User Sebapi - Quantitative Finance Stack Exchange

Sebapi

Member for 5 years, 9 months
Last seen more than a month ago

Hong Kong

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14 Answers

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5 votes

Accepted

Does mean variance optimization work in real life? If so, why are defined benefit pension funds so underfunded?

answered Nov 15, 2020 at 9:41

3 votes

Calculate Average Price, Cost, (Un)Realized P&L of a position based on executed trades

answered May 31, 2020 at 9:09

3 votes

Accepted

Sample from aggregate portfolio distribution versus individual asset distributions

answered Nov 23, 2018 at 15:09

2 votes

How to find an initial equilibrium benchmark portfolio that includes currencies for Black-Litterman model

answered Nov 25, 2018 at 8:51

2 votes

The same expectation means martingale?

answered Dec 10, 2018 at 14:22

2 votes

Fixing mean reversion parameter in the 1F HW model

answered Dec 2, 2018 at 7:59

2 votes

Portfolio optimisation by asset allocation

answered Dec 2, 2018 at 8:14

2 votes

Annualizing intraday volatility

answered Nov 15, 2020 at 12:56

1 vote

Definition of sharpe ratio maximising and variance minimising portfolios

answered Mar 2, 2019 at 7:51

1 vote

Bond price distribution if yield assumed log-normal

answered Nov 15, 2020 at 12:25

1 vote

ATM call option delta with low volatility

answered Dec 2, 2018 at 8:28

1 vote

What is the influence of inflation on the Wacc?

answered Dec 9, 2018 at 11:04

1 vote

Compute tangency portfolio with asset allocation constraints

answered Nov 25, 2018 at 9:47

0 votes

Reverse chronological time series / inverse time series

answered Dec 14, 2018 at 14:37