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A.L. Verminburger
  • Member for 8 years
  • Last seen more than a month ago
15 votes
4 answers
3k views

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

6 votes
4 answers
490 views

Why is the equity premium not arbitraged away?

6 votes
1 answer
413 views

Vol, Gamma, Vega -- essentially all the same?

4 votes
0 answers
246 views

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

4 votes
3 answers
372 views

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

3 votes
1 answer
405 views

Should a backtester have ability to run multiple strategies simultaneously?

3 votes
0 answers
152 views

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

2 votes
0 answers
58 views

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

2 votes
2 answers
206 views

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

2 votes
2 answers
143 views

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

2 votes
1 answer
187 views

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

2 votes
0 answers
120 views

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

2 votes
3 answers
118 views

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

2 votes
1 answer
408 views

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

1 vote
1 answer
155 views

Vocabulary: "Well Bid" and "Fading" Meaning?

1 vote
2 answers
153 views

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

1 vote
1 answer
92 views

What incentivises short selling? [closed]

1 vote
0 answers
203 views

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

1 vote
1 answer
75 views

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

1 vote
1 answer
605 views

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

1 vote
1 answer
88 views

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

1 vote
0 answers
81 views

How to replicate an exchange option?

1 vote
1 answer
65 views

How to derive Balck Scholes from the Binomial Model?

1 vote
1 answer
112 views

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

1 vote
1 answer
62 views

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

1 vote
0 answers
73 views

Does anyone recognise this seemingly mean-reverting stochastic process?

1 vote
0 answers
120 views

Is this the PnL you would expect to see for a hedged call option portfolio? [closed]

1 vote
0 answers
54 views

How does a hedged portfolio account for other greeks?

1 vote
2 answers
183 views

Bid Price of a Forward?

1 vote
0 answers
40 views

Why is dividend discounted stock equal to cash discounted strike?