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Dec
7
asked Question in the proof of “Optimization of conditional value-at-risk”
Nov
26
revised portfolio optimization averaging weights, what are benefits?
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Nov
23
revised portfolio optimization averaging weights, what are benefits?
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Nov
23
asked portfolio optimization averaging weights, what are benefits?
Oct
27
accepted Implementation of Ledoit Wolf shrinkage estimator within R package tawny
Oct
23
comment Implementation of Ledoit Wolf shrinkage estimator within R package tawny
@muffin1974 I edited my question and hope the more detailed explanation is fully sufficient now. Let me know if there is still a point of ambiguity.
Oct
23
revised Implementation of Ledoit Wolf shrinkage estimator within R package tawny
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Oct
23
comment Implementation of Ledoit Wolf shrinkage estimator within R package tawny
@muffin1974 the final result in their function is phi.mat, which is a elementwise addition/substraction of three matrices. As far as I see, each term is for one of the terms in $((y_{it}-z_i)(y_{jt}-z_j)-s_{ij})^2$ when expanding the square. May I ask you if you downvoted the question and if so why?
Oct
22
comment Implementation of Ledoit Wolf shrinkage estimator within R package tawny
Thanks for your answer. I edited my question slightly. Its not about the square, its about the matrix multiplication itself. I dont understand how they get the correct entries by the multiplication they suggest.
Oct
22
revised Implementation of Ledoit Wolf shrinkage estimator within R package tawny
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Oct
21
asked Implementation of Ledoit Wolf shrinkage estimator within R package tawny
Oct
18
awarded  Popular Question
Oct
16
comment Why is it useless to model stochastic volatility when pricing Vanilla style derivatives?
I guess AFK means the following: usually you estimate / fit your model to vanilla contracts and use the calibrated surface in pricing exotic products. As he writes, for vanillas its more a question how well calibrated is your model. But lets ping him @AFK
Oct
14
comment Which algorithms do robo-advisors use?
@experquisite what do you mean exactly by robust portfolio optimization (People are using robust for everything).
Oct
14
accepted Derivation of Magrabe formula
Oct
14
asked Derivation of Magrabe formula
Oct
2
comment derivation of the hedging error in a black scholes setup
cool, many thanks! I have to wait 24 hours to award the bounty. If I forget, pls ping me here and I will do so.
Oct
2
accepted derivation of the hedging error in a black scholes setup
Sep
30
asked derivation of the hedging error in a black scholes setup
Aug
18
comment How to calibrate a volatility surface using SVI
Thanks for your answer of question 1). Whast do you mean by scaleless?