5,831 reputation
21443
bio website blog.smaga.ch
location Hong Kong
age 28
visits member for 3 years, 9 months
seen 16 hours ago

Strats in a commodity trading firm in Hong Kong.


Jul
15
revised Risk-Parity Portfolio Optimization using Extreme Optimization in C#
retagged
Jul
15
comment What commercial financial libraries are available to outsource implementation risk?
So how does it work, their software is open-source but you pay for the maintenance and support?
Jul
14
comment What commercial financial libraries are available to outsource implementation risk?
I edited the question to try to make it clearer I am looking for commercial libraries.
Jul
14
revised What commercial financial libraries are available to outsource implementation risk?
added 45 characters in body; added 11 characters in body
Jul
14
comment What commercial financial libraries are available to outsource implementation risk?
I believe both of them are open-source and hence provide no guarantee for support or maintenance.
Jul
14
asked What commercial financial libraries are available to outsource implementation risk?
Jul
12
comment Do Bond Put Dates always fall on Coupon Dates (for non-zero coupon bonds). Calculation rules for Coupon Dates
We tend to remove courtesies as they add noise to the questions.
Jul
11
comment Do Bond Put Dates always fall on Coupon Dates (for non-zero coupon bonds). Calculation rules for Coupon Dates
Because a puttable bond by definition has an embedded put, and you are asking question about a puttable bond's structure.
Jul
9
accepted Why is the Drawdown measure not used for portfolio optimization?
Jul
9
comment Why is the Drawdown measure not used for portfolio optimization?
Good answer. I disagree with your first point though, non-sophisticated investors do not care about variance, they care about drawdowns: "how much can I use if I give you my money". I guess it's a matter of point of view. My initial first answer was, any strategy with any kind of asset has a max drawdown of 100% anyway, so it's better to care about variance or, better, expected shortfall of fat-tailed distributions.
Jul
9
revised market-data wiki excerpt
added 167 characters in body
Jul
9
revised
added 185 characters in body
Jul
9
suggested suggested edit on
Jul
9
wiki
Jul
9
suggested suggested edit on market-data tag wiki excerpt
Jul
9
wiki created market-data excerpt
Jul
9
revised Do Bond Put Dates always fall on Coupon Dates (for non-zero coupon bonds). Calculation rules for Coupon Dates
retagged, removed courtesies
Jul
8
revised Using rolling returns in a multivariate linear regression?
deleted 11 characters in body
Jul
7
answered Calculating portfolio allocation beta with different asset classes?
Jul
7
revised What is the Benefit of holding a short option?
edited body