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quant-splinters.blogspot.com

Quant Splinters

A blog dedicated to quantitative concepts in investment management - my personal, judgmental, explorative and incomplete work in progress - fragments which are typically hard to remove and sometimes even hurt. Andreas Steiner Consulting GmbH. Advanced Portfolio Analytics Library .NET (ApaLibNET). Thursday, 18 June 2015. I am publishing on various platforms and have decided to stop adding to this particular blog. If you are interested in my more recent blogs, check on LinkedIn. Thank you in advance,.

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Quant Splinters | quant-splinters.blogspot.com Reviews

https://quant-splinters.blogspot.com

A blog dedicated to quantitative concepts in investment management - my personal, judgmental, explorative and incomplete work in progress - fragments which are typically hard to remove and sometimes even hurt. Andreas Steiner Consulting GmbH. Advanced Portfolio Analytics Library .NET (ApaLibNET). Thursday, 18 June 2015. I am publishing on various platforms and have decided to stop adding to this particular blog. If you are interested in my more recent blogs, check on LinkedIn. Thank you in advance,.

INTERNAL PAGES

quant-splinters.blogspot.com quant-splinters.blogspot.com
1

Quant Splinters: Resampling the Efficient Frontier - With How Many Observations?

http://www.quant-splinters.blogspot.com/2014/01/resampling-frontier.html

A blog dedicated to quantitative concepts in investment management - my personal, judgmental, explorative and incomplete work in progress - fragments which are typically hard to remove and sometimes even hurt. Andreas Steiner Consulting GmbH. Advanced Portfolio Analytics Library .NET (ApaLibNET). Monday, 6 January 2014. Resampling the Efficient Frontier - With How Many Observations? The chart below plots the resampled portfolios of 16 portfolios on a particular mean/variance efficient frontier. The large...

2

Quant Splinters: Diversification is a Second Order Effect

http://www.quant-splinters.blogspot.com/2014/04/diversification-is-second-order-effect.html

A blog dedicated to quantitative concepts in investment management - my personal, judgmental, explorative and incomplete work in progress - fragments which are typically hard to remove and sometimes even hurt. Andreas Steiner Consulting GmbH. Advanced Portfolio Analytics Library .NET (ApaLibNET). Tuesday, 8 April 2014. Diversification is a Second Order Effect. In order to visualize the risk dynamics, we calculate annualized rolling 24 month asset volatilities and 24 month rolling asset correlation. Pictu...

3

Quant Splinters: August 2014

http://www.quant-splinters.blogspot.com/2014_08_01_archive.html

A blog dedicated to quantitative concepts in investment management - my personal, judgmental, explorative and incomplete work in progress - fragments which are typically hard to remove and sometimes even hurt. Andreas Steiner Consulting GmbH. Advanced Portfolio Analytics Library .NET (ApaLibNET). Monday, 18 August 2014. A Practioner's Approach to CVaR Portfolio Optimization. Sigma {p} {2} = w cdot Sigma cdot w' $. CVaR {p} {2} approx w cdot Sigma {*} cdot w' $. A simple two asset example illustrates the ...

4

Quant Splinters: December 2013

http://www.quant-splinters.blogspot.com/2013_12_01_archive.html

A blog dedicated to quantitative concepts in investment management - my personal, judgmental, explorative and incomplete work in progress - fragments which are typically hard to remove and sometimes even hurt. Andreas Steiner Consulting GmbH. Advanced Portfolio Analytics Library .NET (ApaLibNET). Tuesday, 31 December 2013. How Diversified is the Minimum Cointegration Portolio? Cointegration is a dependence concept which is based on the observation that a linear combination of non-stationary. The issues a...

5

Quant Splinters: How Diversified is the Minimum Cointegration Portolio?

http://www.quant-splinters.blogspot.com/2013/12/how-diversified-is-minimum.html

A blog dedicated to quantitative concepts in investment management - my personal, judgmental, explorative and incomplete work in progress - fragments which are typically hard to remove and sometimes even hurt. Andreas Steiner Consulting GmbH. Advanced Portfolio Analytics Library .NET (ApaLibNET). Tuesday, 31 December 2013. How Diversified is the Minimum Cointegration Portolio? Cointegration is a dependence concept which is based on the observation that a linear combination of non-stationary.

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A blog dedicated to quantitative concepts in investment management - my personal, judgmental, explorative and incomplete work in progress - fragments which are typically hard to remove and sometimes even hurt. Andreas Steiner Consulting GmbH. Advanced Portfolio Analytics Library .NET (ApaLibNET). Thursday, 18 June 2015. I am publishing on various platforms and have decided to stop adding to this particular blog. If you are interested in my more recent blogs, check on LinkedIn. Thank you in advance,.

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