Got through level II

Not sure what you mean by finding the CPT but I think what would probably be done in the text was historical returns -> histogram -> approximation for CDF -> combine with the utility function on gain/losses to get the expected value.

QuoteI can solve the KFE by separation of variables and then apply Sturm Liouville theorem to determine the solution. Can you?

<t>QuoteI am studying the GBM and I wonder me which is the rationale behind the fact the this model is able to generate only positive prices.Only if the initial price in positive...QuoteI know that the solution of the GBM is distributed according a lognormal distribution and so the solution must be ...

1) Doubt it. There are methods for faster sparse matrix multiplication but we could safely assume matlab has them implemented.2) I think setting the precision of matlab to a higher value would be better.

can you post the code?

<t>QuoteOriginally posted by: DevonFangsQuoteOriginally posted by: isometryclass Pool { // Contains data/methods for all available securities};class VaRPool : public Pool { // Saves some index information to make calculation of VaR fast};class CVaRPool : public Pool { // Saves some index information...

<t>QuoteOriginally posted by: CuchulainnFirst of all, inheritance is very bad (it's very 90's). To be honest, it's an OOP knee-jerk reaction.The are several other classes using the abstract Pool class. For example, a class Portfolio which takes Pool as an argument in constructors. Having different i...

<t>class Pool { // Contains data/methods for all available securities};class VaRPool : public Pool { // Saves some index information to make calculation of VaR fast};class CVaRPool : public Pool { // Saves some index information to make calculation of CVaR fast};class Selector { operator()(Pool&...

Please please elaborate.

Okay then!

<t>I am writing a class to represent a pool of securities to be used in a portfolio selector. Depending on the objective metric and constraints, the class objects will cache some relevant data for performance optimization. This could be done by defining a base class containing the common elements an...

Assuming you invest all your winnings back to the game , you should calculate the utility at the stopping times T1, T2, ...Then select the stopping time which gives maximum expected utility.

E[x+y]=E[x]+E[y]

If they are independent, E[xy] = E[x]E[y] then use arithmetic > geometric > harmonic mean on the squares...I think it should work