J**********g
发帖数: 213 | 1 Will Obama's proposal be passed? it begins to make difference now....
http://www.bloomberg.com/apps/news?pid=20601087&sid=azicmVwJHC2w&dbk
Litterman Said to Retire From Goldman Sachs Hedge-Fund Unit
By Tom Cahill
Jan. 22 (Bloomberg) -- Robert Litterman, chairman of Goldman Sachs Group Inc
.’s quantitative hedge-fund group, will step down at the end of this month,
a move planned before President Barack Obama’s call yesterday to limit
proprietary trading at banks, according to people familiar with |
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s****y
发帖数: 958 | 2 I have been used it for quite some time. Here are my 2 cents.
This camera is a modification of Polaroid Land Camera.
1. It is a specialty camera, not your do-it-all LF camera.
If you intend to put it on your tripod, I would say forget about it, go get
a 45N2. IMO, Saber is best suited to shoot enviromental portraits. It is
never intended to be used to shoot architecture or serious landscape. I
think there are quite a few rangefinder experts here, so I will stop here. I
would say 85% /15%, 85% ha... 阅读全帖 |
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M***e
发帖数: 836 | 3 bob litterman那本书主要是 black litterman model,除了我们，基本没什么人用的。
ALM的话你可以去找investment practice的bunting,他负责这块的，可以告诉你看什么
书。 |
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t****1
发帖数: 89 | 4 The post I found from Pre_Resident_Club:
http://www.mitbbs.com/clubarticle_t/Pre_Resident_Club/51877.html
发信人: lovelypony (pony), 信区: Pre_Resident_Club
标 题: Re: CS用的听诊器和白大衣哪里能买到？ (转载)
发信站: BBS 未名空间站 (Tue Jul 5 22:00:58 2011, 美东)
我是在barns&nobles买的。听诊器就买Litterman的。white coat没注意牌子。
发信人: TheCat (Cat), 信区: Pre_Resident_Club
标 题: Re: CS用的听诊器和白大衣哪里能买到？ (转载)
发信站: BBS 未名空间站 (Thu Aug 25 17:00:39 2011, 美东)
我穿实验室的白大褂。amazon买的litterman |
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l******a
发帖数: 3803 | 6
Show
haha, good.
This is huge SOB sb in all senses.
I preferred Leno to him in night talk show.
If only this "litterman" knew that he should not have made the joke about
Sarah Palin's daughter months ago.
of course he "apologized" - then he learned a lesson?
Now he'll be the joke BUTT of all American hypo-nippo dicko mofo. |
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x***k
发帖数: 3311 | 8 Jay Leno, (Conan O'brian), David Litterman, Jimmy Fallon... |
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l*r
发帖数: 79569 | 9 现在不方便找，可能就是每次Dave Litterman show 里德？ |
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s****y
发帖数: 958 | 10 I think it is cheaper than Razzle and Litterman. |
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c******s
发帖数: 5583 | 11
cheaper than litterman, yes (over $1500 used).
I had two razzles and it costs $600 each, brand new with complete back
systems. |
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p***o
发帖数: 3399 | 12 【 以下文字转载自 Quant 讨论区 】
发信人: Sirenning (Lisa), 信区: Quant
标 题: Career Path 的迷途中～～
发信站: BBS 未名空间站 (Tue Dec 29 20:39:59 2009, 美东)
各位大虾帮忙指点一下，现在很迷茫ing...
我刚毕业，暑假实习纽约一小公司做的Quant Developer，Play with Black-litterman
and C++.. 编程背景很弱，都是这一年的多突击学习的，没有什么实际的prgramming
project经验。暑假实习到后面做的很痛苦，看到程序就本能的反感。
我原来是学自然科学的，跟Quant相差甚远，所有的一切都是这一年半积累的，学的很
辛苦但是很充实，我确认这些是自己感兴趣的但是又不确定怎样选择自己的career
path. 面过几个quantitative analyst 职位最终都被据了，受挫的同时在怀疑自己到
底适不适合做Quant. 我,girl,喜欢challenging的东东，喜欢绞尽脑汁的工作，活泼开
朗，喜欢一半跟人打交道一半有技术含量的工作，不想做 |
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a*****b
发帖数: 2789 | 13 是不是Litterman的那本？多谢。
Modern Investment Management: An Equilibrium Approach |
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S*****3
发帖数: 720 | 14 “中国百篇最具影响优秀国际学术论文” 评选所选论文代表了我国科技论文发展的最
高水平。论文源为前一年被SCI（科学引文索引）收录的中国论文。评选综合考虑发表
论文的期刊水平（影响因子和单篇引用次数）、论文类型、热点论文、论文的合作强度
、参考文献数和论文的完整性等方面。
其中生物类包括：
论文题目: Acute promyelocytic leukemia: from highly fatal to highly
curable
论文作者: Wang, Zhen-Yi; Chen, Zhu
所属机构: 上海交通大学医学院瑞金医院
来源期刊: BLOOD, 2008, 111(5):2505-2515
被引次数: 29
作者简介：
陈竺
卫生部部长，中国科学院院士，博士生导师
白血病系统生物学研究组组长
论文题目: Sorting of small RNAs into Arabidopsis argonaute complexes
is directed by the 5 ' terminal nucleotide
论... 阅读全帖 |
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l********y
发帖数: 2295 | 15 这个钱还是不要省吧，我花了80多还是90多买了一个litterman的，反正以后OB什么的
都要用的。我挑了一个自己最喜欢的颜色，觉得挺好的。 |
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u*******8
发帖数: 497 | 16 amazon的Litterman，都不便宜啊~！最便宜的都是近40刀。
对于应付CS，其他一般牌子的Stethoscopes不行吗？ |
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l*******8
发帖数: 1745 | 17 Otoscope? 我看医学生买过的一个成套的，包括查眼底的，一套大概$400.
Stethoscope可以从www.allheart.com买，我用的是Litterman Cardiology III. |
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i*****r
发帖数: 1302 | 19 bayesian是prior,posterior这类东西么? 怎么用在optimization中? black-litterman
不就是么? 操最讨厌bayesian这个词看到就tmd烦 |
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i*****r
发帖数: 1302 | 20 靠,这个得要我命
我是实用派非搞学术的,只要个general idea 稍微编点程序都行,optimziation得给我
明确的objective,subjective function. black litterman照着paper也能编一下,再复
杂的像这种的就算了,一眼望去全是数学公式到最后说什么也不知道有意思么
其实我的问题很简单,比如我现在有10个股票的数据,bayesian optimization,或者
beyesian whatever到底想干嘛? 能干嘛? |
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i*****r
发帖数: 1302 | 21 很奇妙
这样的话需要增加一个主观的prior input
运用在optimization中只不过是将mu,stdev换成conditional的了.和black litterman
基本上是一回事...
太搞了 |
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f**********r
发帖数: 2137 | 22 bayesian's basic idea is your model comes with a prob, no a fixed thing
litterman |
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i*******1
发帖数: 14 | 23 I heard that they use Black-Litterman model a lot for asset allocation. And
in general, I believe statistics is an important part when it comes to
portfolio allocation and risk/return analysis. Would be curious to know what
they quiz you on :) |
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u******s
发帖数: 157 | 24 建议看一下Black-Litterman模型，至少当个谈资。 |
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l*****n
发帖数: 1333 | 25 Math: linear algebra, optimization
Finance: mean-variance portfolio thy, black-litterman, arbitrage pricing thy
, CAPM...
This is for global tactical allocation, so be ready to talk about the
economy, financial crisis, and fundamental stock picking. |
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n*******r
发帖数: 60 | 26 Assure you to understand Black-Litterman model very well, |
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c*******e
发帖数: 150 | 27 看看天花乱坠忽悠到头了，其实挺空虚的，基本都是大陆技术 factor models -> mean
-variance portfolio construction with a power-functional form of TC.
最后一段 "Second-Order Cone Programming" 是告诉观众们 他们的 portfolio
construction process 除了一个 TE constraint，其它的都是线性constraints，而且
the TC term 应该是 有理数次方 （e.g. trades.^2 or trades.^(3/2) ）。 只有
有一句话“techniques of Bayesian return forecasting” 偶没有完全看懂，不知道
是说在return forecasts过程中用了 Black-Litterman shrinkage，还是说用了dummy
observations 这些经典的Bayeisan 技术，还是有更高级的Bayesian 技术。 抛砖引玉
，希望有大侠出来指点一二 :) |
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c*******e
发帖数: 150 | 28 Sure, portfolio optimization (especially TC-aware type) is a very useful
subject for practioners and the pm industry. The thing is, what is tricky
and important in practice (hence I think worth academics' decent attention)
is that even if the jointly Gaussian assumption holds, we should keep in
mind that the Expected Return vector and the Covariance Matrix are always
estimated as opposed to knowing their oracle value, hence robustness
concerns and the corresponding techniques (Black-Litterman sh... 阅读全帖 |
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L*******t
发帖数: 2385 | 29 本人金融工程博士生在读，求各位大牛推荐暑期实习。。我觉得一定的业界经验对
Research也是有帮助的嗯。。。
Skill Set：
数学工具，PDE，PIDE，ODE，Real Analysis, Functional Analysis, Stochastic
calculus, Stochastic optimal control，Optimization，BSDE，FBSDE及其数值解法
，以及一些常见的数学方法，最近在研究Peng的G-Expectations和G-Brownian motions
以及Random field theory及其在Interest rate Derivatives中的应用
编程语言：MATLAB,R,SAS,Mathematica,C++，熟练程度按照排序递减-_-
传统的Financial Econometrics，暑假开始的时候对Bayesian Methods比如MCMC
也会有一定的了解。以前在国内的时候做过一些基于GARCH族模型的Pricing和Time
Series Fitting的小文章。
Pricing，对某些衍生品的Prici... 阅读全帖 |
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L*******t
发帖数: 2385 | 31 你为啥会想到提起Black-Litterman? |
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s*******0
发帖数: 3461 | 32 bl model 全称是什么？ Black–Litterman model? |
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k****1
发帖数: 133 | 33 Offer 1: NYC 银行, 做model validation 主要wealth management/portfolio
management模型, 比如Covariance, Portfolio Optimization/asset allocation,
factor model and etc.
Offer 2: North Carolina银行, IB部门 做Market Risk, Support trading desk, 主
要VaR model, 产品包括: Interest rate, structured, FX, equity and commodity.
Same title, Offer2 比 Offer1 total compensation(base+bonus) 多近7w.
Offer 1
优点: validate的model类似buyside model: Black Litterman, Risk Attribution.
在NYC,机会多, 以后挺想做quant strategy, portfolio manager.
缺点: Model ... 阅读全帖 |
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L*******t
发帖数: 2385 | 34 就是mean variance，black-litterman之类的。
灰常好奇业界怎么做投资组合优化决策的。
我现在学了一整套理论，小伙伴们都说业界没有这么用的，但是我想用用看。
看看Historical simulation下表现咋样。 |
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x******o
发帖数: 144 | 35 收到IAQF event邮件，貌似Peter还在MS啊。。。。
Breakfast Roundtable with the
IAQF Senior Fellows
Discussions with Phelim Boyle, Douglas Breeden, Peter Carr, Emanuel Derman,
Robert Engle, John Hull, Bob Litterman, Leo Melamed & Eduardo Schwartz
Friday, February 5th
8:30 AM Registration & Light Breakfast
9:00 AM - 10:00 AM Roundtable Discussion
The New York Society of Security Analysts (NYSSA)
1540 Broadway, 10th Floor
New York, New York
The entrance is on 45th Street, Times Square.
Please be prepared to show ... 阅读全帖 |
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x******o
发帖数: 144 | 36 收到IAQF event邮件，貌似Peter还在MS啊。。。。
Breakfast Roundtable with the
IAQF Senior Fellows
Discussions with Phelim Boyle, Douglas Breeden, Peter Carr, Emanuel Derman,
Robert Engle, John Hull, Bob Litterman, Leo Melamed & Eduardo Schwartz
Friday, February 5th
8:30 AM Registration & Light Breakfast
9:00 AM - 10:00 AM Roundtable Discussion
The New York Society of Security Analysts (NYSSA)
1540 Broadway, 10th Floor
New York, New York
The entrance is on 45th Street, Times Square.
Please be prepared to show ... 阅读全帖 |
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w**********y
发帖数: 1691 | 37 Just realized another very important app: Black–Litterman model for
Portfolio Mangmt. |
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