Top Network Posts
- 13 Discrete returns versus log returns of assets
- 13 Can I use the Cholesky-method for generating correlated random variables with given mean?
- 12 Why do we usually model returns and not prices?
- 12 How to build a mean reverting basket?
- 12 Is a linear combination of GARCH processes also a GARCH process?
- 11 portfolio optimisation with VaR (or CVaR) constraints
- 11 PCA model selection using AIC (or BIC)
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