Hans-Peter Schrei's user avatar
Hans-Peter Schrei's user avatar
Hans-Peter Schrei's user avatar
Hans-Peter Schrei
  • Member for 10 years, 8 months
  • Last seen this week
6 votes
2 answers
410 views

Itô diffusion processes in finance with unknown distribution at a terminal value

3 votes
1 answer
461 views

Leverage and Drawdown

3 votes
2 answers
625 views

Filtering smallest eigenvalues

2 votes
1 answer
102 views

Trading Ranges for Tactical Asset Allocation

2 votes
0 answers
81 views

Beta estimates of Regressions on AR(1) Process

2 votes
0 answers
206 views

Theoretical Expected Maximum Drawdown vs Empirical Maximum Drawdown

2 votes
2 answers
277 views

Portfolio construction for almost identical assets

1 vote
1 answer
173 views

Modelling Skew when using ARMA Time Series

1 vote
0 answers
257 views

Minimizing Correlation to Index

1 vote
1 answer
111 views

Averaging Correlation Matrices based on different Periodicity

1 vote
0 answers
77 views

Weak convergence of Lookback payoff with correction term

0 votes
1 answer
134 views

Sequential Optimization

0 votes
1 answer
339 views

Effective Time Length of Exponentially Weighted Covariance Matrix Estimate

0 votes
0 answers
216 views

Quantitative trading strategies with a focus on low-frequency dislocations