## Top new questions this week:

### Gain/loss-asymmetry in artificial financial markets?

The gain/loss asymmetry is a well known stylized fact: It basically states that real financial time series take longer for going up than going down. My question Are you aware of any artificial ...

stylized-facts artificial-markets multi-agent-simulations

### Risk budgeting for Non linear Portfolios

I am using this question to compute optimal weights following a risk budgeting approach. The problem is I am using non-linear portfolios (options,equity,fixed income,fx). What I am looking for is ...

portfolio-management risk-management nonlinear

### Comparing Equity Funds

I am trying to compare 2 equity funds, I have 10Y of monthly returns (no knowledge of their share allocations) - and their index benchmark returns. They are both Value managers but I am not looking ...

equities

### Rebalancing portfolio weights

I have a matrix of returns and weights for every time period. returns<-rbind(c(-0.05,0.04,0.37),c(0.15,0.02,-0.07)) weights<-rbind(c(0.5,0.1,0.4),c(0.4,0.2,0.4)) I would like to rebalance the ...

r portfolio rebalancing

### Why $N(d_1)$ and $N(d_2)$ are different in Black & Scholes

I'm struggling to understand the meaning of $d_1$ and $d_2$ in Black & Scholes formula and why they're different from each other. As per the formula, $$C = SN(d_1) - e^{-rT}XN(d_2)$$ which ...

black-scholes

### Impact of big order on price

What is known about the question: If someone buys or sells a huge amount of some asset how the price would change ? Of course, it depends on the kind of assets and other context. My main interest is ...

order-execution

I downloaded data from NSE(National Stock Exchange) website regarding closing price of European Call Option written on Index. From standard textbook, I read that option contract must satisfy $C(t) ... option-pricing derivatives asset-pricing option-strategies  asked by Neeraj 2 votes ## Greatest hits from previous weeks: ### How do I calculate the delta of a convertible bond? How can I find the delta of a convertible bond to be used for hedging? delta-neutral convertible-bond  asked by tshauck 5 votes  answered by Tangurena 7 votes ### What open source trading platform are available I would like to compile a list of open source trading platforms. Something that would give an overview and comparison of different architectures and approaches. trading high-frequency  asked by Datageek 7 votes  answered by Andrew Campbell 5 votes ## Can you answer these? ### Orthogonal Regression/PCA I am doing orthogonal regression. My X matrix consists of returns on a broad market index, value index, growth index, a few sectors,.....(my Y is the returns on an equity fund) I am regressing the Y ... regression pca  asked by NickF 1 vote ### soft vs hard contraints in portfolio optimizations Consider two sample portfolio optimizations: Optimization 1:$\begin{matrix} \\ \min \frac{1}{2} w'\Sigma w \\ w'\mu = r \\ Aw = 0 \\ w_l \le w \le w_u \end{matrix}$Optimization 2:$\begin{matrix} ...

portfolio-optimization