User Vishal Belsare - Quantitative Finance Stack Exchange

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	462 reputation	bio	website		visits	member for	2 years, 4 months
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robust portfolio optimization re-balancing with transaction costs

jul 27 '11 at 13:32 Brian G. Peterson 293

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10

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How do you evaluate a covariance forecast?

forecasting statistics covariance

feb 10 '11 at 18:40 Paul H. Lasky 251

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2

answers

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Cluster analysis vs PCA for risk models?

risk-models pca

mar 18 '11 at 16:44 Ralph Winters 644

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5

answers

1

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Most successful investors using academic-based framework?

quant-trading-strategies research factor-models academia big-list

jan 3 '12 at 13:20 olaker♦ 2,313

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answers

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How do different methods and techniques used in pairs trading compare?

quant-trading-strategies arbitrage cointegration

jun 4 at 1:45 chrisaycock♦ 5,211

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answers

1

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portfolio optimisation with VaR (or CVaR) constraints

portfolio-management optimization var

jan 13 at 13:29 Marc Shivers 424

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votes

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answers

1

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R code for Ornstein-Uhlenbeck process

r mean mean-reversion

nov 19 at 19:16 Louis Marascio 1,682

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answers

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Why is there no “meta-model”?

strategy

mar 25 '12 at 20:44 stevegt 354

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answers

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What are the advantages of switching platforms/languages between strategy development and implementation?

backtesting quant-trading-strategies

feb 2 '12 at 1:46 Dirk Eddelbuettel 3,098

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votes

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answers

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Is there any theoretical basis for pattern-recognition strategies?

theory

feb 2 '11 at 8:47 Zarbouzou 1,140

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answer

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Why is the first principal component a proxy for the market portfolio, and what other proxies exist?

statistics beta modern-portfolio-theory pca

apr 9 '12 at 0:33 Quant Guy 7,554

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What programming language is best suited for implementing DeMark?

programming

aug 23 '11 at 12:30 Dmitri Nesteruk 827

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6

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answer

995

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How does Kalman filtering of beta in pairs trading model work in R?

beta pair-trading

nov 10 '11 at 14:54 Quant Guy 7,554

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988

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How to quickly estimate a lower bound on correlation for a large number of stocks?

time-series correlation numerical-methods

jun 7 '12 at 3:55 David B 1

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980

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Is there a technique for using xts or zoo objects with options data (i.e., many entries per date) in R?

data analysis options r

feb 19 '11 at 16:31 richardh♦ 3,045

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961

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How do I adjust a correlation matrix whose elements are generated from different market regimes?

market-regimes correlation-matrix

dec 26 '11 at 1:26 Branson 250

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9

votes

5

answers

945

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When to shut down a trend following strategy?

arbitrage

mar 24 '11 at 3:46 giminey 61

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3

answers

934

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Why do expected return models and risk models use different factors?

portfolio-management asset-allocation factor-models

jan 16 '12 at 20:33 Quant Guy 7,554

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12

votes

5

answers

925

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is beta of a portfolio always meaningful?

hedging beta portfolio

feb 9 '11 at 17:29 Patrick Burns 1,619

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2

answers

923

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Is there a standard model for market impact?

market-impact models

feb 8 '11 at 14:20 gappy 1,988

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1

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894

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Can end-to-day trading be profitable? If not, why? [closed]

quant-trading-strategies trading high-frequency

jun 22 '12 at 17:33 KKB 147

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12

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3

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884

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Does mean-variance portfolio optimization provide a real edge to those who use it?

mean-variance optimization

feb 9 '11 at 18:13 Hans Radtke 31

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7

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2

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878

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How to apply risk-parity portfolio construction to a dollar-neutral portfolio?

risk risk-management optimization portfolio-selection

dec 29 '11 at 15:33 SRKX♦ 4,788

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7

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1

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877

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What is the basis risk between cash and futures government bonds?

risk futures fixed-income duration

aug 18 '11 at 18:12 Tal Fishman 6,765

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6

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861

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How to generate a random price series with a specified range and correlation with an actual price?

time-series correlation simulations random-variables asset-pricing

jan 3 '12 at 20:22 babelproofreader 1,077

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6

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4

answers

858

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Can the futures market's open interest predict commodity, treasury, and equity returns?

trading futures forecasting

mar 21 '11 at 17:05 bill_080 2,682

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2

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857

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Value-at-Risk of the sum of two dependent lognormal random variables

risk-management

jan 27 '12 at 6:08 Feral Oink 241

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842

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What is the ideal ratio of in-sample length to out-of-sample length?

backtesting quant-trading-strategies

sep 23 '11 at 14:26 babelproofreader 1,077

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3

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842

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Probability - Generating fair outcome using unfair coin

probability

feb 10 '11 at 18:39 ObelAnna 121

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841

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How to optimally allocate capital among trading strategies?

quant-trading-strategies position-sizing kelly-criterion

oct 13 '11 at 2:05 Quant Guy 7,554

Vishal Belsare

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