590 reputation
315
bio website
location Frankfurt
age
visits member for 3 years, 2 months
seen Mar 17 at 12:58

Feb
26
answered Stock Returns Distribution in Heston Model
Feb
10
answered The importance of good optimizers in Portfolio Optimization
Jan
17
comment Where can I find US public company bankruptcy data
You're right, my mistake. Check the other one.
Jan
17
revised Where can I find US public company bankruptcy data
added 142 characters in body
Jan
16
answered Where can I find US public company bankruptcy data
Jan
16
comment I have portfolio volatility for individual years, can I use them to compute portfolio volatiltiy for subperiods?
You're not mistaken, and of course you capture correlation: One asset goes down, another one goes up -> Portfolio NAV stays the same. That's correlation at work. You can actually trade effect this by selling a call on an index, while buying calls on the index' constituents. This is called dispersion trading. The variance of your portfolio is defined by its returns, and they will be the same.
Jan
15
answered I have portfolio volatility for individual years, can I use them to compute portfolio volatiltiy for subperiods?
Oct
25
answered Historical data resources for Indian market
Oct
25
answered Understanding how to calculate tracking error
Oct
20
awarded  Tumbleweed
Oct
13
asked Price of a composite option
Aug
22
reviewed No Action Needed Markit PMI vs ISM PMI
Jul
25
comment Opposite of Tail-Risk Hedge (Established Vocabulary)
Thanks for your ideas so far. It seems some clarification is necessary: The focus should lie on protective puts near the money, as opposed to far out of the money, which only hedges tail risk. For now, I'm using the term "near-the-money hedge". One could also imagine other instruments, e.g. cds payer swaptions, to implement it.
Jul
22
asked Opposite of Tail-Risk Hedge (Established Vocabulary)
Jun
4
answered Determining optimal trading signals (buy/sell) from past data
Jan
30
awarded  Yearling
Jan
27
comment How are the Hamilton–Jacobi–Bellman equations used to solve optimal control problems?
Bjoerk - Arbitrage Theory in Continuous Time describes this extensively in Chapter 19.
Oct
1
awarded  Custodian
Oct
1
reviewed No Action Needed Exercising an American call option early
Sep
25
comment Can Beneish's model for detecting earnings manipulation be applied to companies in the UK?
I see no reason you shouldn't be able to apply it to any market, provided you have the data. However it is up to you to test your results; we do not provide help for developing trading strategies.