551 reputation
314
bio website abremod.com
location Austin, TX
age 48
visits member for 3 years, 2 months
seen 2 days ago

Operations Research Analyst


Nov
6
comment Portfolio Optimization using S&P Universes
@Mayou I'm constructing a hypothetical situation where your inputs favor the larger cap stocks in the S&P 500, so the solvers don't much any benefit from the extra flexibility of the S&P 1500 universe, but have to waste time considering it.
Nov
6
revised Portfolio Optimization using S&P Universes
added further explanations
Nov
4
revised Portfolio Optimization using S&P Universes
added 60 characters in body
Nov
3
answered Portfolio Optimization using S&P Universes
Sep
18
suggested suggested edit on Two assets with the same mean and standard deviation - Would there be any benefit?
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