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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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