John's user avatar
John's user avatar
John's user avatar
John
  • Member for 10 years, 5 months
  • Last seen this week
19 votes
Accepted

Discrete returns versus log returns of assets

16 votes
Accepted

Why do we usually model returns and not prices?

13 votes
Accepted

Derivation of the tangency (maximum Sharpe Ratio) portfolio in Markowitz Portfolio Theory?

12 votes

Should I use an arithmetic or a geometric calculation for the Sharpe Ratio?

12 votes
Accepted

Is a linear combination of GARCH processes also a GARCH process?

12 votes
Accepted

How to build a mean reverting basket?

11 votes
Accepted

Portfolio optimisation with VaR or CVaR constraints using linear programming

9 votes

How to simulate cointegrated prices

8 votes

What is the necessary level of Econometrics-Know-How for a quant

7 votes

Sharpe Ratio, annualized monthly returns vs annual returns vs annual rolling returns?

6 votes

Squared and Absolute Returns

6 votes
Accepted

constructing a minimum variance portfolio

6 votes

Bayesian estimation of asset pricing models

6 votes
Accepted

Modelling and forecasting mixed frequency financial data

6 votes
Accepted

Using cross-sectional factor model (BARRA type) returns in a time series factor model (Fama-French type)?

6 votes
Accepted

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

5 votes
Accepted

Question on Rockafellar's Paper for optimisation of CVaR

5 votes
Accepted

Yield-to-Maturity and its assumption

5 votes
Accepted

French and Fama Three Factor Model - What is the correct formula?

5 votes

Bayesian or Frequentist in Finance?

5 votes
Accepted

Geometric Returns values less than -100%

5 votes
Accepted

How to use Newey West covariance corrector?

5 votes

Why is the Drawdown measure not used for portfolio optimization?

5 votes

Determining the portfolio return distribution to calculate CVaR/ES

5 votes
Accepted

How is the MA (moving average model) useful?

5 votes

Portfolio Optimization : Shrinkage of Covariance Matrix when data is available

5 votes

Model Validation Criteria

4 votes

What are the assumptions of portfolio optimisation with higher moments?

4 votes
Accepted

Why are factor models so popular for risk analysis of portfolios?

4 votes
Accepted

Mean-variance portfolio & quadratic programming