Thanks Alan, but the question still remains there is significant difference and virtually PUT write has most of the time outperformed CALL write, performance differential between PUT Index and BXM Index is significant.

<t>I am comparing Put Write (PUT Index) Vs Buy Write (BXM Index) on S&P 500 -Put Write is a strategy that keep rolling S&P 500 Monthly ATM Put Options and keeps premiums in a cash accountBuy Write shorts Monthly ATM Call Options and keeps rolling them on a long portfolio of S&P 500.Since...

Every edge has a direction. In the modified problem - you can travel backwards but no two consecutive backward moves implying if you make a backward move then immediately preceding and immediatley following moves should be along the direction of the edges

<t>Hi,I am trying to implement a a dynamic programming algorithm. In a traditional Flyod Warshall algo, the shortest path between two nodes of a graph is a recursive eqn-:A[j] = min(A[j], A[k] +A[k][j]), where k is any intermediatery node between i and jThe thing is in this problem we are only trave...

<t>Hi,Ok, i know this is simple stuff, but I have to ask for help on this!I work on lot of financial data in spreadsheets, which is updated every month (Bloomberg 'bdp'). I have to create lots of charts based on this data and document them in Docx files. Since the underlying data is updated regularl...

Thanks....I have used it for Linear Programs but is it stable for Quadratic Programs as well?

<t>Hi,I have to solve a Black Litterman problem for a portfolio and I have E-Views and Excel as option. Since E-Views is not a good optimization tool, i wanted to know--How good is excel/VBA for solving a simple quadratic program (as in portfolio optimization)--Is there any add in or a function in V...

<t>Hi,I have a portfolio which comprises only of Emerging Markets (EM's). Now to get the portfolio variance (or in other words the Covariance matrix) we decided to use following equation sigma * rho *sigma' where Sigma is the variance diagonal matrix for sectors that i have invested in EM's. For RHO...

<t>QuoteDoes not surprise me at all. It is very hard to replicate the time series but relatively easy to replicate the covariance structure. Can you also tell me how different the beta of GE was in the two time periods. Also, measure the beta of another security like GE. This is also harder because ...

<t>QuoteOriginally posted by: cryptic26QuoteOriginally posted by: gs2440 As i get from your reply there are two ways a) Evaluate with whatever data I have the covariance of stock 'X' (stock with little data) and hope that the covariance would be same even for period where 'X' doesn't have a history ...

<t>QuoteOriginally posted by: cryptic26QuoteOriginally posted by: gs2440Dear Cryptic 26,Thanks for your response it surely does gives a food for thought. However my problem is if data is scarce for my asset class 'X' then how do i establish a replicating stock. I assume here we are talking for a sto...

<t>Dear Cryptic 26,Thanks for your response it surely does gives a food for thought. However my problem is if data is scarce for my asset class 'X' then how do i establish a replicating stock. I assume here we are talking for a stock with correlation close to 1 with our asset class 'X'. But with sca...

<t>Hi,Black Litterman Model takes the equilibrium portfolio and tilts it to incorporate investors view. I have two questions about this to our erudite members -:1. For any kind of model we give input parameters generally developed based on historical data. For instance in Black Litterman we feed the...

Definitely this is not the best time for Finance interviews, but i would like to poll in the community about their views on job scene compared with last year, specially the job scene of entry level positions..