Karol Piczak
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 Mar 21 comment Is duration additive? $C_{newDur}=A_{fundDur}w_{a} + B_{fundDur}w_{b}$? I don't remember much due to the time span, but I think most textbooks just blatantly assume this is the case, while non-additive shifts seem to pose a not so trivial research problem. I'm sorry I don't feel competent enough to delve into the subject right now, as I've mostly switched fields completely. Maybe someone more versed will be able to chime in. Feb 10 comment Derivation of the tangency (maximum Sharpe Ratio) portfolio in Markowitz Portfolio Theory? It is advisable that you also quote the relevant part instead of simply referring to an external link. External references are not permanent and have a tendency to become unreachable as time passes. Jun 24 comment Pricing Assets in the S&P Dynamic Asset Exchange Are you talking about returns or price levels? Your question and comment differ in that regard. And no, I had another procedure in mind - just try to adjust the variable through multiplying by a scaling factor. E.g. $$P_{t_0}=25 \wedge P_{t_{+1}} = 30 \Rightarrow P_{t_0}^*=100 \wedge P_{t_{+1}}^* = {100\over25} \times30=120$$ At least that's what I think they meant by normalizing. May 30 comment What methods do you use to improve expected return estimates when constructing a portfolio in a mean-variance framework? Thank you for your input and welcome to QF.SE. May 23 comment How is the dividend payment calculated when an asset is disposed on the ex date? I doubt this question fits the Quant.SE format. I suppose Money.SE would be a better place. May 16 comment GJR-GARCH Model In R @Tal OK. Got it. May 16 comment GJR-GARCH Model In R @Tal, I think it's borderline. We have econometrics explicitly stated in the FAQ as OK, so I doubt it's that off. Especially, since we have a number of similar questions with a long history on the site and ARCH modelling is quite common in quant finance. Mar 27 comment Creating a financial market I think this belongs to Money.SE, for sure not Quant.SE. Not a long time ago this would have been closed immediately. I'm surprised there are no close votes yet. To the OP: it's nothing personal - just seems like a good question in a bad place. Jan 8 comment How do you mix quantitative asset allocation with qualitative views? Superb answer. ;-) Dec 10 comment What is the best data structure/implementation for representing a time series? Additionally, if you have some data in mostly regular intervals (e.g. daily) you can use estimates of the actual position (knowing start/end dates and frequency) to further beef up performance for even more juice. Dec 10 comment What tools and libraries may be used to model limit/stop systematic trading? quantstrat is probably the closest one can get out of the box, but I agree with @SRKX - writing your own solution is a viable option. Especially if you need some specific functionality, writing from scratch may be easier in the long run than trying to adapt preexisting solutions (talking from my perspective and small problems like this). Depends on how much testing you need performed. Aug 23 comment What kind of specialized hardware is used in trading? From my understanding Dmitri asks what kind of hardware is used in professional trading apart from commodity servers/workstations. Jul 1 comment Comparing backtesting returns with real trading returns Cross posting your question that fast is generally not considered good taste. Please wait at least a couple of days before reposting on another site. Jun 5 comment Debunking risk premium via “hedging” argument? (or why even in the real world $\mu$ should equal $r$) Maybe I'm missing some point here, but I'm not sure how you're able to "squeeze out" the risk premium by using the proposed construct. Could you elaborate a bit? May 5 comment Correct way to find the mean of annual geometric returns of monthly returns? I don't think in this case your LHS ordering is important. It's simple multiplication only. May 5 comment Correct way to find the mean of annual geometric returns of monthly returns? Hmm, I see there's no easy way to deal with long MathJax lines. And there are some issues with multi-line equations too, which I will report on meta. But it was a nice primer on using LaTeX on SE. I didn't realize I forgot that much syntax. ;-) May 2 comment Understanding CDOs @chris Haven't seen that yet. Informative and hilarious. I loved the leverage part. ;-) May 2 comment Understanding CDOs I think this question fits better at money.stackexchange.com Apr 14 comment What .NET library can I use to solve optimization problems? In that case I'm afraid I don't know of any free, non-GPL, explicitly C# solutions. Apr 14 comment What .NET library can I use to solve optimization problems? Then I assume you mean free as in free beer. ;-)