Enrico Schumann
  • Member for 8 years
  • Last seen more than a month ago
Correlation vs. dependence in finance
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I guess there are examples in options trading, whenever things depend on Gamma (which is essentially a squared term). For instance, delta hedging: the strategy is, in the textbook version, long the ...

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IB with R which package?
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The rib package also implements the IB API.

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How to apply the "Knapsack Problem" to minimise a portfolio's volatility?
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An "equal[l]y-weighted basket of 5 stocks" will not have a zero volatility, so this is a meaningful problem. There is no "standard algorithm" to solve the problem. But it can be tackled via ...

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Multi Period Return Table
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Computing total returns for a fixed period is fairly simple (last price divided by first price minus 1), so the frequency of observations (hourly, daily, weekly, ...) does not matter. But you will ...

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r: analyse series of historical positions as portfolio using 'standard' tools
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Since you want to evaluate the results over time, you will need to value open positions between trades. Essentially, create an equity curve for each single-instrument trade; then sum these equity ...

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Why is my Covariance matrix not positive definite?
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You have not shown data, so one can only guess. If you have computed the covariance matrix from the full dataset with no missing values (and you have not used some weird estimator), then the only way ...

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How to convert weekly data to monthly in r (or in Julia)
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Such computations can be handled by tapply, which is in R base. Suppose your data is stored in a dataframe MyData, first column the timestamps, second column the values: MyData <- read.table(text=...

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Is this realized "efficient" frontier reasonable?
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What research exactly did you look at? There are several papers that look at out-of-sample frontiers when parameters need to be estimated or forecast or are noisy. (However, these papers typically ...

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