5,934 reputation
21544
bio website blog.smaga.ch
location Hong Kong
age 28
visits member for 3 years, 10 months
seen yesterday

Strats in a commodity trading firm in Hong Kong.


Dec
23
reviewed Reviewed Can determinant of liquidity risk be used as a dimension or measure of liquidity risk
Dec
23
reviewed Reviewed How can I go about applying machine learning algorithms to stock markets?
Dec
23
reviewed Reviewed Threshold calculation for buying a mean-reverting asset
Dec
23
reviewed Leave Open Using OpenCL video cards to offload Quant Finance calculations, what features should I look for?
Dec
22
reviewed Reviewed Markowitz mean-variance optimization as “error maximization”
Dec
22
reviewed Reviewed What are the best Journals & Conferences in Quantitative Finance?
Dec
22
comment How to enumerate all the possible portfolios with a given target volatility?
@John that's fine for me.
Dec
21
comment How to enumerate all the possible portfolios with a given target volatility?
@Freddy Yes, I would be open to iterative solutions. But I think anything that's not analytic will not allow use to express all portfolios with volatility $\sigma^*$.
Dec
21
comment How to enumerate all the possible portfolios with a given target volatility?
@John I'm not trying to find a portfolio which can give me this volatility, I'm trying to find all the possible portfolios.
Dec
21
asked How to enumerate all the possible portfolios with a given target volatility?
Dec
21
comment How to build an electricity portfolio for an electricity production company?
@bonCodigo just to straighten things up. Is it homework yes or no?
Dec
21
reviewed No Action Needed Annualized Covariance
Dec
21
reviewed No Action Needed Applying interest rate shocks under Solvency II
Dec
21
reviewed No Action Needed round price to tick size
Dec
21
reviewed Reviewed Fitting a generalized logistic distribution
Dec
21
comment Fitting a generalized logistic distribution
I don't think he'll be willing to be using excel.
Dec
18
reviewed Leave Open Annualized Covariance
Dec
13
reviewed Reviewed Cloning Return Streams
Dec
13
reviewed Edit Random matrix theory (RMT) in finance
Dec
13
revised Random matrix theory (RMT) in finance
Fixing Hyperlink, directly to the paper page