Anirban Roychoudhury

4 Questions 8 Answers 0 Followers

Questions related from Anirban Roychoudhury

High frequency data in portfolio optimization - any thoughts?

Does out of sample performance of minimum variance portfolios improve when the estimates of the optimizer is a high dimension covariance matrix with high-frequency data and realized volatility...

10 August 2014 520 4 View

How does it help when stock prices or for that matter any discrete time series data set is transformed in the frequency domain?

Application of Fourier Transform in Financial Mathematics

01 July 2014 9,044 0 View

In order to optimize portfolios how can sampling errors for the return vector and the Var-Covar matrix be incorporated in the optimizer itself?

As both the mu vector and the S matrix suffer from estimation errors Robust portfolio optimization and robust portfolio estimators is a subject of interest. How can the Mahalanobis Distance be...

17 June 2014 5,188 3 View

Can implied volatility be used as one of the inputs in the var-covar matrix instead of historical volatility?

Using the historical var-cov matrix as an input in the optimizer leads to estimation errors. What other methods can be used in estimating the var-covar apart from shrinkage and diagonal methods?

03 June 2014 1,655 18 View