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Quantitative Finance
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Nipper

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11 Questions

Votes Activity Newest Views
2
5
votes
1
answer
279
views

Quasi Random Monte Carlo in m.v. portfolio optimization

monte-carlo portfolio-optimization modern-portfolio-theory mean-variance multivariate
Jul 10 at 0:06 Nipper 157
3
4
votes
1
answer
458
views

Monte Carlo (resampling) in m.v. portfolio optimization

monte-carlo portfolio-optimization modern-portfolio-theory mean-variance
Aug 24 at 16:35 Nipper 157
 
3
votes
1
answer
194
views

Methods for superior estimates of returns in m.v. portfolio optimization

portfolio-optimization modern-portfolio-theory estimation mean-variance expected-return
Aug 3 at 0:35 Nipper 157
 
2
votes
1
answer
69
views

Downside deviation (semivariance) in m.v. portfolio optimization

portfolio-optimization mean-variance risk-models
Jan 5 at 11:13 Nipper 157
 
2
votes
1
answer
148
views

Mean Absolute Deviation in m.v. portfolio optimization

portfolio-optimization mean-variance risk-models
Jan 5 at 11:07 Enrico Schumann 2,601
 
2
votes
0
answers
157
views

James-Stein estimator for superior estimates of returns in m.v. portfolio optimization

portfolio-optimization modern-portfolio-theory mean-variance parameter-estimation bayes-theory
Aug 3 at 0:30 Nipper 157
 
1
vote
0
answers
144
views

CVar optimization algorithms

portfolio-optimization risk-management cvar robust-optimization
Aug 5 at 19:45 Nipper 157
1
1
vote
2
answers
1k
views

Compute allocation given long-short portfolio weights

portfolio-optimization modern-portfolio-theory asset-allocation short-selling longshort
Aug 3 at 0:45 Nipper 157
 
0
votes
1
answer
85
views

Monte Carlo approach and methods for generating random returns

monte-carlo returns econometrics distribution
Aug 25 at 11:50 develarist 2,743
 
0
votes
0
answers
171
views

Deriving Single Index Model (Market Model)

capm sharpe-ratio expected-return market-model
Aug 3 at 0:49 Nipper 157
1
0
votes
2
answers
331
views

Best practice when computing beta coefficient

historical-data regression capm beta benchmark
Aug 3 at 0:46 Nipper 157
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