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zee4


Total Posts: 90
Joined: May 2010
 
Posted: 2021-03-04 23:28
Bridging the Gap between Strategic Allocation and Investment Risk please?

Бухарский

Scotty


Total Posts: 727
Joined: Jun 2004
 
Posted: 2021-04-03 09:49
Anyone have Geometric Mean Maximization: A Note on Expected, Observed, and Simulated Performance by Ken Johnston and John Hatem from
The Journal of Investing June 2021

Geometric Mean Maximization: A Note on Expected, Observed, and Simulated Performance

“Whatever you do, or dream you can, begin it. Boldness has genius and power and magic in it.”

quantie


Total Posts: 913
Joined: Jun 2004
 
Posted: 2021-04-18 13:31
This looks promisingPapers

radikal


Total Posts: 266
Joined: Dec 2012
 
Posted: 2021-05-01 16:10
Anyone have JPM's latest crypto piece? I've seen some excerpts that look quite good.

There are no surprising facts, only models that are surprised by facts

kloc


Total Posts: 43
Joined: May 2017
 
Posted: 2021-05-02 16:56
@radikal - here it is

kavya986
Banned

Total Posts: 23
Joined: May 2021
 
Posted: 2021-05-28 17:17
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frolloos


Total Posts: 137
Joined: Dec 2007
 
Posted: 2021-06-02 17:06
Anyone have Balland (2006, the forward smile, ICBI global derivatives presentation? Seems quite hard to get a hold of.

Ignore this - I found it on one of my USB sticks. getting old..

No vanna, no cry

ATX Trader


Total Posts: 10
Joined: May 2008
 
Posted: 2021-07-29 23:29
Does anyone have access to Marcos Lopez de Prado's complete thesis? I can only find a 42 page sample of the 281 page thesis.

The title is "Advances in High Frequency Strategies". Amazon sells hard copies but I'm looking for the pdf. I can't find the full paper anywhere.

opsenar


Total Posts: 3
Joined: Dec 2010
 
Posted: 2021-08-03 06:10
Does anyone have the full report by UBS on systematic hedging strats? I found only the abridged piece named "Exploring systematic hedging strategies for equity portfolios" online.

Здесь располагает текст на русском языке

mike.space


Total Posts: 5
Joined: Sep 2015
 
Posted: 2021-08-25 06:58
Hi, does anyone have a copy from morgan stanley.: "Quantitative Investment Strategies: Introduction to Quantitative Investment Strategies Research: Rule-Based Value Investing"

zee4


Total Posts: 90
Joined: May 2010
 
Posted: 2021-08-30 16:09
How Do the Volatilities of Rates Depend on Their Level? The “Universal Relationship” Revisited please?

Бухарский

eye51


Total Posts: 213
Joined: Oct 2004
 
Posted: 2021-12-23 20:36
Hi Zee4,

Attached File: How Do the Volatilities of Rates depend on their level.pdf

Peace means reloading your guns

frolloos


Total Posts: 137
Joined: Dec 2007
 
Posted: 2021-12-27 09:46
Anyone have "Sticky varswaps" by Huang and Torne?

https://www.risk.net/cutting-edge/banking/7899751/sticky-varswaps

No vanna, no cry

pj


Total Posts: 3654
Joined: Jun 2004
 
Posted: 2022-01-01 11:10
sent

The older I grow, the more I distrust the familiar doctrine that age brings wisdom Henry L. Mencken

frolloos


Total Posts: 137
Joined: Dec 2007
 
Posted: 2022-01-01 11:29
Thank you, pj.

No vanna, no cry

pj


Total Posts: 3654
Joined: Jun 2004
 
Posted: 2022-02-14 10:00
Hi team,

Does anyone has a copy of
A Quick Algorithm for Pricing European Average Options
by
Stuart M. Turnbull
and
Lee Macdonald Wakeman
DOI https://doi.org/10.2307/2331213
?

The older I grow, the more I distrust the familiar doctrine that age brings wisdom Henry L. Mencken

Dizzy


Total Posts: 261
Joined: May 2006
 
Posted: 2022-02-14 13:00
pj,

not to sound boring, but this one works for me:

https://sci-hub.ru/10.2307/2331213

"Although the code snippet makes taking over the earth look fairly easy, you don't see all the hard work going on behind the scenes." - Programming F#, Chris Smith

pj


Total Posts: 3654
Joined: Jun 2004
 
Posted: 2022-02-14 13:14
Thank you, Dizzy,

It was time to update my link
(which was ending with .se).

The older I grow, the more I distrust the familiar doctrine that age brings wisdom Henry L. Mencken

mallpraise


Total Posts: 1
Joined: Mar 2022
 
Posted: 2022-03-16 13:49
became a searcher,wanting to discover who i was and what made me precise. my view of myself turned into changing. i desired a stable base to start from. i commenced to resist3 stress to behave in ways that i didn’t like any greater,and i used to be delighted by who i in reality become. i got here to feel a good deal extra sure that no one can ever take my region.
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naturalemojiprocessingalpharesearcher


Total Posts: 10
Joined: Mar 2021
 
Posted: 2022-03-23 00:54
Anyone have Meta-Labeling: Theory and Framework?
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