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Dave Harris's user avatar
Dave Harris's user avatar
Dave Harris's user avatar
Dave Harris
  • Member for 7 years, 8 months
  • Last seen more than a month ago
17 votes

Current industry standard for (active/passive) portfolio optimizations

17 votes

What mathematical theory is required for high frequency trading?

13 votes

Why quants think that the risk-neutral measure should not be used for financial forecasting?

11 votes

Why is Markowitz portfolio optimisation so popular considering it is worse than an equal weighted portfolio?

9 votes
Accepted

Suppose that we are wrong about the relevant class of distributions for financial economics and econometrics. Now what?

9 votes

Why does Kelly maximise $E[\log\space G]$ rather than simply $E[G]$?

9 votes

Most complete list of investment mistakes in stock markets

6 votes

Insoluble Enigma

6 votes
Accepted

Shrinkage of the Sample Covariance matrix, theory

6 votes
Accepted

Predict probability of returns: How does changing volatility affect the return pdf?

6 votes

Consensus on Cauchy distribution for stock prices

6 votes
Accepted

Implying risk-free rates using Put/Call parity

5 votes

Backtest Results needed to Model Validate my Modern Portfolio Theory model

5 votes

What are some classical papers to read for a mathematician looking to get into quant finance?

5 votes
Accepted

How much is considered as a fat tail for a ratio variable based on kurtosis?

4 votes
Accepted

No Probability in Greeks

4 votes
Accepted

Any portfolio models not based on asset return moments?

4 votes

Determining if a time series is random

4 votes

Why would Basel III prevent price discovery at credit markets?

4 votes

Is this realized "efficient" frontier reasonable?

3 votes

Covariance estimation: shrinkage, random matrix theory, what else?

3 votes

Normality assumption in Sharpe ratio

3 votes

How to estimate real-world probabilities

3 votes

Portfolio returns with unequal asset return histories

3 votes

Central limit theorem and normality assumption of asset return distribution

3 votes

Rate of convergence between price and value

3 votes

What is the intuition behind "jumps" causing volatility skew?

3 votes

Is a 'bad' trading algorithm useful?

3 votes

How to estimate the probability of Clustering illusion in our backtest result?

3 votes

Markov Chain Monte Carlo Sampling

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