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1d
comment comparing modified VaR to ordinary VaR
The intuition is missing. I understand the use of cornish fisher expansion to the quantiles to include skewness and kurtosis but what inferences can be made but just looking at the numbers
1d
asked comparing modified VaR to ordinary VaR
Dec
1
comment dynamic programming with serially independent returns
Can you explain that in terms of the shape of the scenario tree in dynamic programming context with stages and states
Nov
29
comment dynamic programming with serially independent returns
I am unable to understand the statement made in the 2nd paragraph of page 215 of the Book. My understanding is that returns must have a distribution at each stage and so wealth must have a distribution. Hence, there must be a fan like structure connected to another fan like structure. I am struggling to understand the shape of the scenario tree.
Nov
28
asked dynamic programming with serially independent returns
Oct
27
asked Variability in the Expected Shortfall estimator
Oct
18
revised What are the properties of the Expected Shortall measure when split in multiple time periods?
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Oct
18
revised What are the properties of the Expected Shortall measure when split in multiple time periods?
deleted 189 characters in body
Oct
18
revised What are the properties of the Expected Shortall measure when split in multiple time periods?
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Oct
18
revised What are the properties of the Expected Shortall measure when split in multiple time periods?
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Oct
18
awarded  Commentator
Oct
18
comment What are the properties of the Expected Shortall measure when split in multiple time periods?
Lets make it simpler. What if I assume that that $L_1, L_2\sim\mathcal{N}(\mu,\sigma^2)$ and $L\sim$ Bivariate Normal Mixture
Oct
18
revised What are the properties of the Expected Shortall measure when split in multiple time periods?
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Oct
17
revised What are the properties of the Expected Shortall measure when split in multiple time periods?
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Oct
17
asked What are the properties of the Expected Shortall measure when split in multiple time periods?
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8
awarded  Taxonomist
Jul
15
awarded  Custodian
Jul
15
reviewed Approve Understanding the conditioning in a GARCH process
Jul
15
answered Interpretation of equation derived from the delta of a call European call option
Jul
2
comment Why does [dz(t)]^2 converge to dt over infinitesimally short time periods?
That answer has nothing to do with mean square convergence of random variables. That oversimplification I believe is tangent to understanding the first equation.