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Jun
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answered Covariance between two stocks in a two-factor model
Apr
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answered Expectation of maximum draw down in the Brownian motion case
Apr
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asked How to properly assess the costs of replicating an index via futures contracts?
Feb
4
answered Covariance matrix and Cholesky decomposition
Jan
13
answered Transaction Costs Measure ATOP: What does it mean and exactly measure?
Jan
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asked Law of large numbers necessary for APT derivation?
Dec
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answered Is an arbitrary prior for Black-Litterman valid? Or do we need a market implied one?
Nov
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answered CVaR reformulation correct?
Oct
6
answered Determine $E[W_p W_q W_r]$
Oct
1
answered quadratic programming portfolio optimisation
Sep
10
answered How do Return.portfolio and Return.rebalancing work in Performance Analytics in R?
Jul
28
answered Non-Negativity of up-factor and down-factor in Binomial No-Arbitrage Pricing Model
Jul
21
answered Risk Parity portfolio construction
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answered Handling Missing values in stocks returns when estimating the co variance matrix
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answered Implementing A 50/50 Prediction Model Strategy
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answered calculate gamma value using finite difference method
Mar
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asked Scaling of a transition matrix
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answered What are the equation that gives hurst exponent of value >0.7 and <0.3?
Jan
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asked What R-packages for SOCP problems are there?
Jan
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answered Multifractal Model, Generating Sample Paths with Correlations between Assets