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Stefan Voigt's user avatar
Stefan Voigt's user avatar
Stefan Voigt's user avatar
Stefan Voigt
  • Member for 9 years, 4 months
  • Last seen more than a month ago
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About

Assistant Professor of Finance, University of Copenhagen

Author of "Tidy Finance with R" (tidy-finance.org)

Topics: Bayesian Methods in Asset Pricing, Portfolio Optimization, R, DeFi

More on my research: https://www.voigtstefan.me/

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Top posts
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question
5
Multivariate Quantiles
May 24, 2015
question
5
$E(X_n)=E(X_{n-1})=\ldots=E(X_0)\nRightarrow (X_n)_n$ is Martingale
Nov 3, 2015
question
3
Linear Combination of variables from the exponential family
Mar 2, 2016
question
3
Generalized gradient descent with constraints
Oct 28, 2016
question
2
Are $X$ and $Y$ necessarily normal if the the sum $Z=X+Y$ is normal?
May 22, 2015
question
2
Find $W\in\mathbb{R}^{T \times N}$ such that for $X\in\mathbb{R}^{T \times N}$: $X'X=W'W-\frac{1}{T}W'\iota_T\iota_T'W$
Jun 10, 2015
question
2
What is the limit of $n(nI + A)^{-1}$ for $A$ p.s.d. matrix?
Aug 10, 2017
question
2
What is $\left|A - \frac{1}{\iota' A \iota} A\iota \iota' A\right|$?
Aug 28, 2017
question
1
Is there a way to obtain $A^+$ if we know $A$ and $P=AA^+$
May 17, 2015
question
1
Find Matrix $S$ such that $S'CS=\left(\begin{array}{cc} 1_{N-1} & 0 \\ 0 & 0 \end{array} \right)$ where $C:=1_N-\iota \iota'$
May 19, 2015
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18
What is the problem with empirical priors?
12
Why is volatility said to be persistent?
12
Trolls in Norway
9
Stationary vs Stability
8
Bayesian regression with singular $(X'X)$ - Is the posterior well-defined?