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Sep
19
awarded  Popular Question
Mar
29
awarded  Commentator
Mar
29
comment Portfolio risk-return when assets have limited and inconsistent historical data / time series?
Agreed. Seems like a tough one with very limited / partial data ...
Mar
29
revised Portfolio risk-return when assets have limited and inconsistent historical data / time series?
typo
Mar
28
comment Portfolio risk-return when assets have limited and inconsistent historical data / time series?
Thanks. And you got the question right. When you say 'looked for a similar asset in terms of correlation', what specific tests did you conduct to conclude that they are "similar enough"? I ask because the time series for the new one will still be limited ...
Mar
28
revised Portfolio risk-return when assets have limited and inconsistent historical data / time series?
clarified
Mar
28
comment Portfolio risk-return when assets have limited and inconsistent historical data / time series?
So if I understand correctly, a portfolio with 25% weights in A,B,FB,G needing the 5 year risk-return statistics would essentially ignore 50% of the portfolio value under that approach? Seems rather extreme ...
Mar
28
revised Portfolio risk-return when assets have limited and inconsistent historical data / time series?
edited title
Mar
27
asked Portfolio risk-return when assets have limited and inconsistent historical data / time series?
Jan
7
revised Video lectures and presentations on quantitative finance
added 81 characters in body
Jan
7
comment How to see if a set of asset returns corresponds to a known correlation matrix?
@Yugmorf: True, I added that it's a relative measure. I also added a more rigorous measure that you can do if you desire more concrete measures.
Jan
7
revised How to see if a set of asset returns corresponds to a known correlation matrix?
added principle component analysis and explained #2 and #3 to be that it's a relative measure
Jan
7
revised How to see if a set of asset returns corresponds to a known correlation matrix?
explained that it's a relative measure
Jan
7
revised What concepts are the most dangerous ones in quantitative finance work?
added main assumption of CAPM (also discussed in the paper linked by OP in section "The Logic of the CAPM")
Jan
6
comment How do I graphically represent the evolution of a covariance matrix over time?
For folks wanting a quick intro to Eignevectors, Eigenvalues and vector angles (used above): riskprep.com/all-tutorials/36-exam-22/…
Jan
5
revised Given two portfolios with identical correlation matrices, which one will have a better risk/reward ratio?
added 58 characters in body
Jan
4
awarded  Teacher
Jan
4
answered Given two portfolios with identical correlation matrices, which one will have a better risk/reward ratio?
Jan
4
answered How to see if a set of asset returns corresponds to a known correlation matrix?
Jan
2
awarded  Excavator