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visits member for 2 years, 7 months
seen Apr 8 at 20:07

Operations Research, Monte Carlo simulation and Time Series forecasting. Direct email: samikr@gmail.com


Oct
4
answered Fitting a generalized logistic distribution
Oct
4
answered What is the best way to “fix” a covariance matrix that is not positive semi-definite?
Sep
27
comment How to calculate compound returns of leveraged ETFs?
@Richard: Yes, as Tal correctly points out, I am already aware of this fact. But thanks for stressing this again - I guess that is valuable. But, I would say that, contrary to popular belief, leveraged ETF can be held for more than one days with careful monitoring, as has been showed by quite a few academic papers (see for example the 3rd link in bill_080 above).
Sep
26
awarded  Scholar
Sep
26
accepted How to calculate compound returns of leveraged ETFs?
Sep
26
comment How to calculate compound returns of leveraged ETFs?
Ah .. the silliness regarding 9.6%. Thanks for the pointers to the articles. I knew 2 of them, the remaining are great too.
Sep
26
comment How to calculate compound returns of leveraged ETFs?
@Tal: Thanks for the welcome. I am getting started on quant simulations, specially focusing on leveraged ETFs. This was a beginner level question, and hopefully, as I advance my knowledge, I will have more advanced ones to ask.
Sep
26
awarded  Student
Sep
26
asked How to calculate compound returns of leveraged ETFs?
Sep
26
awarded  Supporter