User WJA

6 votes

1 answer

511 views

How can I use a more efficient volatility estimator to improve the co-variance matrix?

asked May 9, 2017 at 12:48

6 votes

4 answers

641 views

Why do anomalies disappear after they get detected?

asked Aug 1, 2017 at 15:15

1 vote

2 answers

3k views

Extracting continuous futures prices on different dates with the ratio adjustment

asked Jun 21, 2017 at 14:58

1 vote

2 answers

563 views

How do I estimate the volatiliy of my portfolio with an estimator that requires High, Low, Open, etc

asked May 11, 2017 at 7:04

1 vote

2 answers

196 views

Weighting with restrictions, but no clear objective function?

asked Oct 22, 2014 at 8:54

1 vote

0 answers

55 views

How to hedge a MV portfolio against crises

asked Jan 26, 2017 at 12:01

0 votes

0 answers

53 views

Portfolio returns from activity records

asked Apr 3, 2017 at 14:38

0 votes

1 answer

611 views

How does a Short position impact the PnL?

asked Apr 4, 2017 at 14:58

0 votes

0 answers

239 views

PCA and constructing an index

asked Apr 23, 2017 at 17:07

-2 votes

2 answers

11k views

Volatility of a multiple-asset portfolio [closed]

asked May 16, 2017 at 8:52

Stack Exchange Network

10 Questions

How can I use a more efficient volatility estimator to improve the co-variance matrix?

Why do anomalies disappear after they get detected?

Extracting continuous futures prices on different dates with the ratio adjustment

How do I estimate the volatiliy of my portfolio with an estimator that requires High, Low, Open, etc

Weighting with restrictions, but no clear objective function?

How to hedge a MV portfolio against crises

Portfolio returns from activity records

How does a Short position impact the PnL?

PCA and constructing an index

Volatility of a multiple-asset portfolio [closed]