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 Dec 2 comment Is an arbitrary prior for Black-Litterman valid? Or do we need a market implied one? @Richard I tried to clarify my answer a little and added an additional point. Dec 2 revised Is an arbitrary prior for Black-Litterman valid? Or do we need a market implied one? added 545 characters in body Dec 1 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. Dec 1 revised Is an arbitrary prior for Black-Litterman valid? Or do we need a market implied one? added 494 characters in body Dec 1 answered Is an arbitrary prior for Black-Litterman valid? Or do we need a market implied one? Nov 24 reviewed Approve What are the dynamics of the reverse of this FX process? Nov 14 answered CVaR reformulation correct? Oct 7 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. Oct 6 answered Determine $E[W_p W_q W_r]$ Oct 1 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. Oct 1 comment quadratic programming portfolio optimisation Its not linear because $|-x|\neq-|x|$ which would hold for a linear function. Oct 1 answered quadratic programming portfolio optimisation Oct 1 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... Sep 10 answered How do Return.portfolio and Return.rebalancing work in Performance Analytics in R? Jul 28 revised Non-Negativity of up-factor and down-factor in Binomial No-Arbitrage Pricing Model added 686 characters in body Jul 28 answered Non-Negativity of up-factor and down-factor in Binomial No-Arbitrage Pricing Model Jul 25 awarded Yearling Jul 23 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). Jul 21 answered Risk Parity portfolio construction Jul 17 revised Handling Missing values in stocks returns when estimating the co variance matrix deleted 42 characters in body