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Apr
28
answered Realized “efficient” frontier. Is this reasonable?
Feb
26
answered Modelling and forecasting mixed frequency financial data
Feb
22
answered Why is a risk-free portfolio desirable?
Oct
12
answered French and Fama Three Factor Model - What is the correct formula?
Oct
7
answered correlated random variables with additional autocorrelation - multi dimensional cholesky?
Oct
7
answered Could we estimate a portfolio's volatility using a GARCH on the portfolio returns?
Oct
5
answered Autocorrelation in the GARCH model residuals
Sep
28
answered Tests for Mean Reversion in a Portfolio Rebalancing
Sep
25
answered Adjust regression for thin trading
Jun
11
answered Reproducing levels when PCA has been done on changes
May
18
answered Z-Score calculation for a win-loss streak
May
11
answered Portfolio Selection formulation
May
8
answered How to deal with missing returns when creating value (equal) weighted returns
Apr
15
answered Is a stationary process necessarily mean-reverting?
Apr
8
answered Inferences with non-normal data
Mar
30
answered Calculate efficient frontier using fPortfolio with incomplete set of returns
Feb
23
answered Variable Selection in factor models
Feb
7
answered Why do we usually model returns and not prices?
Feb
1
answered Why model the variance-covariance matrix as an inverse-Wishart distribution in bayesian portfolio analysis?
Jan
16
answered Geometric Returns values less than -100%