3,500 reputation
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bio website researchgate.net/profile/…
location Vienna, Austria
age 33
visits member for 2 years, 5 months
seen 7 hours ago

Risk Manager at an Asset Management Company

External Lecturer at Vienna University of Technology


Oct
8
comment seasonality and generalized additive model
Should be migrated to stats.stackexchange.com
Oct
7
comment CAPM (SML) Problem
You should use Tex and make the formulas more clear.
Oct
3
revised Calibrating an Ornstein Uhlenbeck process on residuals of regression
added 5 characters in body
Oct
3
answered Calibrating an Ornstein Uhlenbeck process on residuals of regression
Oct
3
comment Portfolio Turnover Constraint
Just a small addon: some optimizes like to handle positive linear constraints best. Then it is one way to introduce additional variables $b_i \ge 0$ and $s_i \ge 0$ for weights bought, weights sold all positive. Then new weights are $w_i = p_i + b_i - s_i$ which can be formulated as constraint. And finally $\sum_{i=1}^n b_i + s_i \le 0.1$. One has to take extra care for new instruments and those who leaver the universe.
Oct
1
comment What's the intuition behind DTS(duration times spread) in fixed income?
I would say that usual Duration has some analogy to beta but spread duration not. While the former relates to the yield curve of one market, the latter corresponds to specific spreads. The latter could rather be compared to unsystemic risk in one factor equity risk models.
Oct
1
comment Efficient Frontier Derivation: why minimize half the portfolio variance instead of just the variance?
Clear answer - there is nothing more to it.
Sep
30
awarded  Explainer
Sep
30
answered What's the intuition behind DTS(duration times spread) in fixed income?
Sep
30
comment What's the intuition behind DTS(duration times spread) in fixed income?
Could you shortly describe the definition of DTS that you have found?
Sep
30
comment optimisation problem with linear constraint
I though that maybe there is a way to keep the $B_l \le A \le b_u$ formulation. But please forget it for now. It is quite usualy to formulate the constraint as $A x \le b_u$. This is fully general as you can always multiply rows and rhs by (-1).
Sep
30
comment optimisation problem with linear constraint
It is quite some time ago that I used Matlab. But it should work that you only define b_u and leave b_l empty. Or you use a formulation where you still stack to rows together for A but keep a b_l. Give it a try and tell us.
Sep
30
comment optimisation problem with linear constraint
If my answer answers the question then please accept.
Sep
30
comment Intraday Data - Stylized Facts?
Could you please provide any reference for this? Then one would have a starting point for further research of the literature.
Sep
29
revised optimisation problem with linear constraint
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Sep
29
answered optimisation problem with linear constraint
Sep
29
comment optimisation problem with linear constraint
is this a programming question? If yes .. off-topic. If no: then please write something about what the variables mean and what the constraint means.
Sep
22
awarded  Revival
Sep
22
revised Approximation of different volatilities
added 431 characters in body
Sep
22
revised Approximation of different volatilities
added 416 characters in body