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Dec
23
comment Are there any tools or useful algos for identifying corner portfolios?
Are you sure? Check the paper provided in the answer by Bryce, page 4, in the bottom: "The the set of efficient portfolios of risky assets can be computed as a convex combination of any two efficient portfolios."
Dec
23
comment Are there any tools or useful algos for identifying corner portfolios?
Correct me if I'm wrong, but efficient frontier is a linear combination of any two efficient portfolios.
Dec
23
comment easy one step option replication
If you trust your intuition, you will be willing to buy this option for around 10. I will be most happy to sell it to you for 10 and make a risk free profit. Read math.nyu.edu/research/carrp/papers/pdf/faq2.pdf
Dec
16
answered Regressor: Nominal return, continuous return or first difference?
Dec
13
comment Using OpenCL video cards to offload Quant Finance calculations, what features should I look for?
What does "better at parallel multiplication vs parallel addition" mean? Do you want a card that multiplies faster than adds?
Nov
28
answered Treasury Bond Yield Curves in R
Nov
27
revised Which brokers offer a .NET stock trading API?
edited body
Nov
27
answered Which brokers offer a .NET stock trading API?
Nov
27
comment Does entropy pooling apply to distributions with time-varying drift?
@Bytesize Yes, I agree with you. If your drift is known in your investment horizon, then you are fine. But you still need to adapt the method to account for the time dimension.
Nov
26
answered Does entropy pooling apply to distributions with time-varying drift?
Nov
24
comment Changes to option valuation for dollar-pegged underlying
Why "if the dollar rises, the index drops by that amount"? Each point of RTS is valued as 2 USD. Do you mean value in RUB?
Nov
20
answered portfolio optimization from empirical return distributions
Nov
19
answered R code for Ornstein-Uhlenbeck process
Nov
4
answered Why is delta-hedging of ATM options near expiry difficult to do?
Nov
3
answered Show that convexity of call price as a function of the strike is violated
Nov
3
comment How do you synthesize a probability density function (pdf) from equally weighted price data?
@montyhall This is Q&A site, not a discussion forum. In general you shouldn't need to reply to answers.
Oct
31
comment Coin Toss System
Is the coin fair or you don't know?
Oct
27
comment Creating a doubling and halving position
Can you borrow at the risk free rate? Is your market free of arbitrage? If yes, then you can have doubling halving position irrespective of that physical probability $\pi$ value.
Oct
27
awarded  Organizer
Oct
27
revised Volatility models using Rugarch
retag