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visits member for 2 years, 3 months
seen Mar 24 at 3:20

Interested in - R, F#, Home/Retail Quant/Algorithmic trading.


Mar
21
accepted How do I calculate probability distribution of stock prices given option prices?
Mar
20
asked How do I calculate probability distribution of stock prices given option prices?
Feb
23
accepted How to cluster ETFs to reduce cardinality for portfolio selection
Jan
21
awarded  Yearling
Jan
21
awarded  Yearling
Jan
6
comment How to cluster ETFs to reduce cardinality for portfolio selection
I read the attached doc and it's very unclear how your procedure works from that document. Can you please elaborate?
Dec
31
awarded  Editor
Dec
31
revised How to cluster ETFs to reduce cardinality for portfolio selection
added 1489 characters in body
Dec
31
awarded  Commentator
Dec
19
asked How to cluster ETFs to reduce cardinality for portfolio selection
Nov
20
asked portfolio optimization from empirical return distributions
Nov
2
awarded  Notable Question
Jun
10
awarded  Popular Question
Mar
29
comment How to optimize a portfolio under *both* maximum diversity ratio and minimum variance
Can you explain more clearly how you would solve for all these constraints together. E.g. would you formulate a quadratic program, do somethe monte-carlo optimization, something else?
Mar
29
awarded  Critic
Mar
29
comment Risk Parity portfolio construction
I meant what packages/routines to use if I were doing this in R?
Mar
28
comment Risk Parity portfolio construction
Can you explain what techniques are needed to run that optimization?
Mar
28
comment How to optimize a portfolio under *both* maximum diversity ratio and minimum variance
Is it not possible to optimize towards a blend of the two e.g. 50% MVP 50%MDP, or is that simply equivalent to holding an MVP portfolio and an equal amount invested in an MDP?
Mar
28
asked How to optimize a portfolio under *both* maximum diversity ratio and minimum variance
Mar
23
accepted Does random matrix theory (RMT) for returns' correlation matrices apply if there are high correlations?