9,100 reputation
12879
bio website
location Aschaffenburg, Germany
age 44
visits member for 3 years, 10 months
seen 5 hours ago

The stock market is a metaphor for life: "How to survive in a stochastic environment?"

I am proud member of the Bachelier Finance Society: http://www.bachelierfinance.org


Oct
3
comment Markowitz mean-variance optimization as “error maximization”
@vanguard2k: I agree, it is a way of saying that the method is super sensitive to inputs and therefore prone to produce errors that can be quite huge.
Sep
21
awarded  Custodian
Sep
20
answered Code for Evidence Based Technical Analysis
Sep
18
comment Markowitz mean-variance optimization as “error maximization”
John: Could you pls. expound on "the nature of the inverse of the covariance matrix" - thank you.
Sep
17
answered Markowitz mean-variance optimization as “error maximization”
Aug
10
awarded  Nice Question
Jul
18
comment Is Arithmetic Return Bias Basis of Low Vol Anomaly?
@EduardoSahione: Have a look at the article from Falkenstein. You could for example test the CAPM for different timeframes and mean bases and see whether and when it holds. You could do the same tests for low vol strategies.
Jul
17
asked Is Arithmetic Return Bias Basis of Low Vol Anomaly?
Jul
7
awarded  Notable Question
Jul
6
revised Debunking risk premium via “hedging” argument? (or why even in the real world $\mu$ should equal $r$)
added 181 characters in body
Jul
6
answered Why should there be an equity risk premium?
Jul
4
comment Volatility pumping in practice
Yes, of course you are right.
Jul
4
comment Volatility pumping in practice
@TheBridge: Now I bought this book and, Yes, it is the same concept.
Jul
2
comment Calculate historical (ATM) option prices with public data
@Terco: Just do a Google search for "Black Scholes Excel" and use the variables as stated in the paper - it is not that complicated!
Jul
1
answered Calculate historical (ATM) option prices with public data
Jun
7
awarded  Popular Question
Jun
7
awarded  Notable Question
May
27
comment How do I find the most diversified portfolio, or least correlated subset, of stocks?
An expanded version of Toward Maximum Diversification from 2011 can be found here: papers.ssrn.com/sol3/papers.cfm?abstract_id=1895459
May
17
awarded  Notable Question
May
12
awarded  Nice Answer