4,234 reputation
1032
bio website researchgate.net/profile/…
location Vienna, Austria
age 33
visits member for 2 years, 9 months
seen yesterday

Risk Manager at an Asset Management Company

External Lecturer at Vienna University of Technology


2d
answered How to fit a SARIMA + GARCH in R?
2d
answered Can I do a GARCH model to forecast a time series?
2d
asked Please give a step-by-step explanation on how to build a factor model
Mar
23
comment ARIMA-GARCH model estimation
What is the lm-test? Do you have a link to the paper that says this?
Mar
20
comment Alternatives to CDSs for default term structure?
am I the only one who does not understand the title ? ;)
Mar
20
comment How do I find the Sharpe Ratio?
Please use latex and explain the difference between $m$ and $m_p$ and if you have assets $x_0$ and $x_1$ (prices? returns?) how does $R_p$ relate to that?
Mar
18
answered Historical Data on $/yen forward exchange rates
Mar
13
comment What are pros and cons of mean absolute deviation portfolio optimization?
Please don't post any Google searches - we all can do them ... don't you have links to papers that you have read and that you found interesting?
Mar
12
comment MLE estimate of normal distribution
Why don't you post here: stats.stackexchange.com This is a statistics question.
Mar
12
comment What are pros and cons of mean absolute deviation portfolio optimization?
Thanks for the comment, could you provide links to the papers too? Thanks!
Mar
11
comment What are pros and cons of mean absolute deviation portfolio optimization?
An application of Bayesian statistics sounds interesting. Do you mean anything beyond shrinkage (which could be seen as Bayesian)? Do you know a shrinkage estimator in the context of MAD?
Mar
11
comment What are pros and cons of mean absolute deviation portfolio optimization?
Hehe.. That's right :)
Mar
10
comment How to implement Konno's Mean-Absolute Deviation Portfolio Optimization Model using LP methods in Excel
quant.stackexchange.com/questions/16923/…
Mar
10
asked What are pros and cons of mean absolute deviation portfolio optimization?
Mar
10
comment How to implement Konno's Mean-Absolute Deviation Portfolio Optimization Model using LP methods in Excel
Self promotion ... that's alright, there is a paper and there is a spreadsheet - let me ask you one thing: what is the result - sparse portflios? What is the back-test? I will post a question and you can answer. So far there is some knowledge but a lot of questions open to me.
Mar
10
comment What are the properties of Max and Min functions?
If $K_1 < K_2$ is the assumption - which cases am I missing? $S$ can be below $K_1$, between the two or higher.
Mar
10
revised What are the properties of Max and Min functions?
added 170 characters in body
Mar
10
answered Exponential weighting of returns
Mar
10
answered What are the properties of Max and Min functions?
Mar
9
comment The role of Gamma in replicating a put
Thanks @Mark Joshi, I will have a look at the book. I have cecked your web page - thanks for taking part in this form as an academic and practitioner. In short: if I "have to" us BS and if I don't want to trade assets with non-linear pay-off then I do frequent Delta-hedging and this is more or less the best I can do - right? Of course I should get implied vol "right".