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develarist
  • Member for 4 years, 8 months
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11 votes
9 answers
2k views

Why is asset volatility easier to estimate than the asset mean if it contains the mean?

8 votes
0 answers
2k views

How good is the inverse-volatility portfolio?

6 votes
2 answers
492 views

Forecasting volatility farther ahead with autoregressive machine learning

5 votes
3 answers
507 views

What is the distribution of the risk-free asset?

5 votes
0 answers
123 views

Are heuristic portfolios efficient portfolios?

5 votes
2 answers
926 views

Contribution of an asset's variance to portfolio variance

4 votes
1 answer
357 views

sub-Gaussian random variables in financial economics

4 votes
2 answers
3k views

Closed-form analytical solution for the variance of the minimum-variance portfolio?

4 votes
1 answer
506 views

Do normal returns make the mean-variance portfolio model perform properly?

4 votes
3 answers
537 views

Any portfolio models not based on asset return moments?

3 votes
2 answers
272 views

Interpretation of a uniform asset return distribution

3 votes
2 answers
143 views

Is there a performance measure for the entire efficient frontier?

3 votes
2 answers
3k views

How to annualize the correlation matrix?

3 votes
1 answer
348 views

Why does the likelihood of corner solutions in portfolios increase as the number of assets grows?

3 votes
0 answers
312 views

Does the Shannon entropy of stock returns change over time?

3 votes
0 answers
321 views

Large deviations theory in finance

3 votes
1 answer
300 views

Maximum skewness portfolio solution derived from its Lagrangean formulation

2 votes
0 answers
118 views

Hierarchical copula vs. vine copula

2 votes
3 answers
592 views

Do the minimum VaR and minimum ES portfolios lie on the mean-variance efficient frontier?

2 votes
1 answer
313 views

Is quadratic programming used to maximize portfolio skewness and kurtosis?

2 votes
1 answer
459 views

Non-linear correlation (co-dependence) and the efficient frontier

2 votes
1 answer
408 views

Which portfolio is more "diversified": the $\frac{1}{N}$, the MDP or the max decorrelation?

2 votes
1 answer
404 views

Do stock returns show positive skewness?

2 votes
3 answers
338 views

Interpretation and units of a covariance element in portfolio risk

2 votes
1 answer
222 views

Is it always better to use the entire distribution of a financial returns series, not just $\mu$ and $\sigma$?

2 votes
1 answer
895 views

How to compute returns from cumulative returns in Python? [closed]

1 vote
2 answers
231 views

Are asset return means difficult to predict because they have no lower bound?

1 vote
1 answer
171 views

Overview of frequentist, likelihood and Bayesian approaches to finance problems

1 vote
0 answers
66 views

Selecting the best characteristic portfolio per rebalance date

1 vote
1 answer
47 views

How to evaluate prediction(s) made of the asset return mean?