
added 164 characters in body
Mar
8
comment Comparing Cash Equivalent of risky portfolios
@Omar Good question. In this particular paper the only reason I see is to make their numbers comparable with the results of other papers. Also note that CE are used for risk premia calculations. I will add this to my answer.
Mar
7
comment Comparing Cash Equivalent of risky portfolios
@Freddy Let's take a step back. The question was simple: "why one number got under unrealistic assumptions is better than another number got under the same unrealistic assumptions?" The answer is: due to the independence of measurment units. That's it.
Mar
7
comment Comparing Cash Equivalent of risky portfolios
@Freddy I undestand your (valid) criticism of expected utility framework, i.e. one number representation. But this has nothing to do with CE specifically.
Mar
7
comment Comparing Cash Equivalent of risky portfolios
@Freddy "this only works if the portfolio is a risk free portfolio" how did you came to that conclusion from my answer? "CE can be identical for two portfolios with entirely different risk reward profiles" Sure, it can. As well as utility. CE introduces no new assumptions to utility framework (apart being able to inverse utility function).
Mar
7
revised Comparing Cash Equivalent of risky portfolios
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Mar
7
revised Comparing Cash Equivalent of risky portfolios
deleted 4 characters in body
Mar
7
comment Comparing Cash Equivalent of risky portfolios
@Freddy sure. updated the answer.
Mar
7
revised Comparing Cash Equivalent of risky portfolios
added 712 characters in body
Mar
7
comment Comparing Cash Equivalent of risky portfolios
@Freddy "CE is suggesting we all set our utility equal" not really.
Mar
7
answered Comparing Cash Equivalent of risky portfolios
Mar
4
reviewed Approve Regression in liquidity risk model of Jarrow/Protter
Mar
4
asked Regression in liquidity risk model of Jarrow/Protter
Mar
4
revised How to perform Empirical Mode Decomposition?
edited tags
Mar
3
reviewed Approve Is F# used in trading systems?
Mar
2
comment Is it worth preserving orderbook structure when building it from individual orders?
@DmitriNesteruk I assume you are re-cosntructing the order book from a raw message stream data coming from an exchange. Then you should also receive messages that a certain order has been executed and handle them properly.
Mar
2
answered Is it worth preserving orderbook structure when building it from individual orders?
Feb
27
comment Why C is still in use especially in area of numerical optimization (instead of C++)?
In such a general form it fits Computational Science much more than here
Feb
23
comment Upper bound concerning Snell envelope
@Paul 1) There doesn't exist any "arbitrage of points" 2) Bounty was not initiated by Christian 3) "It seems not so ethic" to silently crosspost your question and 4) If you cannot give the bounty, the Community can (and will)
Feb
23
comment Upper bound concerning Snell envelope
Crossposted on math.stackexchange.com/questions/302466/… and mathoverflow.net/questions/121744/….