531 reputation
314
bio website abremod.com
location Austin, TX
age 47
visits member for 2 years, 11 months
seen Aug 20 at 19:06

Operations Research Analyst


Jan
23
answered what is considered material information?
Jan
16
answered Normality assumption in Sharpe ratio
Jan
7
awarded  Yearling
Jan
3
revised Optimization: Factor model versus asset-by-asset model
added [optimization] tag
Jan
3
suggested suggested edit on Optimization: Factor model versus asset-by-asset model
Jan
3
reviewed Reviewed Arbitraging OANDA continuous rollover vs other brokers' discrete rollover
Jan
2
awarded  Custodian
Jan
2
revised how to choose top n assets?
technical change in the objective function to ensure efficient frontier points
Dec
28
revised how to choose top n assets?
added more details, explained the resoning
Dec
27
revised how to choose top n assets?
added 11 characters in body
Dec
26
answered how to choose top n assets?
Dec
10
revised default probability
formatting,
Dec
10
suggested suggested edit on default probability
Dec
10
comment default probability
P(A∩B)=P(A)∗P(B) is not correct. It's P(A)*P(B|A). Suppose A is a coin toss of heads and B is a coin toss of tails. In that case $P(A \cap B) = 0$, but P(A)*P(B) = 0.25.
Dec
9
awarded  Commentator
Dec
9
comment Min VaR and Min TE as second order cone program
@Richard my answer stays the same. Trading linearly constrained problem with a nonlinear objective for a nonlinearly constrained problem with a linear objective isn't progress. I suggest you take your current .mps file and try it with gurobi and cplex.
Dec
9
revised Market overview trading platforms (with OTC)
removed personal comment, spelling
Dec
9
suggested suggested edit on Market overview trading platforms (with OTC)
Dec
8
comment Min VaR and Min TE as second order cone program
@Richard if you are using the built-in solver that comes with LINDO, then you can likely get at least a 10x speed-up with gurobi or cplex, even without improving your formulation. If you extract an .mps or .lp file, you can easily try the other solvers.
Dec
7
revised Min VaR and Min TE as second order cone program
added more details to the mixed-integer formulation