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Mar
25
revised Real world application of stochastic portfolio theory
added 49 characters in body
Mar
24
comment Intergral of Brownian motion w.r.t. Brownian motion
Thanks for providing the details. Yes in fact this shed some more light on the issue ... with $W_t^2$ the random term shows up squared and with $t$ the variance shows up and this is all that remains if I intergrate BM w.r.t BM (in the mean squared sense) ...
Mar
24
revised First step of Black-Litterman portfolio
edited title
Mar
24
comment The Relation Between the Ricci flow and the Black-Scholes-Merton Equation
Could you include some details about the Ricci flow? How does the equation look what could be related to what?
Mar
24
comment First step of Black-Litterman portfolio
Besides just code, could you write down in a formula what your input is and what the expected output is? Is this a theoretical question or programming?
Mar
23
comment When are factors returns in asset pricing and how do we construct them?
Would you like to reformulate the question title? It is not clear to me.
Mar
23
answered Taleb Modified Delta
Mar
22
revised Real world application of stochastic portfolio theory
added 355 characters in body
Mar
22
revised Intergral of Brownian motion w.r.t. Brownian motion
added 2 characters in body; edited title
Mar
22
answered Intergral of Brownian motion w.r.t. Brownian motion
Mar
17
comment Clever ways of “summarising” the equity fund universe
The EM algorithm is rather general. You mean EM-clustering. Would usual clustering (k-means, hyrarchical) do the same? Which distance measure would you propose?
Mar
16
comment Concept Question Regarding Short Rate Model
@Quant2015 if you like the answer and if it helped you then you could accept it by clicking on the respective button ...
Mar
14
answered Concept Question Regarding Short Rate Model
Mar
14
revised How to implement momentum strategy using R
deleted 6 characters in body
Mar
13
comment adding dummy variable to ts object in r for particular quarter
post the first 10 lines of your data set. Do you have a date column? If yes, then one can extract the month (look for the function .. e.g. the Date objects, timeDate and so forth)
Mar
13
answered How to implement momentum strategy using R
Mar
11
answered residual correlation remains after seasonal lag added
Mar
11
comment How to estimate Simple Returns and Monthly Returns from daily stock price observations with Missing data in R
The just provide the necessary info ;) say that there is no data up to 2003 and there is data afterwards ... this would be enough
Mar
11
comment How to estimate Simple Returns and Monthly Returns from daily stock price observations with Missing data in R
Yes ... so laster on you have data ... right? Please change your question accordingly
Mar
11
comment How to estimate Simple Returns and Monthly Returns from daily stock price observations with Missing data in R
So we know nothing about C and should estimate the returns? Wouldn't this be pure guess? There is not even one data point in C ... do I see this correctly?