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Mar
8
awarded  Necromancer
Feb
28
awarded  Popular Question
Feb
3
accepted Tools in R for estimating time-varying copulas?
Jan
29
awarded  Nice Question
Jan
28
accepted What are some research articles on using principle components to generate alpha?
Jan
23
comment Robust-Bayesian optimization in Markowitz framework
Can you post the link to the paper? Reminds me of an Atillio Meucci paper
Jan
21
asked Typical coefficients uses in square-root model for market impact
Jan
19
awarded  Good Answer
Jan
16
awarded  Nice Answer
Jan
15
awarded  Good Answer
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