Brian G. Peterson

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293 reputation

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visits	member for	2 years, 2 months
	seen	Sep 4 '12 at 16:28
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4 Answers

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2

How does Cornish-Fisher VaR (aka modified VaR) scale with time?

2

How do I backtest a convertible bond arbitrage strategy in R/Matlab?

6

robust portfolio optimization re-balancing with transaction costs

7

Use Trades as Input for PerformanceAnalytics

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