i*****r
发帖数: 1302 | 1 比如fat tail的loss, drawdown会有多少之类的.
有个trader告诉我他7月底用类似的方法检测到要有drawdown, 但我不知道他具体用什
么方法. 有相关的书和文章么? |
q*****r
发帖数: 43 | 2 我用过的方法：下半方差、Expected Shortfall、Extreme value thoery。
【在 i*****r 的大作中提到】
: 比如fat tail的loss, drawdown会有多少之类的.
: 有个trader告诉我他7月底用类似的方法检测到要有drawdown, 但我不知道他具体用什
: 么方法. 有相关的书和文章么?
|
i*****r
发帖数: 1302 | 3 谢谢! 我听说过ES,EVT. 但他们是和VaR属于同一个性质的.
那个trader在7/26撤了,那么是不是说,在7/26之前的几天他的ES或者EVT一下子变大了
呢? 不然是怎么预测的呢
【在 q*****r 的大作中提到】
: 我用过的方法：下半方差、Expected Shortfall、Extreme value thoery。
|
b******k
发帖数: 58 | 4 A trader has her own stop policy embedded in her system. It cud be based off
on historical price levels retrofitted with a dash of higher moments within
her comfort zone, or maybe lunar cycles if you want to be a little exotic.
My own experience (somewhat limited) is that, as opposed to looking for some
optimal cutoff points which only adds nothing but whipsaws, I would devolop
another system to overlay my original one for balancing my total portfolio,
which would give me diversifide beta and ma |
j**********e
发帖数: 1615 | 5 好像不一样吧
VaR是非coherent的
【在 i*****r 的大作中提到】
: 谢谢! 我听说过ES,EVT. 但他们是和VaR属于同一个性质的.
: 那个trader在7/26撤了,那么是不是说,在7/26之前的几天他的ES或者EVT一下子变大了
: 呢? 不然是怎么预测的呢
|
h**********k
发帖数: 168 | 6 could you explain "非coherent"? |
f*********1
发帖数: 117 | 7 as different indices of satisfaction，quantile based indices and coherent
indices differ in following aspects:
quantile based indices：
not supper additive，
neither concave or convex of allocation,
neither risk averse, nor risk pronhe, nor risk neutral,
coherent indices:
supper-additive,
convace of allocaiton,
risk averse,
could you explain "非coherent"?
【在 h**********k 的大作中提到】
: could you explain "非coherent"?
|
b******k
发帖数: 58 | 8 you are a complete troll. WTP is w the indexes? We are talking abt risk
measurements here. VaR is sub-optimal simply because of its non-
subadditivity by its very nature. On the other hand, ES or CVaR is sub-
additive and convex, a better coherent measure of risk.
【在 f*********1 的大作中提到】
: as different indices of satisfaction，quantile based indices and coherent
: indices differ in following aspects:
: quantile based indices：
: not supper additive，
: neither concave or convex of allocation,
: neither risk averse, nor risk pronhe, nor risk neutral,
: coherent indices:
: supper-additive,
: convace of allocaiton,
: risk averse,
|
|
f*********1
发帖数: 117 | 9 顺着jack和helmert的贴re下来的，你再看一眼。
ES or CVaR is sub- additive and convex,
~~ ~~~~~~~~~~~~~~~~~~~~~感觉正好反了
a better coherent measure of risk.
【在 b******k 的大作中提到】
: you are a complete troll. WTP is w the indexes? We are talking abt risk
: measurements here. VaR is sub-optimal simply because of its non-
: subadditivity by its very nature. On the other hand, ES or CVaR is sub-
: additive and convex, a better coherent measure of risk.
|
b******k
发帖数: 58 | 10 > francis4321: 顺着jack和helmert的贴re下来的，你再看一眼。
I still dont know what I might be missing.
> francis4321: ~~ ~~~~~~~~~~~~~~~~~~~~~感觉正好反了
I stand by what I am saying. |
i*****r
发帖数: 1302 | 11 不管是Es, EVT都是和VaR性质一样的算最大损失的
但是怎么应用到我说的那个例子里面啊? |
b******k
发帖数: 58 | 12 If his method could work consistently across markets over a sufficient time
interval, pls lemme know who he is. |
