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 Oct 27 awarded Nice Question Jul 28 answered To currency hedge or not to currency hedge (ETFs)? Oct 17 awarded Notable Question Sep 24 awarded Autobiographer Jul 14 comment How to get permanently growing chart within PCA Just looking quickly... try getting all of your variables denominated in USD. So for example usdchf should be chfusd. May 19 comment Why is the Drawdown measure not used for portfolio optimization? You may find "Investing for Retirement: The Defined Contribution Challenge" by Ben Inker of GMO interesting. He derives a dynamic investment strategy which minimizes the drawdown from an expected terminal wealth (he calls this expected shortfall and defines the objective as "minimize, in expectation, how much wealth falls short of what is needed") Apr 3 comment Why systematic divergence between ^VIX and VXX? Come on now, Rich, dont be lazy. ipathetn.com/static/pdf/vix-prospectus.pdf Nov 11 comment R or Matlab code for Multi-Barrier-Options (3 or more underlyings) Shooting to do zero work here, huh? There a bunch of pricing functions here: volopta.com/index.html Oct 14 awarded Commentator Oct 14 comment How to calculate unsystematic risk? The variance of a constant is zero so it doesn't matter. Jun 25 revised How to calculate unsystematic risk? added 72 characters in body Jun 25 answered How to calculate unsystematic risk? Jun 18 answered Why Drifts are not in the Black Scholes Formula May 2 awarded Yearling Mar 13 awarded Popular Question Nov 14 comment Version of Girsanov theorem with changing volatility I also remember something about only requiring that your vol be a bounded process with finite quadratic variation in order for the theorem to be valid at this step: $$d\tilde W_t = (\frac{\mu-r} \sigma )dt + dW_t$$ such that $$d\tilde W_t$$ is still a brownian motion May 2 awarded Yearling Apr 27 comment What is an appropriate hedge ratio for hedging a credit instrument with equity of the same issuer? Hey Tal, maybe check this out: stanford.edu/class/msande444/2011/MS&E444_2011_Group1.pdf Mar 19 comment Time series of PCA - Sign change in factor loadings For all components? When you say loadings, you mean the eigen vectors? Could you post some code? Jan 5 awarded Editor