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SRKX
  • Member for 13 years, 3 months
  • Last seen more than a month ago
32 votes
3 answers
5k views

How do you mix quantitative asset allocation with qualitative views?

19 votes
5 answers
8k views

Why is the Drawdown measure not used for portfolio optimization?

18 votes
7 answers
8k views

Formal proof for risk-neutral pricing formula

13 votes
4 answers
2k views

What commercial financial libraries are available to outsource implementation risk?

12 votes
2 answers
1k views

What is the precision of standard deviation estimates with small samples?

11 votes
2 answers
2k views

How do you estimate the volatility of a sample when points are irregularly spaced?

11 votes
3 answers
2k views

Which greeks do you need to hedge if you want to implement an implied-volatility security?

11 votes
1 answer
7k views

What is exactly Euler's decomposition?

11 votes
1 answer
1k views

How to use a change of numeraire to price this option?

10 votes
1 answer
4k views

What are the steps to perform properly a risk factor analysis on a portfolio?

10 votes
1 answer
1k views

How are Expected Shortfall and Variance related?

10 votes
2 answers
403 views

Do you know a good article on ETF's counterparty risk analysis?

9 votes
2 answers
3k views

How to annualize Expected Shortfall?

9 votes
3 answers
329 views

How to measure investors' "experienced" volatility?

8 votes
5 answers
4k views

Is there a charting API which allows to replicate Bloomberg chart tool features?

8 votes
2 answers
403 views

How do I statistically differentiate a series of prices from a series of returns?

8 votes
2 answers
341 views

How to represent constraints for optimization problems in a data model?

8 votes
3 answers
1k views

How do you remove expected returns from asset allocation strategies?

8 votes
4 answers
1k views

How to price a futures spread option?

7 votes
1 answer
4k views

What happens if a custodian bank defaults?

7 votes
3 answers
531 views

What is the canonical reference for Minimum Variance Portfolio's uniqueness?

7 votes
2 answers
313 views

How many data points are required to perform a fitting of GPD?

6 votes
3 answers
2k views

What are the applications of cointegration?

6 votes
2 answers
6k views

Which objective function should I choose to minimize tracking error?

6 votes
3 answers
2k views

How to implement a long-term trade on oil?

6 votes
3 answers
621 views

How do you handle Calendars in a .NET quant system?

4 votes
1 answer
307 views

What is the correlation between these two functions of GBMs?

4 votes
1 answer
166 views

How to infer correlation?

4 votes
4 answers
419 views

How to deal with extreme cases in normal random numbers generation?

4 votes
1 answer
233 views

What is the analytic value of an asset's risk contribution, if $n=2$?