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Apr
1
answered What is the relationship between arithmetic versus geometric averages and simple versus logarithmic prices?
Apr
1
revised How can I estimate the Ornstein-Uhlenbeck paramters of some mean reverting data that I have on R?
added 2 characters in body
Apr
1
comment Please give a step-by-step explanation on how to build a factor model
I have edited the question a bit. I you have done it or know how to do it - could you briefly explain the necessary steps? thanks!
Apr
1
comment Please give a step-by-step explanation on how to build a factor model
I have edited the question a bit. I you have done it or know how to do it - could you briefly explain the necessary steps? thanks!
Apr
1
revised Please give a step-by-step explanation on how to build a factor model
added 394 characters in body
Apr
1
revised How can I estimate the Ornstein-Uhlenbeck paramters of some mean reverting data that I have on R?
added 170 characters in body
Apr
1
answered How can I estimate the Ornstein-Uhlenbeck paramters of some mean reverting data that I have on R?
Mar
27
answered How to fit a SARIMA + GARCH in R?
Mar
27
answered Can I do a GARCH model to forecast a time series?
Mar
27
asked Please give a step-by-step explanation on how to build a factor model
Mar
20
comment Alternatives to CDSs for default term structure?
am I the only one who does not understand the title ? ;)
Mar
20
comment How do I find the Sharpe Ratio?
Please use latex and explain the difference between $m$ and $m_p$ and if you have assets $x_0$ and $x_1$ (prices? returns?) how does $R_p$ relate to that?
Mar
18
answered Historical Data on $/yen forward exchange rates
Mar
13
comment What are pros and cons of mean absolute deviation portfolio optimization?
Please don't post any Google searches - we all can do them ... don't you have links to papers that you have read and that you found interesting?
Mar
12
comment MLE estimate of normal distribution
Why don't you post here: stats.stackexchange.com This is a statistics question.
Mar
12
comment What are pros and cons of mean absolute deviation portfolio optimization?
Thanks for the comment, could you provide links to the papers too? Thanks!
Mar
11
comment What are pros and cons of mean absolute deviation portfolio optimization?
An application of Bayesian statistics sounds interesting. Do you mean anything beyond shrinkage (which could be seen as Bayesian)? Do you know a shrinkage estimator in the context of MAD?
Mar
11
comment What are pros and cons of mean absolute deviation portfolio optimization?
Hehe.. That's right :)
Mar
10
comment How to implement Konno's Mean-Absolute Deviation Portfolio Optimization Model using LP methods in Excel
quant.stackexchange.com/questions/16923/…
Mar
10
asked What are pros and cons of mean absolute deviation portfolio optimization?