Questions tagged [random]
The random tag has no usage guidance.
3
questions
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1answer
188 views
Does random outperform naïve investment?
Randomly pick a (long only) portfolio from all possible portfolios over the S&P 500. The expected performance of this portfolio should equal the actual performance of the S&P 500.
In contrast, ...
3
votes
0answers
76 views
How do you adapt Marcenko-Pastur for EWMA correlation matrix
Hi to denoise the correlation matrix you can use the marcenko pastur distribution. Even without getting into its detail,. its easy, you just use t/n to get the lambda value under which you will ...
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votes
2answers
138 views
Reliable random number generation for Monte Carlo
Monte Carlo methods typically require us to construct very large vectors of numbers.
In doing so it is often of great importance that the generated random numbers are independent.
My question here, as ...
