User SRKX

32 votes

3 answers

5k views

How do you mix quantitative asset allocation with qualitative views?

asked Jan 3, 2012 at 18:58

18 votes

7 answers

8k views

Formal proof for risk-neutral pricing formula

asked Apr 14, 2011 at 13:39

18 votes

5 answers

8k views

Why is the Drawdown measure not used for portfolio optimization?

asked Jul 6, 2012 at 13:11

13 votes

4 answers

2k views

What commercial financial libraries are available to outsource implementation risk?

asked Jul 14, 2012 at 20:38

12 votes

2 answers

1k views

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

asked Dec 5, 2011 at 19:30

11 votes

2 answers

2k views

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

asked Dec 18, 2011 at 13:39

11 votes

3 answers

2k views

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

asked May 9, 2012 at 21:50

11 votes

1 answer

7k views

What is exactly Euler's decomposition?

asked Sep 11, 2013 at 8:30

11 votes

1 answer

1k views

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

asked Oct 22, 2015 at 1:09

10 votes

1 answer

4k views

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

asked May 29, 2012 at 9:56

10 votes

1 answer

1k views

How are Expected Shortfall and Variance related?

asked Feb 14, 2012 at 11:16

10 votes

2 answers

395 views

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

asked Sep 15, 2011 at 16:31

9 votes

2 answers

3k views

How to annualize Expected Shortfall?

asked Apr 6, 2011 at 17:57

8 votes

3 answers

324 views

How to measure investors' "experienced" volatility?

asked Apr 26, 2012 at 17:42

8 votes

5 answers

4k views

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

asked Apr 1, 2012 at 16:03

8 votes

2 answers

390 views

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

asked Jun 24, 2012 at 11:10

8 votes

2 answers

330 views

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

asked Jul 5, 2011 at 14:58

8 votes

3 answers

1k views

How do you remove expected returns from asset allocation strategies?

asked Jan 3, 2012 at 18:18

8 votes

3 answers

846 views

How to price a futures spread option?

asked Dec 22, 2014 at 11:09

7 votes

1 answer

4k views

What happens if a custodian bank defaults?

asked Sep 27, 2012 at 8:20

7 votes

3 answers

508 views

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

asked Nov 19, 2012 at 23:20

7 votes

2 answers

286 views

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

asked Mar 26, 2012 at 16:59

6 votes

3 answers

2k views

What are the applications of cointegration?

asked Apr 16, 2012 at 12:12

6 votes

2 answers

5k views

Which objective function should I choose to minimize tracking error?

asked Oct 10, 2012 at 11:38

6 votes

3 answers

2k views

How to implement a long-term trade on oil?

asked Mar 3, 2013 at 23:35

5 votes

3 answers

593 views

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

asked Sep 19, 2012 at 5:58

4 votes

1 answer

293 views

What is the correlation between these two functions of GBMs?

asked Oct 20, 2015 at 3:33

4 votes

1 answer

157 views

How to infer correlation?

asked May 4, 2015 at 9:18

4 votes

4 answers

413 views

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

asked Jul 22, 2014 at 15:35

4 votes

1 answer

230 views

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

asked Jun 21, 2013 at 8:30

Stack Exchange Network

40 Questions

How do you mix quantitative asset allocation with qualitative views?

Formal proof for risk-neutral pricing formula

Why is the Drawdown measure not used for portfolio optimization?

What commercial financial libraries are available to outsource implementation risk?

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

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

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

What is exactly Euler's decomposition?

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

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

How are Expected Shortfall and Variance related?

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

How to annualize Expected Shortfall?

How to measure investors' "experienced" volatility?

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

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

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

How do you remove expected returns from asset allocation strategies?

How to price a futures spread option?

What happens if a custodian bank defaults?

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

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

What are the applications of cointegration?

Which objective function should I choose to minimize tracking error?

How to implement a long-term trade on oil?

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

What is the correlation between these two functions of GBMs?

How to infer correlation?

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

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