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RockScience

Apparently, this user prefers to keep an air of mystery about them.

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  • Member for 8 years, 2 months
  • 311 profile views
  • Last seen Jan 25 '18 at 9:23

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Top posts (28) All Questions Answers | Votes Newest

20 portfolio optimisation with VaR (or CVaR) constraints Aug 10 '12
18 Can the concept of entropy be applied to financial time series? Apr 1 '11
13 Why is the first principal component a proxy for the market portfolio, and what other proxies exist? Dec 30 '11
12 How to compute performance attribution between daily rebalanced strategies? Feb 4 '12
12 How does pair trading work? Feb 2 '11
11 better estimator of volatility for small samples Mar 31 '11
9 Mean reverting strategies Feb 1 '11
8 illiquid american options pricing Mar 1 '11
8 Obtaining characteristics of stochastic model solution Jul 15 '11
8 What .NET library can I use to solve optimization problems? Apr 14 '11
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