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vanguard2k
  • Member for 11 years, 7 months
  • Last seen more than 3 years ago
  • Vienna, Austria
2 votes

CDX index versions after series maturity

4 votes

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

8 votes
Accepted

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

1 vote

Bond fund's roll and carry

2 votes

Portfolio Analysis Interview Question

4 votes
Accepted

Risk Parity / Equal Risk Contribution with Tail Risk Measures

2 votes

Portfolio Optimization Constraints

2 votes

What is meant by innovations in volatility?

1 vote

Portfolio optimization of unequal length back-tests

3 votes
Accepted

Bond Fair Value

1 vote

Product Control Fixed Income - Interview Question

4 votes

Hierarchical Risk Parity with allocation constraints?

3 votes
Accepted

R Calculate future price range and plot the result

1 vote

Where can I find the European equivalents ETFs from a USD superdiversified 10 ETFs portfolio

1 vote

Database of ETF and underlying index from Thomson Reuters or Bloomberg

2 votes
Accepted

Explanation of Standard Method Generalized Hurst Exponent

0 votes
Accepted

How to calculate daily interest at different rates each day?

5 votes
Accepted

Optimisation with strong correlated Assets

1 vote

Stochastic process and brownian motion

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?

1 vote
Accepted

Can I formulate a general relative view in Black-Litterman?

7 votes
Accepted

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

1 vote

How to get to this answer on Macauley duration?

2 votes

Covariance between two stocks in a two-factor model

3 votes
Accepted

Expectation of maximum draw down in the Brownian motion case

6 votes
Accepted

Covariance matrix and Cholesky decomposition

2 votes
Accepted

Transaction Costs Measure ATOP: What does it mean and exactly measure?

3 votes
Accepted

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

3 votes
Accepted

CVaR reformulation correct?

1 vote
Accepted

Determine $E[W_p W_q W_r]$