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Jul
17
comment Is Arithmetic Return Bias Basis of Low Vol Anomaly?
Simple is better sometimes, isn't it? The identity can't lie. Moreover, how would you control for the identity? Volatility seems to be an intrinsic property of both investments and geometric means.
Jul
16
comment Risk-Parity Portfolio Optimization using Extreme Optimization in C#
It isn't necessary since I can give them the right weights after the optimization (the distance from the optimal risk-parity weights won't change after a multiplication by a constant).