John

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45 Answers

newest activity votes
1
Transformation to reduce standard deviation without changing median
0
Calculating Geometric mean
2
Data Synchronization
2
Correlation decay in lognormal distribution
3
How to calculate tracking error given mismatches in available data
1
How to implement a long-term trade on oil?
3
How to use Newey West covariance corrector?
2
Discrete returns versus log returns of assets
4
Squared and Absolute Returns
0
What data transformations to use in regression of credit spreads on equity prices?
2
Regime switching in mean reverting stochastic process
0
Optimizing a currency only portfolio with negative weights
1
Calculating true value of a stock given the order-book and recent trades
2
How to calculate discounted inflation and growth?
0
Optimality of Kelly criterion in non-normal environment
1
desk's performance
3
Does entropy pooling apply to distributions with time-varying drift?
2
Missing factor in the factor model
1
Why is the CAPM securities market line straight?
3
Is it possible to derive the “risk tolerance” from the portfolio efficient frontier?
2
Which objective function should I choose to minimize tracking error?
6
constructing a minimum variance portfolio
1
Accounting for Withdrawals
2
Unsystematic and systematic risk of a portfolio
1
Markowitz mean-variance optimization as “error maximization”
0
Strategy Risk and Portfolio Allocation Model (copy from nuclear phynance)
2
Is this a common variation of sharpe ratio?
5
portfolio optimisation with VaR (or CVaR) constraints
5
How to simulate cointegrated prices
3
Science behind options pricing into Earnings event
1 2