A.L. Verminburger
  • Member for 7 years, 6 months
  • Last seen more than a month ago
4 answers
15 votes
2k views
15 bookmarks
Why is Markowitz portfolio optimisation so popular considering it is worse than an equal weighted portfolio?
1 answers
6 votes
273 views
Vol, Gamma, Vega -- essentially all the same?
4 answers
6 votes
483 views
3 bookmarks
Why is the equity premium not arbitraged away?
3 answers
4 votes
357 views
1 bookmarks
Large trend-followers: why use futures rather than ETFs?
0 answers
4 votes
229 views
Trading signal strength: [-1 to 1] or [predicted return]?
0 answers
3 votes
143 views
1 bookmarks
How is the integral relationship between current yield curve and forward yield curve derived?
1 answers
3 votes
393 views
Should a backtester have ability to run multiple strategies simultaneously?
2 answers
2 votes
137 views
Why do futures seem to be quoted in setllement price rather than cost of the contract?
1 answers
2 votes
182 views
For which would you expect the liquidity on instrument X to be the greatest: its spot, future, option or swap?
2 answers
2 votes
195 views
1 bookmarks
Origin of the $-\frac{1}{P}$ in Macaulay Duration?
0 answers
2 votes
57 views
Is $\sigma_{1} = \frac{\sigma_{\tau}}{\sqrt{\tau}}$ suitable for volatility scaling?
3 answers
2 votes
116 views
Why bond (individual or their benchmark index) graphs predominantly display yield rather than price?
1 answers
2 votes
359 views
Would you consider yield a stationary or non-stationary process?
0 answers
2 votes
119 views
Why would a 9% dividend payment halve the stock price?
1 answers
1 votes
74 views
Vocabulary: "Well Bid" and "Fading" Meaning?
2 answers
1 votes
140 views
Bid Price of a Forward?
0 answers
1 votes
38 views
Why is dividend discounted stock equal to cash discounted strike?
0 answers
1 votes
52 views
How does a hedged portfolio account for other greeks?
0 answers
1 votes
107 views
1 bookmarks
Is this the PnL you would expect to see for a hedged call option portfolio?
0 answers
1 votes
72 views
Does anyone recognise this seemingly mean-reverting stochastic process?
0 answers
1 votes
70 views
How to replicate an exchange option?
1 answers
1 votes
77 views
Why the Inconsistency in the Derivation of BS for Dividend-Paying Underlying?
1 answers
1 votes
100 views
1 bookmarks
What is the difference between Cost of Currency Hedging and the Price of a Currency Pair Forward?
1 answers
1 votes
58 views
How to derive Balck Scholes from the Binomial Model?
1 answers
1 votes
61 views
Rationale for likelihood function parameter choice in Black-Litterman model?
2 answers
1 votes
144 views
1 bookmarks
Does forecasting asset returns by default assumes non-stationarity of asset returns?
1 answers
1 votes
90 views
What incentivises short selling?
1 answers
1 votes
72 views
$R^{2}$ Measure for Functions (Yield Curves)
0 answers
1 votes
199 views
1 bookmarks
How are short rate models used to construct the whole of the yield curve?
1 answers
1 votes
581 views
Can a momentum strategy be cast as a multilinear regression model?