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 Dec1 comment Is an arbitrary prior for Black-Litterman valid? Or do we need a market implied one? @Richard Hallo, I have to check the details about the risk parity portfolio agai and will catch up on that tomorrow. Dec1 revised Is an arbitrary prior for Black-Litterman valid? Or do we need a market implied one? added 494 characters in body Dec1 answered Is an arbitrary prior for Black-Litterman valid? Or do we need a market implied one? Nov24 reviewed Approve What are the dynamics of the reverse of this FX process? Nov14 answered CVaR reformulation correct? Oct7 comment Determine $E[W_p W_q W_r]$ For a normal distributed rv $X ~ N(\mu,\sigma)$, $E[(X-\mu)^3] = \mu^3+3\mu\sigma^2$ (just search for moment normal). In our case, $\mu=0$ and $\sigma = p$. Alternatively, you can calculate it by hand (several times integration by parts) or via the moment-generating function. Oct6 answered Determine $E[W_p W_q W_r]$ Oct1 comment quadratic programming portfolio optimisation Hm, thats why I wasn't sure this is the right explanation because $x$ should be $x = [0.8,0,0.5,0,-0.3,0]$ in this case (splitting $x$ up in a positive and a negative part). Now, $x(1:3)+x(4:6)$ is the original portfolio and $x(1:3) - x(4:6)$ its component-wise absolute value. Oct1 comment quadratic programming portfolio optimisation Its not linear because $|-x|\neq-|x|$ which would hold for a linear function. Oct1 answered quadratic programming portfolio optimisation Oct1 comment quadratic programming portfolio optimisation Please provide some more information about the constraints the example employs. There are techniques to reformulate optimization problems that simplify those but I doubt thats the problem here. Does your example use a different solver than matlab? Have you tried solving the example your way and compared the solutions? Further more: If you look at F and multiply with vectors $(x,-x)^T$ and $(x,-x)$ from both sides, you will miss the factor $1/2$. Probably the author moved into the $c$ but without any more information its really hard to say... Sep10 answered How do Return.portfolio and Return.rebalancing work in Performance Analytics in R? Jul28 revised Non-Negativity of up-factor and down-factor in Binomial No-Arbitrage Pricing Model added 686 characters in body Jul28 answered Non-Negativity of up-factor and down-factor in Binomial No-Arbitrage Pricing Model Jul25 awarded Yearling Jul23 comment reference question about portfolio optimization Although I voted to close this question: You are recommending the Pfaff book. I havent read it yet, is it good? Just a small comment though: #4 is also weritten by Bernd Sherer and those are commercial software packages. #3 Is basically a cookbook for the corresponding R package and treats rather advanced optimization problems (compared to classical MVO). Jul21 answered Risk Parity portfolio construction Jul17 revised Handling Missing values in stocks returns when estimating the co variance matrix deleted 42 characters in body Jul17 comment Handling Missing values in stocks returns when estimating the co variance matrix @user3481555 Well if you delete the stock you simply reduce your investment universe. My intuition says that this induces at least some bias because the stocks with shorter history had a reason to enter the index later on. On the other hand, If you throw away the all the data where at least one stock has a missing value you might run into dimension problems (if you estimate a covariance matrix for hundrets of assets you want to search for "dimension reduction" or "shrinkage" or "robust" in quant.SEs search function). I will see if I can come up with the paper I mentioned... Jul17 answered Handling Missing values in stocks returns when estimating the co variance matrix