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Markus


Universität Mannheim

Active since 2014

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Question


Run the same fmincon multiple times
Hey everybody, i want to minimze a risk measure (CVaR), the input is a return matrix. The Solution works if i determine the ret...

mer än 9 år ago | 0 answers | 0

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How to make vectors A1, A2,... A127. Rolling time window.
hey guys, my problem is the following: i have a column vector (276x1)of S&P500 returns (276 monthly returns in total) and i nee...

nästan 10 år ago | 2 answers | 0

2

answers

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Calculate 10y returns out of monthly data
hey guys, i have monthly returns (1mil. simulations). Now i want to calculate corresponding 10 year returns. for example vex...

ungefär 10 år ago | 2 answers | 0

2

answers

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kolmogorov-smirnov test with paretotails
hey guys, i fitted data using the paretotails command. Now i have a piecewise distribution X (3 segments: tails GDP, center k...

ungefär 10 år ago | 0 answers | 0

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Paretofit - threshold values as input?
Hey guys, i have monthly return data and essentially i want to do exactly what the function paretotails does (a gpdfit in the...

ungefär 10 år ago | 1 answer | 0

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