2,980 reputation
625
bio website researchgate.net/profile/…
location Vienna, Austria
age 32
visits member for 2 years, 2 months
seen 17 hours ago

Risk Manager at an Asset Management Company

External Lecturer at Vienna University of Technology


Jul
11
comment Getting the next price of a GBM (Geometric Brownian Motion)
There $250$ is fine.
Jul
10
comment Correlation of asset to portfolio, given certain variables
Happy to hear this, maybe you would like to accept my answer?
Jul
10
comment How to see the impact of one variable on a set of other variables?
The answer of g g below is much better than my comment, but have you ever heard of regression analysis? This is obviously not the best approach and much better ones exist, but as a start?
Jul
10
comment Correlation of asset to portfolio, given certain variables
VAR is variance in this context.
Jul
10
comment Correlation of asset to portfolio, given certain variables
@emcor this is wrong, I don't assume this. I use the linearity of covariance which is correct. See the proof.
Jul
10
comment Correlation of asset to portfolio, given certain variables
No guys. I use the whole covariance matrix. Nowhere I assume anything about its shape. Read the paper or text books about risk contributions to volatility or the Euler allocation principle.
Jul
10
revised Correlation of asset to portfolio, given certain variables
added 87 characters in body
Jul
10
awarded  Inquisitive
Jul
9
answered Correlation of asset to portfolio, given certain variables
Jul
9
asked Option based portfolio insurance in practice
Jul
9
comment hedging with known volatility
correct answer ...
Jul
9
comment hedging with known volatility
This is only true if the factor are investable. This is a geometric Brownian motion - this is theoretical only.
Jul
7
revised The Definition(s) of Momentum
added 1 character in body
Jul
4
comment Getting the next price of a GBM (Geometric Brownian Motion)
Attenation: volatility scale with the square-root of time, so your first transformation should be volatility/100/$\sqrt{365}$.
Jul
2
awarded  Curious
Jul
1
comment Non-negative matrix factorization for factor analysis of stocks
Thanks for pointing to the book. Do you have any free reference from the web too? thanks!
Jun
30
comment How to distinguish total return and absolute return funds in the KIID
Thanks for your interpretation. I wait for more answers and comments.
Jun
30
comment How do I prove that $\lim_{K\searrow0}\frac{P(K,T)}{K} = \mathbb P(S_T=0)$?
@Hansen Thanks for coming back to me and sorry for being complicated. I agree: it is the derivative (of the integral) at $0$.
Jun
30
asked How to distinguish total return and absolute return funds in the KIID
Jun
30
comment Plot Evolution of portfolio weights over time in R
This is a simple programming question.