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rhaskett
  • Member for 8 years, 11 months
  • Last seen more than a month ago
  • San Francisco, United States
7 votes
1 answer
2k views

Sharpe Maximization under Quadratic Constraints

4 votes
4 answers
2k views

Robust Returns-Based Style Analysis

4 votes
4 answers
11k views

Multivariate GARCH in Python

4 votes
1 answer
133 views

Sum of two GARCH(1,1) Models

4 votes
1 answer
348 views

Tests for Mean Reversion in a Portfolio Rebalancing

4 votes
1 answer
888 views

Markowitz Mean-Variance Implied Returns

4 votes
0 answers
146 views

Is Ledoit-Wolf Shrinkage with a Constant Correlation Prior Reasonable for a Stock/Bond Mix?

3 votes
1 answer
2k views

Implied Equilibrium Returns Example

2 votes
1 answer
87 views

Historical Neighborhood Level Housing Data Source?

1 vote
1 answer
514 views

Return Contribution for Annual Returns

1 vote
0 answers
24 views

Simulating Taxed Equity Return Series (U.S.)

1 vote
1 answer
259 views

Simulating Correlated Stock Returns in Python (SciPy)

1 vote
0 answers
44 views

Quantitative Business Cycle Investing

1 vote
1 answer
1k views

Calculating Variance Explained from PCA Loadings

1 vote
0 answers
50 views

Portfolio Hedging under Uncertain Correlations

0 votes
1 answer
55 views

Closed Form Solution for Implied Risk Aversion with Two Assets under Quadratic Utility