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Jan
9
awarded  Popular Question
Dec
23
comment Are there any tools or useful algos for identifying corner portfolios?
No - an efficient portfolio is only a linear combination of any two corner portfolios.
Dec
19
awarded  Yearling
Dec
16
awarded  Necromancer
Dec
13
awarded  Nice Answer
Nov
29
awarded  Nice Answer
Nov
29
comment Bootstrapping first, then data mine?
Great point re: preserving the auto and cross correlations. Block bootsrap method discussed by Stambaugh appears effective in that regard but it seems to me that the research on the best bootstrapping method is not definitive
Nov
21
answered portfolio optimization from empirical return distributions
Nov
6
revised Rank Correlation Based Prediction
added 455 characters in body
Nov
6
answered Rank Correlation Based Prediction
Oct
10
awarded  Popular Question
Oct
9
reviewed Approve Trading a synthetic replication of the VIX index
Oct
6
revised How to properly cross-validate when optimizing SVM classification?
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Oct
6
answered How to properly cross-validate when optimizing SVM classification?
Oct
6
revised Can money technically flow in and out of stocks or asset classes?
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Oct
6
answered Can money technically flow in and out of stocks or asset classes?
Sep
28
comment Comparing MVO with Resampled Efficient Frontier
The best is probably Michaud's original text. Markowitz himself has some positive remarks: pionline.com/article/20031222/PRINTSUB/312220715 Of course, Markowitz's comments were before Scherer's systematic take-down so take it with a grain of salt. My view - there are better alternatives out there.
Sep
28
revised Comparing MVO with Resampled Efficient Frontier
added 58 characters in body
Sep
28
answered Comparing MVO with Resampled Efficient Frontier
Sep
25
answered Library of basic indicators