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John

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4,601

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portfolio-management

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25 posts edited

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552 votes cast

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Answers (119)

Votes Activity Newest

13	Discrete returns versus log returns of assets
12	Why do we usually model returns and not prices?
12	Is a linear combination of GARCH processes also a GARCH process?
12	How to build a mean reverting basket?
11	portfolio optimisation with VaR (or CVaR) constraints

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Reputation (4,601)

+10	Does entropy pooling apply to distributions with time-varying drift?
+10	portfolio optimisation with VaR (or CVaR) constraints
+10	Model Validation Criteria
+10	Why do we usually model returns and not prices?

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Questions (2)

Votes Activity Newest

9	Is there a closed-form solution for the partial autocorrelation function of a Markov regime-switching process?
7	Strategies for Liar's Poker

Tags (116)

57 portfolio-management × 17	27 garch × 8
49 time-series × 12	26 portfolio-optimization × 9
42 optimization × 10	25 factor-models × 9
34 volatility × 12	25 modern-portfolio-theory × 8
32 returns × 7	25 log-returns × 2

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Accounts (11)

	Quantitative Finance	4,601 rep	1625
	Cross Validated	1,511 rep	1120
	Stack Overflow	230 rep	518
	Science Fiction & Fantasy	161 rep	6
	Mathematics	145 rep	6

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Nice Answer × 6	Disciplined
Enlightened × 4	Organizer
Yearling × 6	Constituent
Necromancer × 2	Caucus
Revival × 4	Notable Question

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Votes cast (552)

all time			by type
534	up		293	question
18	down		259	answer

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