User A.L. Verminburger

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 778

3

6

votes

4

answers

461

views

Why is the equity premium not arbitraged away?

equities fixed-income

Jul 30 '14 at 14:23 Tom Au 454

1

4

votes

3

answers

334

views

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

futures etf trends

Oct 9 at 14:50 A.L. Verminburger 778

4

votes

0

answers

215

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 778

1

3

votes

0

answers

122

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 5,908

3

votes

1

answer

339

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 778

2

votes

2

answers

123

views

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

futures

Jan 9 '20 at 11:26 A.L. Verminburger 778

2

votes

1

answer

177

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 '19 at 16:13 A.L. Verminburger 778

2

votes

1

answer

51

views

How to derive Balck Scholes from the Binomial Model?

black-scholes binomial

Sep 24 '19 at 18:07 byouness 1,856

1

2

votes

2

answers

181

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

55

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 778

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 778

2

votes

1

answer

225

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 778

1

vote

0

answers

41

views

How does a hedged portfolio account for other greeks?

options hedging greeks

Feb 13 at 6:34 A.L. Verminburger 778

1

vote

0

answers

85

views

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

market-making delta-hedging european-options

Feb 9 at 14:00 A.L. Verminburger 778

1

vote

0

answers

71

views

Does anyone recognise this seemingly mean-reverting stochastic process?

stochastic-processes

Jan 30 at 18:07 A.L. Verminburger 778

1

vote

0

answers

38

views

How to replicate an exchange option?

option-pricing

Mar 15 '20 at 19:04 A.L. Verminburger 778

1

vote

1

answer

70

views

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

black-scholes dividends risk-neutral

Dec 28 '19 at 10:02 Community♦ 1

1

vote

1

answer

88

views

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

fx forward hedge

Oct 11 '19 at 11:47 MGL 486

1

vote

1

answer

57

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

139

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

87

views

What incentivises short selling? [closed]

short-selling

Jan 19 '18 at 14:56 A.L. Verminburger 778

1

vote

1

answer

72

views

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

fixed-income forecasting

Nov 14 '17 at 13:56 Brian B 13.7k

1

vote

0

answers

183

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 778

1

vote

1

answer

518

views

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

regression momentum

May 26 '17 at 14:36 zmwang 3

0

votes

3

answers

70

views

Understanding Loans with a Dynamic Principal

fixed-income mbs debt

Jan 30 at 15:38 toing 111

0

votes

0

answers

53

views

How to Determine the Total Return Swap Notional Value at Each Reset Period?

equities interest-rates trs

Jan 18 at 12:54 Ellie Kesselman 276

0

votes

0

answers

36

views

I am looking to bootstrap a USD and GBP yield curve: what are some of the futures and swaps I can use that are findable on Bloomberg?

fixed-income yield-curve bootstrapping

Sep 6 at 16:31 A.L. Verminburger 778

1

0

votes

0

answers

45

views

Total Interest Rate Risk of a Fixed Income Portfolio

fixed-income portfolio-optimization duration

Mar 29 '20 at 20:58 A.L. Verminburger 778

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37 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?

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

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

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?

How to derive Balck Scholes from the Binomial Model?

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 does a hedged portfolio account for other greeks?

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

Does anyone recognise this seemingly mean-reverting stochastic process?

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?

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?

Understanding Loans with a Dynamic Principal

How to Determine the Total Return Swap Notional Value at Each Reset Period?

I am looking to bootstrap a USD and GBP yield curve: what are some of the futures and swaps I can use that are findable on Bloomberg?

Total Interest Rate Risk of a Fixed Income Portfolio