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by ikicker
June 20th, 2019, 10:24 pm
Forum: Numerical Methods Forum
Topic: Expected Portfolio Return Maximization Formulation
Replies: 9
Views: 2376

Re: Expected Portfolio Return Maximization Formulation

hi there, I am looking for -- a numerical method  and -- a closed form solution  for the expected return formulation of the classical mean variance portfolio optimization problem. max w (w' \mu)  s.t. w' \Sigma w = \sigma 2 0 w' i = 1 Could someone please let me know some references about this? Goo...
by ikicker
June 20th, 2019, 3:13 pm
Forum: Numerical Methods Forum
Topic: Expected Portfolio Return Maximization Formulation
Replies: 9
Views: 2376

Re: Expected Portfolio Return Maximization Formulation

hi there, I am looking for -- a numerical method  and -- a closed form solution  for the expected return formulation of the classical mean variance portfolio optimization problem. max w (w' \mu)  s.t. w' \Sigma w = \sigma 2 0 w' i = 1 Could someone please let me know some references about this? Goo...
by ikicker
June 20th, 2019, 2:33 pm
Forum: Numerical Methods Forum
Topic: The Final Frontier: negative probability in Machine Learning
Replies: 16
Views: 2266

Re: The Final Frontier: negative probability in Machine Learning

My personal opinion - What I would do is recompute the probability so it's not negative. Problem solved. Probably you need to do something simple with a ratio to adjust P(not) upwards. Create an error handling function. You're probably looking at something other than a probability or using an incorr...
by ikicker
June 20th, 2019, 2:13 pm
Forum: Numerical Methods Forum
Topic: NORM.DIST methodology
Replies: 24
Views: 2803

Re: NORM.DIST methodology

NORM.DIST(x,mean,standard_dev,cumulative). When cumulative is TRUE this function returns the cumulative density function which is the  normal density function  integrated  from negative infinity to x. I understand that there  is no closed form solution for  integrating the NDF but does anyone know ...
by ikicker
June 20th, 2019, 2:04 pm
Forum: Numerical Methods Forum
Topic: Identifying the components in PCA
Replies: 4
Views: 1264

Re: Identifying the components in PCA

My understanding is that PCA does not identify which variables depend on each other and does not specifically identify each component so the how do analysts interpret the factors/components in PCA?  A good example are PCA factors for different maturity US Treasuries. We are told PC1 is parallel shi...
by ikicker
June 20th, 2019, 1:38 pm
Forum: Numerical Methods Forum
Topic: One-liner questions of a numerical kind
Replies: 40
Views: 4794

Re: One-liner questions of a numerical kind

Subject: gamma (second derivative of option  price wrt S). Does it have a value at t = 0? Can we model gamma as a PDE? This is for t == 0 -> t = 1.0e-3 When t = T for initial conditions gives a better approximation.. https://i.imgur.com/8iCrGFG.jpg Probably. That most closely resembles a poisson di...
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