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Nov
11
comment Intuitive explanation of stochastic portfolio theory
I am sure @MarkJoshi could help us out here ;)
Nov
11
revised Intuitive explanation of stochastic portfolio theory
added 257 characters in body
Nov
11
revised Intuitive explanation of stochastic portfolio theory
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Nov
11
comment Intuitive explanation of stochastic portfolio theory
No, there should be more to it ... I will do some more research but what they look at is somehing like the average annual return over longer periods which is the geometric mean of the GBM ...
Nov
11
comment Intuitive explanation of stochastic portfolio theory
SPT says something about this. But isn't the start of this line of thoughts in the growth rate observation? I added 2 references above.
Nov
11
revised Intuitive explanation of stochastic portfolio theory
added 609 characters in body
Nov
11
asked Intuitive explanation of stochastic portfolio theory
Nov
11
answered Duration vs. Convexity Contradiction
Nov
10
answered How to estimate variance-covariance matrix of assets with different length of historical data?
Nov
9
comment Determining the investment strategy
You could improve the question title ... "function of a strategy" is quite unclear.
Nov
9
revised Construction of bond portfolio represented by a CDS-Index
edited title
Nov
9
asked Construction of bond portfolio represented by a CDS-Index
Nov
5
asked Application of time series analysis to Bitcoin prices
Nov
5
comment VaR interpretation for positive returns
The interpretation of VaR for losses is: only in x% of the cases you lose more than VaR. The interpretation of a "VaR" for profit is: only in x% of the cases you win more than this.
Nov
5
answered VaR interpretation for positive returns
Nov
5
revised Calculating portfolio risk
added 314 characters in body
Nov
5
revised Calculating portfolio risk
added 347 characters in body
Nov
5
answered Calculating portfolio risk
Nov
5
comment Calculating portfolio risk
This is very correct. The weighting is only true for simple returns!
Nov
5
answered How is fundamental data taken into account when modelling stock prices with a Geometric Brownian Motion?