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vanguard2k's user avatar
vanguard2k's user avatar
vanguard2k
  • Member for 11 years, 7 months
  • Last seen more than 3 years ago
  • Vienna, Austria
8 votes

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

8 votes
Accepted

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

7 votes

Price difference between bond cash and futures

7 votes

How to construct a Risk-Parity portfolio?

7 votes
Accepted

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

6 votes
Accepted

Covariance matrix and Cholesky decomposition

6 votes
Accepted

Yield of a risky bond

6 votes
Accepted

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

5 votes

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

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?

5 votes
Accepted

Optimisation with strong correlated Assets

4 votes

Hierarchical Risk Parity with allocation constraints?

4 votes

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

4 votes
Accepted

Risk Parity / Equal Risk Contribution with Tail Risk Measures

4 votes

Multifractal Model, Generating Sample Paths with Correlations between Assets

4 votes

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

3 votes
Accepted

calculate gamma value using finite difference method

3 votes

Comparison of Brownian Motion Expected Drawdown and simulated results

3 votes
Accepted

Benfords law and quantitative finance

3 votes

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

3 votes
Accepted

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

3 votes
Accepted

Expectation of maximum draw down in the Brownian motion case

3 votes

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

3 votes

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

3 votes

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

3 votes
Accepted

CVaR reformulation correct?

3 votes
Accepted

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

3 votes
Accepted

R Calculate future price range and plot the result

3 votes
Accepted

Bond Fair Value

2 votes
Accepted

Explanation of Standard Method Generalized Hurst Exponent