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| bio | website | |
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| age | ||
| visits | member for | 1 year, 3 months |
| seen | 29 mins ago | |
| stats | profile views | 17 |
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May 12 |
awarded | Citizen Patrol |
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Apr 22 |
comment |
Mean-variance minimizser I dont see a question? |
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Apr 22 |
awarded | Commentator |
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Apr 22 |
comment |
portfolio optimization with a loop Could you clarify your question? I don't really understand your problem... |
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Apr 18 |
answered | Resources for finding scholarly research on topics in quantitative finance? |
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Apr 10 |
awarded | Yearling |
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Apr 10 |
answered | Get intraday data of SAP with google Finance |
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Mar 29 |
comment |
Portfolio risk-return when assets have limited and inconsistent historical data / time series? Yes, you are absolutely right. This method works only for assets with very similar sources of risk, and if unsystematic factors can be considered negligible. I was hoping that the context made that clear. Also, we did not analyze the stability of the correlations, but compared a few more-or-less arbitrary periods, which were mostly stable for the REIT indices within Europe. |
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Mar 28 |
comment |
Portfolio risk-return when assets have limited and inconsistent historical data / time series? ...so for our application, length of the original time series didn't matter much, since we compared country indices and then adjusted the Dutch data to match our and stiched the series together. |
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Mar 28 |
comment |
Portfolio risk-return when assets have limited and inconsistent historical data / time series? In our case alternatives were obvious - REITs (think stocks on real estate) were available in several European countries for +10 years, but were recently introduced in Germany (as a new legal form). So all we had to do was find the series for countries were REITs were available, then we looked at correlations among multiple lead indices (i.e. DAX for Germany, AEX Netherlands) and picked that country with the high correlations over most indices, and ended up with Netherlands. Honestly, we looked at it, and picked by guts ;-) But again, that was only a client presentation, not real research. |
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Mar 28 |
answered | Portfolio risk-return when assets have limited and inconsistent historical data / time series? |
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Mar 24 |
answered | Market weights for Black-Litterman |
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Mar 24 |
awarded | Organizer |
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Mar 24 |
revised |
Why the implied volatilities calculated are so different edited tags |
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Mar 24 |
revised |
Why the implied volatilities calculated are so different edited tags |
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Mar 18 |
comment |
Kolmogorov-Smirnov test I believe Chris' point is that even if you can prove normality, how does this allow you to infer efficient markets? You can use a K-S-Test to do that, but it would not allow you to make statements about whether the market is an efficient one. |
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Mar 16 |
answered | Is drift rate the same as interest rate in risk-neutral random walk when using Monte Carlo for option pricing? |
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Mar 14 |
comment |
What is the expected return I should use for the momentum strategy in MV optimization framework? Is this, from your experience, a common way to develop a strategy for asset managers? I have worked for four different companies (three internships though), all did something similar, but it didn't feel as sophisticated as I expected it to be... |
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Mar 2 |
awarded | Critic |
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Mar 2 |
answered | Good Model Calibration Books/Papers for Common Option Pricing Models |
