Patrick Burns

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+10 How do I adjust a correlation matrix whose elements are generated from different market regimes?
+15 How can higher co-moments be applied to portfolio optimization in an asset allocation context?
+20 Does random matrix theory (RMT) for returns' correlation matrices apply if there are high correlations?
+10 What are the risk factors in analysing strategies?
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correlation × 6
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backtesting × 6
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estimation × 3
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risk × 7
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optimization × 3
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statistics × 4
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market-regimes × 2
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time-series × 4
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cointegration × 2
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