The efficient frontier is a ubiquitous tool in quantative finance, yet it is often calculated using incredibly inefficient methods. Can we do better using a healthy helping of analysis and linear algebra.
Not all integrals are created equally. In this post we look at a particular class of integrals which can be highly troublesome to evaluate. Thankfully, probability theory provides us with a framework that allows us to avoid the standard method of evaluation and by doing so makes our working far less error-prone.