User A.L. Verminburger

15 votes

4 answers

3k views

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

asked Jun 12, 2017 at 10:16

6 votes

4 answers

490 views

Why is the equity premium not arbitraged away?

equities fixed-income

asked Jul 26, 2014 at 12:39

6 votes

1 answer

413 views

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

options volatility implied-volatility gamma vega

asked Aug 19, 2021 at 7:06

4 votes

0 answers

246 views

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

backtesting regression strategy digital-signal-processing

asked Jun 5, 2016 at 0:57

4 votes

3 answers

372 views

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

futures etf trends

asked Jul 20, 2016 at 10:04

3 votes

1 answer

405 views

Should a backtester have ability to run multiple strategies simultaneously?

quant-trading-strategies backtesting portfolio

asked Aug 15, 2016 at 14:42

3 votes

0 answers

152 views

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

fixed-income yield-curve forward-rate

asked Jun 5, 2018 at 13:50

2 votes

0 answers

58 views

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

volatility time-scale

asked Jul 13, 2019 at 16:08

2 votes

2 answers

206 views

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

fixed-income bond duration sensitivities

asked Sep 10, 2019 at 17:23

2 votes

2 answers

143 views

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

futures

asked Oct 18, 2019 at 11:06

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?

options futures swaps spot-rate

asked Oct 18, 2019 at 11:10

2 votes

0 answers

120 views

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

equities dividends

asked Aug 10, 2014 at 17:23

2 votes

3 answers

118 views

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

fixed-income

asked Oct 11, 2017 at 16:36

2 votes

1 answer

408 views

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

fixed-income statistics stationarity

asked Apr 19, 2018 at 15:43

1 vote

1 answer

155 views

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

volatility trading

asked Dec 16, 2021 at 8:31

1 vote

2 answers

153 views

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

returns forecasting log-returns stationarity

asked Dec 5, 2017 at 15:33

1 vote

1 answer

92 views

What incentivises short selling? [closed]

short-selling

asked Jan 19, 2018 at 12:45

1 vote

0 answers

203 views

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

fixed-income yield-curve short-rate

asked Nov 10, 2017 at 16:55

1 vote

1 answer

75 views

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

fixed-income forecasting

asked Nov 14, 2017 at 11:38

1 vote

1 answer

605 views

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

regression momentum

asked May 21, 2016 at 21:59

1 vote

1 answer

88 views

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

black-scholes dividends risk-neutral

asked Nov 21, 2019 at 17:02

1 vote

0 answers

81 views

How to replicate an exchange option?

option-pricing

asked Mar 15, 2020 at 19:04

1 vote

1 answer

65 views

How to derive Balck Scholes from the Binomial Model?

black-scholes binomial

asked Sep 24, 2019 at 15:02

1 vote

1 answer

112 views

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

fx forward hedge

asked Oct 9, 2019 at 17:25

1 vote

1 answer

62 views

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

black-litterman bayes-theory

asked May 16, 2019 at 8:55

1 vote

0 answers

73 views

Does anyone recognise this seemingly mean-reverting stochastic process?

stochastic-processes

asked Jan 30, 2021 at 18:07

1 vote

0 answers

120 views

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

market-making delta-hedging european-options

asked Feb 9, 2021 at 14:00

1 vote

0 answers

54 views

How does a hedged portfolio account for other greeks?

options hedging greeks

asked Feb 13, 2021 at 6:34

1 vote

2 answers

183 views

Bid Price of a Forward?

derivatives forward

asked Mar 11, 2021 at 8:47

1 vote

0 answers

40 views

Why is dividend discounted stock equal to cash discounted strike?

black-scholes interest-rates dividends

asked Jun 30, 2021 at 16:52

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40 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?

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

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

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

Should a backtester have ability to run multiple strategies simultaneously?

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

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

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

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?

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

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

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

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

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

What incentivises short selling? [closed]

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

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

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

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

How to replicate an exchange option?

How to derive Balck Scholes from the Binomial Model?

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 anyone recognise this seemingly mean-reverting stochastic process?

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

How does a hedged portfolio account for other greeks?

Bid Price of a Forward?

Why is dividend discounted stock equal to cash discounted strike?