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Quantitative Finance
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Slow Learner
  • Member for 11 years, 2 months
  • Last seen more than a month ago
  • San Francisco, CA
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Finance PhD candidate at Stanford. Worked in quant credit research and electronic FX trading before.

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Top posts
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question
17
Derivation of the tangency (maximum Sharpe Ratio) portfolio in Markowitz Portfolio Theory?
Jul 30, 2013
question
11
Typical risk aversion parameter value for mean-variance optimization?
Jul 6, 2013
answer
10
Fama-French 3-factor model: factors implying risk
Oct 22, 2013
question
10
Is trading mean reversion of small principal components of prices profitable?
Feb 1, 2016
question
7
What are the most common ways that quantitative funds construct industry/style-neutral factor portfolios?
Jun 16, 2021
question
6
How can one quantify the incremental value of better covariance matrix modeling in portfolio optimization?
Jul 30, 2023
question
5
Are there alternatives to the Box-Tiao decomposition in identifying mean reverting portfolios?
Feb 5, 2016
question
5
Why were cross-currency swap basis so close to zero before the financial crisis?
May 21, 2021
question
4
Why was CDS-bond basis close to zero before the financial crisis?
May 23, 2021
question
4
Does Fama French Three Factor Model Work out of Sample (after 1993)?
Jul 30, 2013
Top network posts
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28
To what extent is music theory just giving us a language to describe/break down music, or does it really have significant "scientific content"?
20
Why does the U.S. have much higher litigation cost than other countries?
19
What is hard about the “hard problem of consciousness”?
18
Why were writing systems invented independently during roughly the same period across multiple civilizations?
10
Why do some people argue that contingency fees increase lawsuits?