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Jan
1
answered What are the canonical books on optimization methods?
Jan
1
revised What are the canonical books on optimization methods?
added 3 characters in body; edited tags; edited title
Jan
1
comment What are the canonical global-macro investing books?
Bridewater, Brevan Howard, Soros, AQR being hedge funds, they won't publish their strategies in books... and if you talk to these guys a bit (I mean the big bosses), you'd probably get answers like "it's years of market experience, you can't put this in a book".
Jan
1
revised What are the canonical global-macro investing books?
edited title
Jan
1
comment How to answer this interview programming question about drawdowns?
Not sure here, assume bond return is $r_B$, stock return is $r_S$ and define bond weight $B_0 = 1 - X_0$, then you get $X_1 = X_0 (1+r_S)$ and $B_1 = B_0 ( 1+r_B) = (1-X_0)(1+r_B)$ but if you want to see them as weight, you need to "re-normalize" them like $X_1' = \frac{X_1}{X_1+X_2}$ and same for $B_1'$...
Jan
1
revised How to answer this interview programming question about drawdowns?
edited tags; edited title
Dec
31
comment Why don't real-world probabilities affect the price of a call in a 1-step binomial model?
So, if this answers your question please mark it as accepted.
Dec
31
revised Why don't real-world probabilities affect the price of a call in a 1-step binomial model?
added 34 characters in body
Dec
31
revised Why don't real-world probabilities affect the price of a call in a 1-step binomial model?
fixed math formatting
Dec
31
answered Why don't real-world probabilities affect the price of a call in a 1-step binomial model?
Dec
31
revised What is the difference between book value per share (BVPS) and earning per share(EPS)?
removed courtesies, fixed typos
Dec
31
comment What is the difference between book value per share (BVPS) and earning per share(EPS)?
This is not directly related to quant finance and definitely too basic for this site to be on-topic, see the help center. Also, please pay attention to typos next time.
Dec
23
revised How to use the Girsanov theorem to prove $\hat{W_t}$ is a $\hat{\mathbb P}$-Brownian motion?
edited tags; edited title
Dec
22
comment How to derive this approximation of the risk-neutral expectation of the variance?
I think you are missing a $]$ somewhere around your $\log$ functions.
Dec
22
revised How to derive this approximation of the risk-neutral expectation of the variance?
added 21 characters in body; edited title
Dec
22
reviewed Approve How can i build a portfolio of n assets that maximizes sortino ratio?
Dec
21
revised Why is my Euler discretization error increasing with number of steps?
added 75 characters in body; edited title
Dec
21
comment Why is my Euler discretization error increasing with number of steps?
You should include the correct version of the code in your answer an mark it as accepted.
Dec
21
answered How to calculate weight of two stocks without knowing their correlation?
Dec
21
comment How can i build a portfolio of n assets that maximizes sortino ratio?
You should rephrase your title as a question, explain what SOCP and sortino ratio are (or give links to external resources). It would make the question much more attractive to answer.