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  • 0 posts edited
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  • 30 votes cast
Feb
27
comment Return Attribution: Possible remedies for multicollinearity
Thanks NegativeJo, this is exactly what I was looking. In the past, this is exactly how I had seen it being handled. I just couldn't recall it.
Feb
22
revised Return Attribution: Possible remedies for multicollinearity
added 146 characters in body
Feb
22
comment Return Attribution: Possible remedies for multicollinearity
See the edit above.
Feb
22
revised Return Attribution: Possible remedies for multicollinearity
edited body
Feb
21
asked Return Attribution: Possible remedies for multicollinearity
Feb
10
comment Dollar-Neutral Strategy
FYI.. Dollar neutrality is not the same thing as market neutrality
Jun
24
awarded  Popular Question
Apr
25
awarded  Popular Question
Apr
4
awarded  Popular Question
Nov
29
awarded  Citizen Patrol
Nov
11
awarded  Notable Question
Nov
6
comment Factor Model - Minimum Variance Portfolio [Complete Proof]
In your first formula for portfolio variance, you are missing a w. it should be w'var(e)w
Jul
2
awarded  Curious
May
9
awarded  Nice Question
Mar
26
comment Is the volatility of a trader's wealth equal to the volatility of the underlying assets traded?
Would a variance of a non-stationary process like Price make sense ?
Feb
27
comment Bloomberg Alternative for Quant Fund
How about Reuter's Eikon? They are trying hard to unseat Bloomberg, so who knows you might score a sweet deal with them.
Jan
16
comment Do you know any data source for historical VWAP data?
I am aware of Quantopian. I am looking for a source where I am able to download the data on my machine locally.
Jan
8
asked Do you know any data source for historical VWAP data?
Dec
21
awarded  Benefactor
Dec
20
awarded  Teacher