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 Jan 16 comment Geometric Returns values less than -100% The 2 makes it annualized. Jan 16 revised Geometric Returns values less than -100% edited body Jan 16 answered Geometric Returns values less than -100% Jan 13 comment Black-Litterman with simple portfolio Two options. The first (and easiest if you generalize it) approach is to expand your mean and covariance to include the market. Then you can take the view directly. The second is to create a view on asset 1 that mimics this behavior. In particular, you'd take a view that asset 1 has a return of 40% (solving -60%=x-100%). Jan 13 comment Black-Litterman with simple portfolio Work through Idzorek's paper (the second thing that comes up when googling) corporate.morningstar.com/ib/documents/MethodologyDocuments/… it is pretty clear how to implement your example. If you can point to a specific thing that you're having trouble setting up, then I can help with that. Jan 13 comment Log returns and GARCH models @Ludo Check out this: symmys.com/node/85 Jan 13 comment Black-Litterman with simple portfolio Have you tried googling for Black-Litterman. There are tons of examples out there. Jan 3 comment Bayesian or Frequentist in Finance? Frequentist is far more common. The best way to learn is reading books and then writing programs. In terms of what is better in practice, I think out-of-sample Bayesian and Michaud have better properties than Mean-variance. Dec 31 answered Bayesian or Frequentist in Finance? Dec 31 answered Bayesian estimation of asset pricing models Dec 14 awarded Popular Question Dec 11 comment How to find the best fitting GARCH model for a portfolio composed of 3 ETFs in R? I'm pretty sure you can output the likelihood on rugarch, which means it's not much additional work to get the AIC. Then just write a function to compare the fits. Dec 7 revised How to extrapolate VaR? deleted 21 characters in body Nov 24 comment What are the canonical books for statistics applied to finance? And his website has tons of support materials. Nov 19 comment Different ways of portfolio optimization @user8 I think James is pretty clear. For these problems, it is pretty easy to analytically show that they all produce the same efficient frontier. So for a $\lambda$ you could find a target return or target volatility problem that will produce the same optimal portfolio. Whether you want to use one or the other depends on what you're trying to do and what optimization software you have. Nevertheless, contra James I still could imagine a situation where I would optimize utility and still constrain variance or tracking error. Nov 14 answered CVaR reformulation correct? Nov 13 revised Mutivariate t markets added 1 character in body Nov 12 comment Mutivariate t markets @Quartz I made a slight edit to throw in some basic background. I'm not sure how the elliptical point really helps you. I find that once I start working with heavy tail distributions, I typically just move to a Monte Carlo approach rather than work analytically. Any other issues I can help you with? Nov 12 revised Mutivariate t markets added 300 characters in body Nov 12 answered Mutivariate t markets