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develarist
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0 votes
2 answers
189 views

Why isn't the asset with minimum variance given a 100% portfolio weight? [closed]

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1 answer
147 views

Is the portfolio return distribution a weighted combination of individual asset return distributions?

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0 answers
61 views

Entropy-implied volatility requires itself to be calculated?

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1 answer
740 views

Mathematical proof that the covariance between two portfolios is $w_A^\top\Sigma w_B$

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0 answers
120 views

Conic optimization in finance

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0 answers
516 views

What should degrees of freedom $\nu$ be set to when modeling financial returns that follow the t-distribution?

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0 answers
160 views

Maximum expected return portfolio: Lagrangean derivation of closed-form analytical solution

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1 answer
128 views

Correlation between mean-variance efficient portfolios

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0 answers
59 views

Escape Dynamics in financial economics or time series

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0 answers
101 views

Can Merton's continuous-time portfolio model be reformulated without a utility function?

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0 answers
76 views

Does the $t$-copula or Clayton copula capture the dependence structure of empirical returns better?

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0 answers
121 views

Symbol for the feasible set of portfolios in mean-variance analysis?

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1 answer
350 views

Maximum return portfolio using linear programming with quadratic constraints

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1 answer
306 views

Is there Cornish-Fisher volatility, given that there is Cornish-Fisher Value-at-Risk?

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0 answers
35 views

Are the correlations of multivariate stock prices preserved when converted to multivariate returns?

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1 answer
143 views

How to up-sample monthly returns into daily returns?

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1 answer
180 views

Contribution of an asset's variance, skewness and kurtosis to its portfolio weight?

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1 answer
135 views

How important is the chronological ordering of historical returns?

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0 answers
387 views

How to implement copula portfolio optimization?

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1 answer
139 views

Double objective in portfolio optimization

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2 answers
2k views

Why is portfolio optimization a convex problem if variance is concave?

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2 answers
470 views

Cover's universal portfolio vs. Markowitz's mean-variance model

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3 answers
642 views

Are cumulative returns stationary?

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0 answers
146 views

Isn't portfolio optimization basically just feature selection?

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1 answer
154 views

Unsupervised learning for portfolio construction

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1 answer
84 views

Ratios or combinations of risk measures

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1 answer
95 views

Does VWAP distinguish between buy and sell trading volume?

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1 answer
131 views

Does standardizing/normalizing asset returns change their skewness and kurtosis?

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3 answers
184 views

Does asset volume, rather than asset returns, predict performance?

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0 answers
66 views

Density of a portfolio's returns is the weighted average of asset distributions?