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| bio | website | |
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| location | ||
| age | ||
| visits | member for | 2 years, 2 months |
| seen | Mar 14 at 21:11 | |
| stats | profile views | 17 |
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Feb 27 |
comment |
Threshold calculation for buying a mean-reverting asset An interesting paper could be: Yingdong Lv & Bernhard K. Meister: Application of the Kelly-Criterion to Ornstein-Uhlenbeck Processes. But they don't have the a finite time deadline. However, you could use their results to estimate the optimal trading strategy and do some Monte Carlo to incorporate the finite time horizon. However, I have to say that I didnt read the paper in detail. |
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Feb 23 |
revised |
Taylor series expansion (Volatility Trading book) explanation sought deleted 203 characters in body |
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Feb 23 |
comment |
Taylor series expansion (Volatility Trading book) explanation sought The author of the book "Volatility trading" (there will be a new edition in 2013) is quite active on nuclear phynance, there is even a long thread on the book: nuclearphynance.com/Show%20Post.aspx?PostIDKey=110391 |
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Feb 22 |
revised |
Taylor series expansion (Volatility Trading book) explanation sought deleted 15 characters in body |
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Feb 21 |
answered | Taylor series expansion (Volatility Trading book) explanation sought |
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Feb 21 |
revised |
Taylor series expansion (Volatility Trading book) explanation sought I changed small delta to capital delta as this is the more common notation and also like in the book mentioned, some minor change to subscripts in addition |
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Feb 21 |
suggested | suggested edit on Taylor series expansion (Volatility Trading book) explanation sought |
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Feb 14 |
answered | Why does the future price dominate the forward price and why doesn't the long rate fall? |
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Jan 24 |
comment |
Robust-Bayesian optimization in Markowitz framework Continuing the last comment: This gives us $-|\chi||\omega|$ (because $\cos(\delta)$ is $-1$ at that angle). If we now use the notation $\chi=|\chi|$ and $\chi$ being in the interval $[0,1]$ by assumption, we arrive at equation (3). Does that explanation help? |
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Jan 24 |
comment |
Robust-Bayesian optimization in Markowitz framework From eqn (2) to (3), we want to have the worst possible r. The first term on the right side of (2) is constant in our setting given our initial $\vec{\alpha}$ and $\vec{\omega}$. Now, we want to reduce that by as much as possible. In $\chi'\omega|\alpha|$ |\alpha| is again constant, so we are looking for the smallest value of $\chi'\omega$. This can be written as $|\chi||\omega|\cos(\delta)$ with $|\chi|$ and $|\omega|$ the length of the vectors and $\delta$ the angle between them. This is minimal for $\delta=\pi$ (ie both vectors have 180 degrees between them and look in opposite directions) |
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Jan 24 |
revised |
Robust-Bayesian optimization in Markowitz framework Added the next equation in the Golts and Jones (2009) working paper and numbering of the equations |
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Jan 24 |
comment |
Robust-Bayesian optimization in Markowitz framework Regarding the references, I just glimpsed over the nice working paper from Golts and Jones (2009) you cited and the pdf version of an article by Goldfarb and Iyengar (CORC Technical Report TR-2002-03 Robust portfolio selection problems). There, equations (4) and (15) seem to state the same result. Regarding the mathematical steps, I will edit my answer |
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Jan 24 |
awarded | Yearling |
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Jan 24 |
revised |
Robust-Bayesian optimization in Markowitz framework now the derivation is more precise, also improved formatting |
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Jan 24 |
revised |
Robust-Bayesian optimization in Markowitz framework added 47 characters in body |
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Jan 23 |
revised |
Robust-Bayesian optimization in Markowitz framework Better wording and notation |
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Jan 23 |
revised |
Robust-Bayesian optimization in Markowitz framework added 3 characters in body |
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Jan 23 |
revised |
Robust-Bayesian optimization in Markowitz framework Better formatting and wording |
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Jan 23 |
revised |
Robust-Bayesian optimization in Markowitz framework Better formatting and wording |
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Jan 23 |
answered | Robust-Bayesian optimization in Markowitz framework |
