davidhigh
  • Member for 5 years, 9 months
  • Last seen more than a month ago
  • Kiel, Germany
Mean Variance portfolio optimisation (Long Only) CVXPY including cardinality constraint
Accepted answer
4 votes

In a quick and easy first step you could add $L_1$-regularization to the Markowitz problem. That is, you add a term $\lambda ||w||_1$ to the goal function of your optimization problem (where $w$ are ...

View answer
Is there an intuitive explanation for the Feynman-Kac-Theorem?
1 votes

Let's approach this answer in two steps. First, I find it quite intuitive, that for a given stochastic PDE there exists a deterministic PDE that evolves the density to a later time. This equation is ...

View answer
Put price, payoff, how come?
1 votes

When you exercise at any moment prior to expiry, you obtain the price at payoff, i.e. the same as you would get when you hold it till expiry and the price stayed constant. What makes your pur more ...

View answer
Program/library to generate many technical indicators given a series of stock prices
1 votes

I did the search by myself some time ago and couldn't find much that is readily available (in the sense that you can directly use it in a Python program, say). The closest I found find is the ...

View answer