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For questions about programming languages, implementation, and packages in quantitative finance. Note: question must be specific to quantitative finance and must necessitate knowledge of quantitative finance in order to be on topic.

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I fitted a CRRA utility function to daily S&P 500 returns in R. (As for instance in Optimal Option Portfolio Strategies, page 10) expostutility = function(x,y) { mean( (1/(1-y)) * ((1+x)^(1-y)) ) } t …
asked Apr 17 '17 by Felix Dietrich