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bio website rtybase.blogspot.com
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visits member for 2 years, 10 months
seen Sep 11 at 20:22

Jan
30
comment Portfolio Optimization : Shrinkage of Covariance Matrix when data is available
In Richard's example, with 250 days worth of data you still can compute returns and variances for each individual asset and covariance pairwise, en.wikipedia.org/wiki/Modern_portfolio_theory
Jan
30
comment Portfolio Optimization : Shrinkage of Covariance Matrix when data is available
What do you mean by data points in terms of "Portfolio Optimization"?
Sep
19
comment How to choose a window for curve fitting and prediction?
There are plenty of regression methods, start with linear/polynomial regression. Or try using filters like Kalman filters which are self adaptable.
May
8
comment How to model the daily return using intraday data?
I mentioned the following condition "if we assume convergence", otherwise I certainly may be wrong.
Jan
26
comment How to calculate expected return based on historical data for Mean Variance Analysis
@chrisaycock - fixed! ;)
Jan
5
comment How does an option's time value depend on moneyness?
Probably he knows :) but there is an element of uncertainty in the question "In other words, how does the time value change as the underlying price changes?"