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, 9 months
  • Last seen this week
3 votes
2 answers
636 views

Filtering smallest eigenvalues

3 votes
1 answer
466 views

Leverage and Drawdown

6 votes
2 answers
414 views

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

0 votes
1 answer
368 views

Effective Time Length of Exponentially Weighted Covariance Matrix Estimate

2 votes
2 answers
280 views

Portfolio construction for almost identical assets

1 vote
0 answers
264 views

Minimizing Correlation to Index

0 votes
0 answers
243 views

Quantitative trading strategies with a focus on low-frequency dislocations

2 votes
0 answers
215 views

Theoretical Expected Maximum Drawdown vs Empirical Maximum Drawdown

1 vote
1 answer
188 views

Modelling Skew when using ARMA Time Series

0 votes
1 answer
134 views

Sequential Optimization

1 vote
1 answer
114 views

Averaging Correlation Matrices based on different Periodicity

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

1 vote
0 answers
77 views

Weak convergence of Lookback payoff with correction term