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Nov
14
answered CVaR reformulation correct?
Nov
12
answered Mutivariate t markets
Nov
6
answered Factor Model - Minimum Variance Portfolio [Complete Proof]
Oct
24
answered Statistical arbitrage using eigen portfolios
Oct
22
answered Weighting with restrictions, but no clear objective function?
Oct
22
answered Where can I find a list of VaR and CVaR formulas for continuous distributions?
Oct
20
answered Testing the validity of a factor model for stock returns
Oct
7
answered “Adding” risk-free asset to covariance matrix after the fact
Sep
29
answered What are the most effective market variables to measure liquidity/illiquidity in the market?
Sep
25
answered Factor model assumptions
Sep
17
answered Is this a reasonable approach to determine the relative importance of valuation factors?
Aug
29
answered Estimate correlation of time series whose histories differ in length
Aug
5
answered Johansen Cointegration Test
Jul
26
answered Finding a basket of stocks that tracks an index
Jul
22
answered How to deal with extreme cases in normal random numbers generation?
Jul
17
answered Handling Missing values in stocks returns when estimating the co variance matrix
Jun
25
answered economic facts that causes the financial time series to be heavy tailed
May
20
answered After PCA on original factors, how to tell which original factors are dominant?
May
6
answered Given a correlation martrix, calculate portfolio's correlation with its assets
May
5
answered Why are factor models so popular for risk analysis of portfolios?