Quantitative Finance
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John's user avatar
John's user avatar
John
  • Member for 11 years, 7 months
  • Last seen this week
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2
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Top posts
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All Questions Answers
Score Newest
answer
19
Discrete returns versus log returns of assets
Feb 7, 2013
answer
16
Why do we usually model returns and not prices?
Feb 7, 2015
answer
13
Derivation of the tangency (maximum Sharpe Ratio) portfolio in Markowitz Portfolio Theory?
Aug 1, 2013
answer
13
Should I use an arithmetic or a geometric calculation for the Sharpe Ratio?
Jun 12, 2012
answer
12
Is a linear combination of GARCH processes also a GARCH process?
Jun 19, 2012
answer
12
How to build a mean reverting basket?
May 8, 2012
answer
11
Portfolio optimisation with VaR or CVaR constraints using linear programming
Aug 10, 2012
question
10
Strategies for Liar's Poker
Sep 27, 2012
question
9
Is there a closed-form solution for the partial autocorrelation function of a Markov regime-switching process?
May 14, 2012
answer
9
How to simulate cointegrated prices
Aug 9, 2012
Top network posts
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20
Can I use the Cholesky-method for generating correlated random variables with given mean?
18
PCA model selection using AIC (or BIC)
12
Where do I declare prior parameters in Stan?
11
Understanding the map in The Force Awakens
8
Distribution of eigenvalues given one is known

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