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bio website researchgate.net/profile/…
location Vienna, Austria
age 32
visits member for 1 year, 10 months
seen 2 days ago

Risk Manager at an Asset Management Company

External Lecturer at Vienna University of Technology


Apr
14
comment Sampling problem in portfolio optimization
Some people try genetic/evolotionary algorithms you find hits on the web like this: citeseerx.ist.psu.edu/viewdoc/… For my taste branch-and-bound is the better choice.
Apr
14
revised Sampling problem in portfolio optimization
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Apr
14
comment Sampling problem in portfolio optimization
So, you say you want to "sample" the bonds. Maybe you want to pose a cardinality constraint meaning that you have a universe of $1000$ bonds and you want to do an optimization with certain constraints and get an optimal portfolio with $N$ bonds and $N \le K$ where $K$ is some maximal number of bonds that you want to hold. Is this interpretation right?
Apr
14
answered Sampling problem in portfolio optimization
Apr
14
comment hedging with known volatility
Please tell us what your are asking.
Apr
11
comment HJM simulation problem
Could you please use latex for the formulas.
Apr
11
answered Convolution copula?
Apr
7
comment Why use implied volatility
@Ilya addressing your points: with useful I mean that BS is in any case useful as a tool to compare various options by their implied volatility (IV). High IV means rather expensive, small IV means rather cheap. BS with the correct IV (taken from the market) gives the price which is a tautology. If you use BS with the wrong IV then the price is wrong. For OTM options with short time to maturity BS is only able to get the price right with extremely large IVs. AD 2: yes it is equivalent. Again the IV smile/smirk is equivalent to the prices but on another scale.
Apr
3
comment Pricing an american style option on a bond future
Please improve the layout of your question.
Apr
3
answered Why use implied volatility
Apr
3
revised Overview of robust/regularized portfolio selection
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Apr
3
comment Overview of robust/regularized portfolio selection
@John I thought that too. Basic concept but nice interpretation. Roncalli often presents such 'big picture'things.
Apr
2
answered Overview of robust/regularized portfolio selection
Mar
31
comment Understanding the derivation of a ML-estimator
I could imagine that this fits better to stats.stackexchange
Mar
27
revised Does risk-neutral measure have anything to deal with risk-neutrality in utility theory?
edited title
Mar
25
revised Geometric Brownian motion - Volatility Interpretation (in the drift term)
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Mar
24
answered Geometric Brownian motion - Volatility Interpretation (in the drift term)
Mar
24
comment Geometric Brownian motion - Volatility Interpretation (in the drift term)
You meab $\exp(E[W_t]) \le E[\exp(W_t)]$ - right?
Mar
22
awarded  Popular Question
Mar
19
comment Which is the nearest town to London Gatwick
A joke ;) ... yes some quants might use Gatwick airport ;)