<t>Are you asking if the market price of risk of a composite of two assets is a linear combination of the respective prices of risk of two assets? The price of risk must be the same for every asset, since otherwise will create an arbitrage opportunity...., i.e. lambda_i = lambda_j = lamdba_composite...

I think who you meet at Orgtel is very important. When I was looking for jobs, I talked to two people and, with one of them, I felt like talking to a stone wall, while the other was much more forthcoming in providing feedbacks/advices and listening to "what I am looking for".

<t>QuoteOriginally posted by: exotiqI still wonder why they call it "re" search if the are actually looking for something for the first time I sometimes wonder whether there was ever anything completely new, never seen before, that was invented by human. Every now and then, I feel it's all about rec...

UK universities tend to have very strict deadlines for their PhD programmes, so they often want to know how you generally go about "solving problems". So perhaps you could talk about that?

<t>Yes, it seems quite a few banks have their FX operations in Singapore, while Hong Kong is a popular destination for equity derivatives. QuoteOriginally posted by: TomfrML and SocGen (FX) are Singapore based as wellQuoteOriginally posted by: mwc227Barclays has its derivatives trading team in Singa...

<t>Does anyone know if any of MS/GS Asia (ex Japan) derivatives teams are headquartered in Singapore?It looks like Singapore is hollowing out as a regional headquarters for derivatives...... or was it ever one? I heard GS still has their energy derivatives team based there. Also it looks like at lea...

QuoteOriginally posted by: luebkemaximizing skewness - of course, only with a few asset classes, but not with hundreds of assets.Oh! luebke, do you have any papers/references I can have a look at? Which asset classes? Constrained to mean and/or variance? Global optimality?

<t>Another increasingly popular trend I see is fund managers wanting to be neutral with respect to currency risk when constructing a diversified international portfolio. In this case, what one can do is to add the currencies in question as separate assets and add linear constraints that short the cu...

<r>Simple mean-variance (i.e. Markowitz) optimisation with linear constraints can be easily handled by Solver, etc (even Maple!). If you want to do anything higher than quadratic or ones with nonlinear constraints, go for NAG (<URL url="http://www.nag.co.uk">www.nag.co.uk</URL>). They provide librar...