Portfolio diversification, now ! No arbitrage in securities markets. The value of put+call portfolio on the same security should be less then or equal zero. The Living Life. Can't beat them all. Back to small features. Code is often grateful.
All day no keyboard. Sort of.
Dealing with one-offs. Hate to do it. Thinking about correlation coefficient. Working code | reading about portfolio analysis. Risk-increasing portfolios ? Can we really construct arbitrary risk functions ? Risk beyond the classical MPT "variance of normal distribution" definition. Risk function as expected value of loss function given distribution estimator and appropriate parameter. Still trying to figure out the analytical derivation of efficient frontier.
Tired. Sleepy. Gone.
