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Feb
3
accepted Tools in R for estimating time-varying copulas?
Jan
28
accepted What are some research articles on using principle components to generate alpha?
Aug
21
accepted Implied forward rates puzzle
Aug
3
accepted What is the relative performance of hard-to-borrow securities?
Jun
12
accepted What are some applications of bioinformatics or genetics to generating alpha in U.S. equities?
May
4
accepted Analytical relationship between a covariance matrix and cross-sectional dispersion
Mar
31
accepted What is the impact of high-frequency trading on market depth, liquidity, and volatility?
Dec
29
accepted How to apply risk-parity portfolio construction to a dollar-neutral portfolio?
Dec
6
accepted Performance Attribution : Annualizing alpha & factor return contributions
Nov
30
accepted Cleansing covariance matrices via Random matrix theory
Nov
30
accepted zero-sum active management riddle
Nov
7
accepted Empirical or theoretical quant insights that have shaped your thinking?
Nov
7
accepted Monte carlo portfolio risk simulation
Oct
25
accepted Has any research used Bayesian networks to estimate risk factor betas?
Oct
6
accepted Choice of prior as a shrinkage target in portfolio construction?
Oct
4
accepted What is the best way to “fix” a covariance matrix that is not positive semi-definite?
Oct
3
accepted Is there any research on applying state-space or dynamic linear models to forecasting equity risk premia?
Oct
1
accepted Efficiency vs. Robustness - To use a constant or not in single factor time-series regression?
Sep
26
accepted Which approach to estimating fundamental factor models is better, cross-sectional (unobservable) factors or time-series (observable) factors?
Sep
23
accepted How to compute modified-CVaR in the PerformanceAnalytics package?