User user915 - Quantitative Finance Stack Exchange

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	109 reputation	bio	website		visits	member for	2 years
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2

5

votes

1

answer

239

views

Robust-Bayesian optimization in Markowitz framework

jan 24 at 22:56 philippe 348

1

2

votes

3

answers

404

views

Trading a synthetic replication of the VVIX (volatility of VIX)

volatility vix

dec 23 at 5:56 Andrew 385

1

2

votes

2

answers

275

views

constructing a minimum variance portfolio

portfolio-management

oct 5 at 17:22 chrisaycock♦ 5,250

3

5

votes

2

answers

371

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Comparing MVO with Resampled Efficient Frontier

portfolio-management optimization modern-portfolio-theory mean-variance bootstrapping

sep 28 at 19:05 richard michaud 21

3

5

votes

6

answers

524

views

Encyclopedia of Statistical Tests

backtesting statistics

mar 5 at 22:16 chrisaycock♦ 5,250

1

2

votes

1

answer

354

views

How would you hedge this structure?

hedging

nov 24 at 9:03 Community♦ 1

3

votes

3

answers

557

views

Markowitz mean-variance optimization as “error maximization”

optimization mean-variance

dec 26 at 17:43 vonjd 6,299

1

2

votes

1

answer

352

views

Modelling VIX Futures for risk management

portfolio-management risk-management risk-models vix

feb 12 at 6:35 ITGuy 1

2

5

votes

2

answers

521

views

VIX = Vega of S&P500 options?

options volatility vix spx vega

sep 18 at 13:24 Brian B 6,003

1

vote

1

answer

162

views

T-note returns from T-note yields … derivation of Damodaran's formula

fixed-income returns

aug 13 at 3:44 Joel 26

6

11

votes

5

answers

1

kviews

portfolio optimisation with VaR (or CVaR) constraints

portfolio-management optimization var

jan 13 at 13:29 Marc Shivers 424

4

9

votes

6

answers

2

kviews

How high of a Sharpe ratio is implausibly high for a low-frequency equity strategy?

research reference-request performance sharpe-ratio performance-evaluation

nov 26 at 0:21 chrisaycock♦ 5,250

2

1

vote

1

answer

364

views

How to compute portfolio weights from multivariate regression results?

asset-allocation regression

jul 19 at 14:32 Tal Fishman 6,740

1

2

votes

1

answer

207

views

How to automate the margin requirements for Eurex markets?

derivatives market eurex

jul 13 at 13:37 Tal Fishman 6,740

1

5

votes

1

answer

387

views

Proof for non-positive semi-definite covariance matrix estimator

covariance

jul 27 at 7:20 JL344 571

1

4

votes

2

answers

212

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How do I determine the maturity date from a T-bill's CUSIP?

untagged

apr 12 at 14:55 lemarin 121

2

5

votes

0

answers

177

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generating (or tracking) the DJUBS commodity index

index

may 30 '12 at 19:23 Bob Jansen 1,144

3

7

votes

1

answer

574

views

Optimal execution and reinforcement learning

automated-trading optimization machine-learning

may 30 '12 at 20:36 lehalle 1,713

5

8

votes

1

answer

282

views

Is there a closed-form solution for the partial autocorrelation function of a Markov regime-switching process?

stochastic-processes auto-correlation

may 16 '12 at 14:28 Tal Fishman 6,740

3

votes

2

answers

834

views

GJR-GARCH Model In R

volatility trading programming r garch

may 10 '12 at 16:39 Karol Piczak 999

2

6

votes

3

answers

398

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Which greeks do you need to hedge if you want to implement an implied-volatility security?

greeks

may 29 '12 at 2:07 Matt Wolf 5,717

1

3

votes

2

answers

264

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How is someone's Sharpe ratio recorded and communicated?

sharpe-ratio

may 8 '12 at 21:33 Quant Guy 7,531

4

5

votes

1

answer

311

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Are there any tools or useful algos for identifying corner portfolios?

portfolio-management r portfolio

dec 22 at 23:55 Bryce 314

11

votes

3

answers

537

views

What are some research articles on using principle components to generate alpha?

statistics modeling random-matrix-theory

feb 25 at 12:31 Andre P. 11

4

5

votes

2

answers

581

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Constructing an approximation of the S&P 500 volatility smile with publicly available data

options volatility implied-volatility volatiliy-smile

apr 10 '12 at 12:51 Brian B 6,003

2

votes

1

answer

2

kviews

Risk Parity portfolio construction

risk-management asset-allocation

mar 28 '12 at 19:59 Bob Jansen 1,144

2

6

votes

3

answers

774

views

Time series of PCA - Sign change in factor loadings

pca

dec 3 at 21:33 Thomas Browne 237

2

5

votes

1

answer

683

views

Optimizing a portfolio of ETFs

optimization portfolio-selection

mar 20 '12 at 13:08 michaelv2 141

5

7

votes

0

answers

287

views

Can we use White's reality check to compare two Sharpe ratios?

time-series sharpe-ratio data-mining

may 2 '12 at 4:57 Quant Guy 7,531

3

4

votes

2

answers

457

views

SKEW and VIX relations?

volatility implied-volatility stochastic-volatility

jul 26 at 18:28 vanna 173

user915

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