3,380 reputation
827
bio website researchgate.net/profile/…
location Vienna, Austria
age 33
visits member for 2 years, 4 months
seen 3 hours ago

Risk Manager at an Asset Management Company

External Lecturer at Vienna University of Technology


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.
Jun
30
comment Plot Evolution of portfolio weights over time in R
I think this is off-topic because in short you ask how to plot multvariate time series - right? Look at the xts package cran.r-project.org/web/packages/xts/index.html and get to know time formats in R.
Jun
30
comment How do I prove that $\lim_{K\searrow0}\frac{P(K,T)}{K} = \mathbb P(S_T=0)$?
So we have $\lim_{K\rightarrow 0} \frac{1}{K} \int_0^K x dF(x) = 0$ right? A reference would be what they call the second fundamental theorem of calculus as described here. The main point is that the limit $K\rightarrow 0$ leads to taking the derivative and we can take the function inside the integral and evaluate it at $K$ ... Sorry but we can not let $K$ tend to zero, use this as an agrument for the theorem and then evaluate at $K=0$. This is still not 100% rigorous, in my mind ...
Jun
29
comment Non-negative matrix factorization for factor analysis of stocks
Thanks for your answer but my question is about the concept nnmf as described and not about factor models in general.
Jun
27
comment How do I prove that $\lim_{K\searrow0}\frac{P(K,T)}{K} = \mathbb P(S_T=0)$?
yes ... I thought so too. I wonder how this theorem is called and what the conditions are ...
Jun
27
comment How do I prove that $\lim_{K\searrow0}\frac{P(K,T)}{K} = \mathbb P(S_T=0)$?
Which model do you consider? Black Scholes or something different?
Jun
27
comment How do I prove that $\lim_{K\searrow0}\frac{P(K,T)}{K} = \mathbb P(S_T=0)$?
Why is the last step valid? Could you mention a rule from calculus?
Jun
26
comment Modelling with negative interest rates
This is a long and interesting answer- would you like to use latex to make it more readable? Thanks.
Jun
23
answered questions on VAR manipulation