User vanguard2k

8 votes

When do Finite Element method provide considerable advantage over Finite Differences for option pricing?

answered Nov 28, 2012 at 15:12

8 votes

Accepted

Which portfolio is more "diversified": the $\frac{1}{N}$, the MDP or the max decorrelation?

answered Sep 28, 2020 at 13:44

7 votes

Price difference between bond cash and futures

answered Dec 17, 2012 at 13:40

7 votes

How to construct a Risk-Parity portfolio?

answered Jul 21, 2014 at 12:02

7 votes

Accepted

Is it possible to deal with non-normal distribution in Black-Litterman model?

answered Jan 29, 2016 at 14:55

6 votes

Accepted

Covariance matrix and Cholesky decomposition

answered Feb 4, 2015 at 13:10

6 votes

Accepted

Yield of a risky bond

answered Jan 4, 2013 at 15:53

6 votes

Accepted

Michaud's Resampled Efficient Frontier - Out of Sample Simulation Testing

answered Oct 1, 2012 at 11:25

5 votes

How high of a Sharpe ratio is implausibly high for a low-frequency equity strategy?

answered Aug 1, 2012 at 6:28

5 votes

How can we have negative probabilities in finance? Can we have negative payments in bonds? If not, how else can we have negative probabilities?

answered Jul 14, 2016 at 13:34

5 votes

Accepted

Optimisation with strong correlated Assets

answered Jun 9, 2017 at 9:02

4 votes

Hierarchical Risk Parity with allocation constraints?

answered Nov 28, 2017 at 8:54

4 votes

Why does the likelihood of corner solutions in portfolios increase as the number of assets grows?

answered Sep 28, 2020 at 15:33

4 votes

Accepted

Risk Parity / Equal Risk Contribution with Tail Risk Measures

answered Jun 15, 2018 at 14:24

4 votes

Multifractal Model, Generating Sample Paths with Correlations between Assets

answered Jan 8, 2014 at 15:28

4 votes

What are the equation that gives hurst exponent of value >0.7 and <0.3?

answered Mar 19, 2014 at 8:01

3 votes

Accepted

calculate gamma value using finite difference method

answered Jun 10, 2014 at 15:30

3 votes

Comparison of Brownian Motion Expected Drawdown and simulated results

answered Jan 15, 2013 at 16:26

3 votes

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Benfords law and quantitative finance

answered Aug 31, 2012 at 7:14

3 votes

How do you synthesize a probability density function (pdf) from equally weighted price data?

answered Nov 2, 2012 at 10:52

3 votes

Accepted

Why does $\hat{\epsilon}'\hat{\epsilon}$ of a factor model measure risk?

answered Nov 5, 2012 at 7:45

3 votes

Accepted

Expectation of maximum draw down in the Brownian motion case

answered Apr 30, 2015 at 9:06

3 votes

Non-Negativity of up-factor and down-factor in Binomial No-Arbitrage Pricing Model

answered Jul 28, 2014 at 8:31

3 votes

How do Return.portfolio and Return.rebalancing work in Performance Analytics in R?

answered Sep 10, 2014 at 14:36

3 votes

Handling Missing values in stocks returns when estimating the co variance matrix

answered Jul 17, 2014 at 12:40

3 votes

Accepted

CVaR reformulation correct?

answered Nov 14, 2014 at 14:25

3 votes

Accepted

Is an arbitrary prior for Black-Litterman valid? Or do we need a market implied one?

answered Dec 1, 2014 at 14:07

3 votes

Accepted

R Calculate future price range and plot the result

answered Nov 24, 2017 at 13:48

3 votes

Accepted

Bond Fair Value

answered Dec 4, 2017 at 16:00

2 votes

Accepted

Explanation of Standard Method Generalized Hurst Exponent

answered Aug 8, 2017 at 11:41

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55 Answers

When do Finite Element method provide considerable advantage over Finite Differences for option pricing?

Which portfolio is more "diversified": the $\frac{1}{N}$, the MDP or the max decorrelation?

Price difference between bond cash and futures

How to construct a Risk-Parity portfolio?

Is it possible to deal with non-normal distribution in Black-Litterman model?

Covariance matrix and Cholesky decomposition

Yield of a risky bond

Michaud's Resampled Efficient Frontier - Out of Sample Simulation Testing

How high of a Sharpe ratio is implausibly high for a low-frequency equity strategy?

How can we have negative probabilities in finance? Can we have negative payments in bonds? If not, how else can we have negative probabilities?

Optimisation with strong correlated Assets

Hierarchical Risk Parity with allocation constraints?

Why does the likelihood of corner solutions in portfolios increase as the number of assets grows?

Risk Parity / Equal Risk Contribution with Tail Risk Measures

Multifractal Model, Generating Sample Paths with Correlations between Assets

What are the equation that gives hurst exponent of value >0.7 and <0.3?

calculate gamma value using finite difference method

Comparison of Brownian Motion Expected Drawdown and simulated results

Benfords law and quantitative finance

How do you synthesize a probability density function (pdf) from equally weighted price data?

Why does $\hat{\epsilon}'\hat{\epsilon}$ of a factor model measure risk?

Expectation of maximum draw down in the Brownian motion case

Non-Negativity of up-factor and down-factor in Binomial No-Arbitrage Pricing Model

How do Return.portfolio and Return.rebalancing work in Performance Analytics in R?

Handling Missing values in stocks returns when estimating the co variance matrix

CVaR reformulation correct?

Is an arbitrary prior for Black-Litterman valid? Or do we need a market implied one?

R Calculate future price range and plot the result

Bond Fair Value

Explanation of Standard Method Generalized Hurst Exponent