User user915 - Quantitative Finance Stack Exchange

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	109 reputation	bio	website		visits	member for	2 years
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3

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1

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233

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FX option history

fx history

jul 5 '11 at 14:43 SRKX♦ 4,729

2

5

votes

1

answer

239

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Robust-Bayesian optimization in Markowitz framework

jan 24 at 22:56 philippe 348

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2

votes

3

answers

404

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Trading a synthetic replication of the VVIX (volatility of VIX)

volatility vix

dec 23 at 5:56 Andrew 395

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18

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4

answers

2

kviews

Trading a synthetic replication of the VIX index

vix delta-neutral

dec 23 at 5:05 Andrew 395

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5

votes

2

answers

372

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Comparing MVO with Resampled Efficient Frontier

portfolio-management optimization modern-portfolio-theory mean-variance bootstrapping

sep 28 at 19:05 richard michaud 21

11

votes

3

answers

1

kviews

What methods do you use to improve expected return estimates when constructing a portfolio in a mean-variance framework?

modern-portfolio-theory mean-variance expected-return estimation

feb 1 '11 at 8:09 Anass 81

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2

votes

2

answers

275

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constructing a minimum variance portfolio

portfolio-management

oct 5 at 17:22 chrisaycock♦ 5,260

3

5

votes

6

answers

524

views

Encyclopedia of Statistical Tests

backtesting statistics

mar 5 at 22:16 chrisaycock♦ 5,260

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2

votes

1

answer

354

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How would you hedge this structure?

hedging

nov 24 at 9:03 Community♦ 1

1

2

votes

1

answer

352

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Modelling VIX Futures for risk management

portfolio-management risk-management risk-models vix

feb 12 at 6:35 ITGuy 1

3

votes

3

answers

557

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Markowitz mean-variance optimization as “error maximization”

optimization mean-variance

dec 26 at 17:43 vonjd 6,309

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8

votes

5

answers

4

kviews

Why would an investor trade a variance swap over a volatility swap?

volatility variance swaps

aug 31 at 17:08 Strange 354

2

5

votes

2

answers

521

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VIX = Vega of S&P500 options?

options volatility vix spx vega

sep 18 at 13:24 Brian B 6,013

1

5

votes

1

answer

434

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Value at Risk backtesting (kupiec)

risk risk-management coherent-risk-measure

sep 4 '11 at 9:16 Patrick Burns 1,609

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13

votes

5

answers

3

kviews

Python library for Portfolio Optimization

portfolio optimization python

apr 10 at 18:33 nitin 131

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11

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5

answers

1

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portfolio optimisation with VaR (or CVaR) constraints

portfolio-management optimization var

jan 13 at 13:29 Marc Shivers 424

1

vote

1

answer

164

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T-note returns from T-note yields … derivation of Damodaran's formula

fixed-income returns

aug 13 at 3:44 Joel 26

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9

votes

6

answers

2

kviews

How high of a Sharpe ratio is implausibly high for a low-frequency equity strategy?

research reference-request performance sharpe-ratio performance-evaluation

nov 26 at 0:21 chrisaycock♦ 5,260

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5

votes

1

answer

387

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Proof for non-positive semi-definite covariance matrix estimator

covariance

jul 27 at 7:20 JL344 571

2

1

vote

1

answer

366

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How to compute portfolio weights from multivariate regression results?

asset-allocation regression

jul 19 at 14:32 Tal Fishman 6,740

1

2

votes

1

answer

207

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How to automate the margin requirements for Eurex markets?

derivatives market eurex

jul 13 at 13:37 Tal Fishman 6,740

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10

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2

answers

551

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Why is the ratio of Hi-Low range to Open-Close range close to 2?

data analysis

jun 16 '12 at 13:21 Louis Marascio 1,682

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2

answers

212

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How do I determine the maturity date from a T-bill's CUSIP?

untagged

apr 12 at 14:55 lemarin 121

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4

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2

kviews

Volatility pumping in practice

volatility trading kelly-criterion

mar 11 at 11:21 chrisaycock♦ 5,260

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0

answers

177

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generating (or tracking) the DJUBS commodity index

index

may 30 '12 at 19:23 Bob Jansen 1,142

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1

answer

576

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Optimal execution and reinforcement learning

automated-trading optimization machine-learning

may 30 '12 at 20:36 lehalle 1,713

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1

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283

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Is there a closed-form solution for the partial autocorrelation function of a Markov regime-switching process?

stochastic-processes auto-correlation

may 16 '12 at 14:28 Tal Fishman 6,740

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3

votes

2

answers

264

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How is someone's Sharpe ratio recorded and communicated?

sharpe-ratio

may 8 '12 at 21:33 Quant Guy 7,531

3

votes

2

answers

840

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GJR-GARCH Model In R

volatility trading programming r garch

may 10 '12 at 16:39 Karol Piczak 999

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6

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3

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398

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Which greeks do you need to hedge if you want to implement an implied-volatility security?

greeks

may 29 '12 at 2:07 Matt Wolf 5,746

user915

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