3,625 reputation
928
bio website researchgate.net/profile/…
location Vienna, Austria
age 33
visits member for 2 years, 6 months
seen 7 hours ago

Risk Manager at an Asset Management Company

External Lecturer at Vienna University of Technology


Dec
9
comment What is a medium to low frequency trading strategy and why is it less hyped?
This is a very rudimentary answer. As it is your first answer here mabye you would like to improve it (e.g. using full sentences, references, ...)
Dec
9
answered Portfolio Optimization to include ALL Securities?
Dec
9
comment How to annualise the volatility of non-iid returns?
I edited the question a bit. You do not annualise returns but you annualise their volatility.
Dec
9
revised How to annualise the volatility of non-iid returns?
I added the word "volatility"
Dec
9
awarded  Organizer
Dec
9
revised What do I need to do with my data before fitting the ARIMA model?
edited tags
Dec
9
answered What do I need to do with my data before fitting the ARIMA model?
Dec
4
comment How to compute the historical VaR for a portfolio with long and short positions?
Please clarify your question and correct the typing.
Dec
4
revised How to extrapolate VaR?
deleted 1 character in body
Dec
4
answered How to extrapolate VaR?
Dec
3
comment Equivalent (true) Martingale Measures and no-arbitrage conditions
This is a nice joke. But sometimes you can construct (more or less) realistic arbitrage as an example. Maybe in this setting too? If not then we can call it purely mathematical ...
Dec
3
comment Why cant I multiply two SDE Solutions?
Please use latex for formulas.
Dec
2
accepted Stability of correlations and volatility
Dec
2
accepted Risk and Reward in practice
Dec
2
accepted Non-negative matrix factorization for factor analysis of stocks
Dec
2
comment The role of micro credit in finance
@TomAu Do you know anything about the mutual fund industry in this area? I know European players - what are global/US players?
Dec
2
accepted How to distinguish total return and absolute return funds in the KIID
Dec
2
comment Is an arbitrary prior for Black-Litterman valid? Or do we need a market implied one?
Very nice summary and links - thanks a lot! Maybe we meet before Xmas for lunch?
Dec
2
accepted Is an arbitrary prior for Black-Litterman valid? Or do we need a market implied one?
Dec
2
comment Equivalent (true) Martingale Measures and no-arbitrage conditions
Would you like to go more into detail here? The link is great but having more details in the answer itself would be helpful.