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comment R package for portfolio
Really very clever! In short $y_i = |w_i|$ -> right?
May
22
answered Portfolio volatility
May
22
comment Need for Binomial Representation Theorem
Please write the question title without abreviations. Furthermore. I wonder if the question is clear to someone who does not know the book. I would like to help you if you could reformulate the question a bit. But maybe someone else can anyways.
May
21
comment R package for portfolio
You could have a closer look at fPortfolio but I don't know whether everything that they promised really works.
May
21
revised R package for portfolio
added 480 characters in body
May
21
comment R package for portfolio
I edited and took into account the comment of John about the package nloptr.
May
21
revised R package for portfolio
added 405 characters in body
May
20
answered R package for portfolio
May
18
revised For $B_t$ a Brownian motion what is the probability that $B_1>0$ and $B_2<0$?
edited title
May
18
revised Why does the short rate in the Hull White model follow a normal distribution?
edited body; edited title
May
18
comment Fractional Brownian motion
Why should $s$ be negative?
May
18
revised Fractional Brownian motion
edited title
May
15
comment Systematic Views in Black-Litterman?
I edited my answer.
May
15
revised Systematic Views in Black-Litterman?
added 550 characters in body
May
13
answered Systematic Views in Black-Litterman?
May
13
answered Short Volatility
May
7
comment How to infer correlation?
Yes, I meant method 2)
May
5
comment How to infer correlation?
Of course you don't know it but by using MC you introduce a sampling error when you can something analytic instead.
May
5
revised martingale decomposition problem
added 4 characters in body
May
5
comment How to infer correlation?
if you do MC sample you usually don't have the exact covariance (see e.g. Sampling with exact covaraince). So if you can have the exact covariance - why not use it?