k**k
发帖数: 61 | 1 You are exactly right. I accidentally dropped the summation term. Could you
please explain why this yields the correct answer? Note that "a", the 95%
VaR varies under each weight scenario. The algorithm I saw starts with a
relatively arbitrage value of "a". Under that objective function, it returns
the same optimal weight each time.
Thoughts? |
|
|
k**k
发帖数: 61 | 3 How should I interpret this? By setting the objective function that way I
could achieve optimization of both parameters simultaneously? Still kinda
hard to grasp though. Any literature that talks about such idea?
which |
|
m***s
发帖数: 605 | 4 see
Rockafellar, R.T. and Uryasev, S., 2000, Optimization of conditional value-a
t-risk. J. Risk, 2, 21-41.
Rockafellar, R.T. and Uryasev, S., 2002, Conditional value-at-risk for gener
al loss distributions. J. Bank. Finance, 26(7) 1443-1471.
But I thought you were doing parametric CVaR. You have marginal and t-copula
. Everytime, you change the weights, your parametric CVaR should be differen
t from the non-parametric CVaR, no? |
|
k**k
发帖数: 61 | 5 Just read a few paragraphs in the first article. Think this is the one I'm
looking for. Thanks a lot!
As to parametric vs. non-parametric, not sure your exact definitions. What I
did is to parameterize the marginal distribution of standard innovation z(t
) from their empirical CDF. Together with a t-copula, I can directly sample
from their empirical joint distribution. That way I can obtain a set of
simulated portfolio returns taking into account the non-normal joint
distribution of returns. Thi |
|
m***s
发帖数: 605 | 6 non-parametric means you dont have a parametrized distribution, except the e
mpirical distribution. You dont fit anything, just use the historical data.
parametric form, e.g. you fit the data with normal, and var=mu-2*sigma or cv
ar=mu-lambda*sigma. If it is normal distribution, this way the estimate is m
uch more efficient (smaller variance). However, you can not be sure this is
a normal distribution, you have two sources of errors: misspecification in m
odel and parameter uncertainty. You fit |
|
k**k
发帖数: 61 | 7 Agreed. On the other hand, I wonder without a certain way to parameterize
the distribution, how can one conveniently sample new random returns with
proper correlation embedded? Curious to the available strategies here...
e
.
cv
m
is
m
generate
dis
w
po |
|
k**k
发帖数: 61 | 8 你也看出来了。不知道对这个目标函数有什么比较直观的解释没有？ |
|
m***s
发帖数: 605 | 9 people do guess work probably, with factor models or just do the way you are
trying. I guess it's popular, but not sure how effective. |
|
c**********e
发帖数: 2007 | 10 I know its general meaning (shortage). But what does it mean in finance? |
|
c***z
发帖数: 6348 | 11 试试别的标准？
Expected shortfall？
VaR是一个很不靠谱的measure，书上这么说的。 |
|
S*********d
发帖数: 451 | 12 同意楼上。楼主首先还是要看下你VaR是怎么得到的，是historical data还是Monto
Carlo simulation得到的，或者是别的模型。如果你常常发生超过100的损失，说明你
的模型和实际情况是不符的。VaR只是告诉你在该模型的预测下，你未来的一段时间内
在某个significance(一般是95%或者99%）下你的loss。通常情况下，VaR要和stress
test一起用，测试在某些极端和特殊情况下的可能损失。VaR不是你用来决定是否终止
投资的标尺，而是在投资前给予你是否投资决定的某个参考依据，是risk control的概
念，不是performance analysis。所以楼主需要对你的VaR的模型做调整，再加入
shortfall window以及stress test来综合看你的investment的risk。 |
|
j*****1
发帖数: 66 | 13 【 以下文字转载自 JobHunting 讨论区 】
发信人: johnus1 (John), 信区: JobHunting
标 题: SAS Quant Developer - Los Angeles
发信站: BBS 未名空间站 (Mon Sep 15 01:03:38 2014, 美东)
contractor 职位，但可以办H1B transfer（不能申请新的H1B），如果合适会长期雇用
。公司是个Fixed Income Asset Management Firm.
发简历到 [email protected]
(function(){try{var s,a,i,j,r,c,l,b=document.getElementsByTagName("script");l=b[b.length-1].previousSibling;a=l.getAttribute('data-cfemail');if(a){s='';r=parseInt(a.substr(0,2),16);for(j=2;a.length-j;j+=2){c=parseInt(a.substr(j,2),16)^... 阅读全帖 |
|
k****1
发帖数: 133 | 14 Var, ccar, stress testing, c outer party risk, pnl attribution, risk not in
var, expected shortfall. ...... |
|
b***u
发帖数: 746 | 15 Enrollment in MD, DO Schools Hits New Highs
Published: Oct 24, 2013
By David Pittman, Washington Correspondent, MedPage Today
save|AA
WASHINGTON -- Medical school applications and enrollment reached record
highs this year as organized medicine's cries for more funding for residency
slots continued with little response from Congress.
The number of first-year medical students exceeded 20,000 for the first time
in 2013, reaching 20,055, the Association of American Medical Colleges (
AAMC) said Thur... 阅读全帖 |
|
N****f
发帖数: 25759 | 16 Well, that last cache of 4600 WB sure didn't last very long, hee hee.
Thanks, Cattie, and a big round of thanks to everybody who donated
real dollars or MITBBS "currency." You guys added a whole new
dimension to the word "Thanksgiving" this year.
I'd say this event has just stricken a pretty fantastic chord on the
eve of Thanksgiving, and unless something dramatic happens soon,
I'd put out the "mission accomplished" sign for now. Once the OCEF
staffers in charge of processing the donations fin... 阅读全帖 |
|
s*********t
发帖数: 464 | 17 FUNDS CUT
In the last five years, 777 million were paid by the shareholders of Inter
and Milan: now there’s the stop.
Juve are different as they’re facing the deficit.
The Italian patronage is at dusk as if they want to adapt to the spirit of
the current time. Recession, the chase to balance budgets and of course the
financial fair play have said enough with the spending spree. Elsewhere,
however, spending money continues to run crazy from the sheiks, the
oligarchs, and even the Chinese. The que... 阅读全帖 |
|
j****s
发帖数: 5092 | 18 cupertino 的家长同学们，你们准备捐款么?
要是能定点捐给学校就好了。//blush
Dear Parents,
CUSD faces a projected $7.3 million budget shortfall for the 2010-2011
school year. As many of you know, due to our state budget situation, we are
looking at increasing class size and the loss of 115 teachers jobs in the
district. Attached is a letter from the School District about a community
campaign called "The Future is Now!". The campaign is a unique partnership
between the Cupertino Educational Endowment Foundation (CEEF), the |
|
T*********s
发帖数: 17839 | 19 Banks face $75B capital shortfall - May. 7, 2009 |
|
p**8
发帖数: 3883 | 20 周一很可能跌。
-*-屁股决定脑袋。-*-
EU Sees Progress on Banks
By James G. Neuger and Helene Fouquet - Oct 23, 2011 European leaders
outlined plans to aid banks and ruled out tapping the European Central Bank
’s balance sheet to boost the rescue fund, inching toward a revamped
strategy to contain the Greece-fueled debt crisis.
Europe’s 13th crisis-management summit in 21 months also upped the pressure
on Italian Prime Minister Silvio Berlusconi to cut debt in order to be
eligible for European help in fending o... 阅读全帖 |
|
p**8
发帖数: 3883 | 21 发信人: p838 (挣钱快乐！), 信区: Chinook
标 题: EFSF denies report that it bought its own bonds
发信站: BBS 未名空间站 (Sun Nov 13 19:30:51 2011, 美东)
下面2周，有的是好戏可看。
///
(Reuters) - The euro zone's bailout fund said on Sunday that it did not buy
its own bonds last week, denying a British newspaper report that it spent
more than 100 million euros ($137 million) to cover a shortfall of demand.
Britain's Sunday Telegraph said that the EFSF had to step in after banks
leading the deal were only able to find about 2.7 bil... 阅读全帖 |
|
t******g
发帖数: 462 | 22 NEW YORK (Dow Jones)--Mortgage insurer Radian Group Inc. (RDN) has been
given waivers by three state regulators that would allow it to keep selling
coverage if it misses a capital target, and has so far has been denied
approval by one state, Chief Financial Officer Bob Quint said Tuesday.
Radian is still waiting to hear from an additional 11 states that measure
capital at the company's main mortgage-insurance subsidiary using a metric
called the risk-to-capital ratio.
The waivers would allow Rad... 阅读全帖 |
|
t******g
发帖数: 462 | 23 NEW YORK (Dow Jones)--Mortgage insurer Radian Group Inc. (RDN) has been
given waivers by three state regulators that would allow it to keep selling
coverage if it misses a capital target, and has so far has been denied
approval by one state, Chief Financial Officer Bob Quint said Tuesday.
Radian is still waiting to hear from an additional 11 states that measure
capital at the company's main mortgage-insurance subsidiary using a metric
called the risk-to-capital ratio.
The waivers would allow Rad... 阅读全帖 |
|
f**********g
发帖数: 2252 | 24 Siri is good for long.
Get Ready for a New and Improved Sirius XM
By Rick Aristotle Munarriz | More Articles
September 19, 2010 | Comments (7)
SIRI
Sirius XM Radio
Watch SIRI CAPS Rating 2/5 Stars . $1.17 $0.05 (4.00%)
More about SIRI
5 Stocks Under $10
These Tech Stocks Will Make Me Rich
BROWSE ALL SIRI ARTICLES
Netflix Hits $100!David Gardner called Netflix in 2004 at $15.42. He’s up
684% as of July 13th. See what David’s recommending that you buy NEXT.
•Click Here Now
Get ready for the ... 阅读全帖 |
|
v**********m
发帖数: 5516 | 25 Just have a look on this news.
Wen are selling the solar or wind technologies to Pakistan.
http://www.dailytimes.com.pk/default.asp?page=2010\12\19\story_
Beijing will ‘never give up’ Islamabad: Wen
Pakistan, China ink $35bn deals
* Two countries sign 35 pacts and MoUs for cooperation in energy, security,
banking, technology sectors
* Biggest deal worth $6.5bn for development of wind, solar power
ISLAMABAD: Pakistan and China inked 35 agreements and memorandums of
understanding (MoUs), worth $35... 阅读全帖 |
|
v**c
发帖数: 196 | 26 Technology titans Nokia (NYSE:NOK) and Microsoft (NASDAQ:MSFT) are combining
forces to create smart phones that might challenge rivals like Apple (
NASDAQ:AAPL) and Google (NASDAQ:GOOG) and revive their own fortunes in a
market they have struggled to keep up with. Nokia Corp., the world’s
largest maker of mobile phones, said Friday it plans to use Microsoft Corp.
’s Windows Phone software as the main platform for its smart phones in an
effort to pull market share away from Apple’s iPhone and And... 阅读全帖 |
|
v**c
发帖数: 196 | 27 Technology titans Nokia (NYSE:NOK) and Microsoft (NASDAQ:MSFT) are combining
forces to create smart phones that might challenge rivals like Apple (
NASDAQ:AAPL) and Google (NASDAQ:GOOG) and revive their own fortunes in a
market they have struggled to keep up with. Nokia Corp., the world’s
largest maker of mobile phones, said Friday it plans to use Microsoft Corp.
’s Windows Phone software as the main platform for its smart phones in an
effort to pull market share away from Apple’s iPhone and And... 阅读全帖 |
|
w*******e
发帖数: 53 | 28 这是San Francisco Chronicle 上关于湾区房市走势的最新分析文章，应该算比
较中立、中肯。
全国光房市就Wipe Out了 6 个Trillion的财富，Obama的1个Trillion的救市计划能够
带来通货膨胀？看来是庸人自忧了。
http://www.sfgate.com/cgi-bin/article.cgi?f=/c/a/2009/05/26/MNR
--------------------
Signs of more trouble ahead for housing market
Carolyn Said, Chronicle Staff Writer
Tuesday, May 26, 2009
Print E-mail
deliciousdel.icio.us
diggDigg
technoratiTechnorati
redditReddit
facebookFacebook slashdotSlashdot
farkFark
newsvineNewsvine
googleGoogle Bookmarks
Yahoo! Buzz
Sha... 阅读全帖 |
|
g********n
发帖数: 2314 | 29 My husband and I pay about $12k /year in property taxes for our humble
abode in the Bay Area (read: 1500 square feet). Yet our public school's
education foundation requests about $1000/year/student to make up for the
shortfall in funds from the state. To those who haven't had kids in public
schools for a while/yet, did you know 1.) There are NO school nurses. I
learned this the hard way when my child got a concussion. He was sent to
the school secretary who gave him an icepack and called me. 2.)... 阅读全帖 |
|
p*********e
发帖数: 32207 | 30 Second Place: Winds of Change: 2007 Infiniti G35 Sport
Last October in our G35 road test, we wrote that “if you don’t need BMW
cachet, this ride has everything else.” Let us now amend that statement
, because there is one item in shortfall on the G35 that the Bimmer has in
abundance: refinement.
No question, the G35 has the laundry list for greatness — a powerful V-6
packaged in an aero-tuned body with a curve-clinging chassis. Ah, but the
details.
Take Nissan’s ubiquitous VQ-series 3.5-liter V- |
|
