User A.L. Verminburger

13

14

votes

4

answers

2k

views

Why is Markowitz portfolio optimisation so popular considering it is worse than an equal weighted portfolio?

Jul 4 '19 at 8:28 A.L. Verminburger 726

3

6

votes

4

answers

445

views

Why is the equity premium not arbitraged away?

equities fixed-income

Jul 30 '14 at 14:23 Tom Au 434

4

votes

0

answers

208

views

Trading signal strength: [-1 to 1] or [predicted return]?

backtesting regression strategy digital-signal-processing

Jun 5 '16 at 9:19 A.L. Verminburger 726

1

3

votes

3

answers

265

views

Large trend-followers: why use futures rather than ETFs?

futures etf trends

Feb 26 at 18:00 A.L. Verminburger 726

3

votes

0

answers

103

views

How is the integral relationship between current yield curve and forward yield curve derived?

fixed-income yield-curve forward-rate

Jun 5 '18 at 13:57 Daneel Olivaw 4,956

3

votes

1

answer

299

views

Should a backtester have ability to run multiple strategies simultaneously?

quant-trading-strategies backtesting portfolio

Aug 16 '16 at 9:08 A.L. Verminburger 726

2

votes

2

answers

113

views

Why do futures seem to be quoted in setllement price rather than cost of the contract?

futures

Jan 9 at 11:26 A.L. Verminburger 726

2

votes

1

answer

172

views

For which would you expect the liquidity on instrument X to be the greatest: its spot, future, option or swap?

options futures swaps spot-rate

Oct 18 at 16:13 A.L. Verminburger 726

2

votes

2

answers

166

views

Origin of the $-\frac{1}{P}$ in Macaulay Duration?

fixed-income bond duration sensitivities

Sep 11 '19 at 13:04 Rodrigo de Azevedo 249

2

votes

0

answers

48

views

Is $\sigma_{1} = \frac{\sigma_{\tau}}{\sqrt{\tau}}$ suitable for volatility scaling?

volatility time-scale

Jul 15 '19 at 12:39 A.L. Verminburger 726

2

votes

3

answers

116

views

Why bond (individual or their benchmark index) graphs predominantly display yield rather than price?

fixed-income

Jun 8 '18 at 11:30 A.L. Verminburger 726

2

votes

1

answer

178

views

Would you consider yield a stationary or non-stationary process?

fixed-income statistics stationarity

Apr 19 '18 at 20:16 Newbie 286

2

votes

0

answers

115

views

Why would a 9% dividend payment halve the stock price? [closed]

equities dividends

Aug 10 '14 at 18:15 A.L. Verminburger 726

1

vote

0

answers

32

views

How to replicate an exchange option?

option-pricing

Mar 15 at 19:04 A.L. Verminburger 726

1

vote

1

answer

69

views

Why the Inconsistency in the Derivation of BS for Dividend-Paying Underlying?

black-scholes dividends risk-neutral

Dec 28 at 10:02 Community♦ 1

1

vote

1

answer

81

views

What is the difference between Cost of Currency Hedging and the Price of a Currency Pair Forward?

fx forward hedge

Oct 11 at 11:47 MGL 431

1

vote

1

answer

45

views

How to derive Balck Scholes from the Binomial Model?

black-scholes binomial

Sep 24 at 18:07 byouness 1,766

1

vote

1

answer

54

views

Rationale for likelihood function parameter choice in Black-Litterman model?

black-litterman bayes-theory

Jun 15 '19 at 14:00 Community♦ 1

1

vote

2

answers

123

views

Does forecasting asset returns by default assumes non-stationarity of asset returns?

returns forecasting log-returns stationarity

Mar 28 '18 at 15:41 Winkelried 113

1

vote

1

answer

77

views

What incentivises short selling? [closed]

short-selling

Jan 19 '18 at 14:56 A.L. Verminburger 726

1

vote

1

answer

71

views

$R^{2}$ Measure for Functions (Yield Curves)

fixed-income forecasting

Nov 14 '17 at 13:56 Brian B 13.4k

1

vote

0

answers

163

views

How are short rate models used to construct the whole of the yield curve? [closed]

fixed-income yield-curve short-rate

Nov 10 '17 at 16:55 A.L. Verminburger 726

1

vote

1

answer

483

views

Can a momentum strategy be cast as a multilinear regression model?

regression momentum

May 26 '17 at 14:36 zmwang 3

1

0

votes

0

answers

43

views

Total Interest Rate Risk of a Fixed Income Portfolio

fixed-income portfolio-optimization duration

Mar 29 at 20:58 A.L. Verminburger 726

0

votes

1

answer

134

views

Deriving the Forward Rate Formula from the Expectation Hypothesis

fixed-income yield-curve forward-rate

Jan 15 '18 at 17:04 A.L. Verminburger 726

0

votes

1

answer

54

views

Returns on actively trading bonds compared to equity?

fixed-income expected-return active-investing

Nov 15 '17 at 11:11 dm63 10.2k

1

0

votes

1

answer

44

views

Is return required by a bond investor a function of base interest rate and credit worthiness of the issuer?

fixed-income interest-rates

Oct 24 '17 at 8:11 dm63 10.2k

0

votes

2

answers

454

views

Do stochastic interest rate models forecast future interest rate?

interest-rates stochastic-processes

Aug 24 '17 at 15:53 noob2 6,870

0

votes

1

answer

67

views

Do exchanges issue position ID after order execution?

portfolio exchange asset

Mar 30 '17 at 16:50 msitt 701

-1

votes

2

answers

46

views

What would be the issue price of the following contract?

derivatives

Feb 25 '18 at 20:19 Ivan 1,251

Stack Exchange Network

current community

your communities

more stack exchange communities

Next privilege

Next badge

31 Questions

Why is Markowitz portfolio optimisation so popular considering it is worse than an equal weighted portfolio?

Why is the equity premium not arbitraged away?

Trading signal strength: [-1 to 1] or [predicted return]?

Large trend-followers: why use futures rather than ETFs?

How is the integral relationship between current yield curve and forward yield curve derived?

Should a backtester have ability to run multiple strategies simultaneously?

Why do futures seem to be quoted in setllement price rather than cost of the contract?

For which would you expect the liquidity on instrument X to be the greatest: its spot, future, option or swap?

Origin of the $-\frac{1}{P}$ in Macaulay Duration?

Is $\sigma_{1} = \frac{\sigma_{\tau}}{\sqrt{\tau}}$ suitable for volatility scaling?

Why bond (individual or their benchmark index) graphs predominantly display yield rather than price?

Would you consider yield a stationary or non-stationary process?

Why would a 9% dividend payment halve the stock price? [closed]

How to replicate an exchange option?

Why the Inconsistency in the Derivation of BS for Dividend-Paying Underlying?

What is the difference between Cost of Currency Hedging and the Price of a Currency Pair Forward?

How to derive Balck Scholes from the Binomial Model?

Rationale for likelihood function parameter choice in Black-Litterman model?

Does forecasting asset returns by default assumes non-stationarity of asset returns?

What incentivises short selling? [closed]

$R^{2}$ Measure for Functions (Yield Curves)

How are short rate models used to construct the whole of the yield curve? [closed]

Can a momentum strategy be cast as a multilinear regression model?

Total Interest Rate Risk of a Fixed Income Portfolio

Deriving the Forward Rate Formula from the Expectation Hypothesis

Returns on actively trading bonds compared to equity?

Is return required by a bond investor a function of base interest rate and credit worthiness of the issuer?

Do stochastic interest rate models forecast future interest rate?

Do exchanges issue position ID after order execution?

What would be the issue price of the following contract?