| bio | website | zoonek.free.fr |
|---|---|---|
| location | London | |
| age | ||
| visits | member for | 1 year, 4 months |
| seen | 2 days ago | |
| stats | profile views | 73 |
After studying algebraic geometry, algebraic topology and category theory, after teaching mathematics and computer science in university and high school, after studying bioinformatics and implementing image analysis algorithms in a biotech start-up, I have since been working in finance, in London and Tōkyō.
My preferred programming languages are R and Perl, but I try to use the best language and tools to solve the problem at hand. I also like to learn more marginal languages, such as Haskell or Oz/Mozart. I am interested in human languages, too.
Here is a selection of my answers.
Computing a probability density function from its characteristic function or by maximizing its entropy;
Quadratic programming to ensure a sequence is increasing or to position labels on a plot
Reparametrizing optimization problems to make them unconstrained, for instance to fit stable distribution; penalizing them to restrict them to a discrete search space
Speeding up computations in R using C or by expanding some of the computations
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May 7 |
revised |
How to implement Maximum Diversification in R? Correct formula (the documentation is typographically ambiguous, but b' D b is in the numerator) |
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Jun 24 |
revised |
Any thoughts on how Warren Buffet's B of A warrants might be “marked-to-market” by either counterparty? Escape the $ signs |
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May 5 |
revised |
MPT: Adding constraint on minimum asset weight Use the same bounds as in the question |
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May 4 |
revised |
Analytical relationship between a covariance matrix and cross-sectional dispersion Simplify the result: the Choleski matrix is not really needed. |
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Mar 1 |
revised |
How to fit probability density function from sample moments? Explain what the GMM is. Note that it is overkill, here. |