User Marc Shivers

16 votes

Accepted

Why is the Drawdown measure not used for portfolio optimization?

answered Jul 9, 2012 at 19:12

7 votes

How to simulate cointegrated prices

answered Aug 9, 2012 at 20:29

7 votes

Accepted

What is the difference between convertible bond and bond with warrant?

answered Apr 24, 2013 at 13:23

4 votes

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Should I randomly shuffle train and test datasets?

answered Apr 10, 2017 at 18:29

4 votes

What are trade markouts?

answered Sep 4, 2018 at 1:00

4 votes

How to understand micro-price (aka, weighted mid-price)?

answered Jan 12, 2020 at 14:12

4 votes

Portfolio optimisation with VaR or CVaR constraints using linear programming

answered Aug 10, 2012 at 12:15

4 votes

How do I statistically differentiate a series of prices from a series of returns?

answered Jun 25, 2012 at 22:22

3 votes

What is the canonical reference for Minimum Variance Portfolio's uniqueness?

answered Jan 13, 2013 at 13:27

3 votes

Accepted

Is Least Median Squares (LMS) regression commonly used in Finance?

answered Apr 11, 2017 at 13:07

2 votes

Can I perform an asset allocation optimization if assets are perfectly uncorrelated?

answered Feb 13, 2012 at 20:16

2 votes

Accepted

Position management in presence of continuous forecast

answered Jun 21, 2012 at 15:44

2 votes

Choosing attributes for SVM classification?

answered Oct 25, 2012 at 16:53

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13 Answers

Why is the Drawdown measure not used for portfolio optimization?

How to simulate cointegrated prices

What is the difference between convertible bond and bond with warrant?

Should I randomly shuffle train and test datasets?

What are trade markouts?

How to understand micro-price (aka, weighted mid-price)?

Portfolio optimisation with VaR or CVaR constraints using linear programming

How do I statistically differentiate a series of prices from a series of returns?

What is the canonical reference for Minimum Variance Portfolio's uniqueness?

Is Least Median Squares (LMS) regression commonly used in Finance?

Can I perform an asset allocation optimization if assets are perfectly uncorrelated?

Position management in presence of continuous forecast

Choosing attributes for SVM classification?