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bio website researchgate.net/profile/…
location Vienna, Austria
age 32
visits member for 2 years, 1 month
seen 13 hours ago

Risk Manager at an Asset Management Company

External Lecturer at Vienna University of Technology


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)
added 116 characters in body
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 ;)
Mar
13
comment Normally Distributed Returns Become Leptokurtic Due to Compounding
In the two plots what is the standard deviation (sd) of the first random variable (is it $1$?) and what in the second? The axes and the sd should fit together. Or you use histograms.
Mar
13
comment Normally Distributed Returns Become Leptokurtic Due to Compounding
@jessica if $r$ is normally distributed with mean $0$ and variance $\sigma$ then $1+r$ is normally distributed with mean $1$ and variance $\sigma$. The distribution of $\prod_{i=1}^n (1+r_i)$ is not normal. If you look at log-returns then you can just sum up for accumulation over time. Then you stay in the log-return world.
Mar
13
comment Ex-Ante tracking error how to determine the look back period
What would make sense is to estimte TE ex-ante and then look at future active return. Similar to VaR back-testing.
Mar
13
comment Ex-Ante tracking error how to determine the look back period
Hi, do you want to compare ex-ante TE to ex-post TE? It depends on the purpose but this does not make too much sense too me. If you don't have a lot of trading then the numbers will be very close if you put in the same data, if you have a lot of trading then they will differ a lot.
Mar
13
answered Normally Distributed Returns Become Leptokurtic Due to Compounding
Mar
12
answered Sharpe Ratio and time spent in loss
Mar
7
answered Wiener process proof
Mar
5
comment How to backtest the VaR model?
An answer for a full Var model is another question, it depends on the asset class (bonds, equity, multi assets, HF). Post a question and you will get some references.
Mar
5
revised How to backtest the VaR model?
deleted 1 characters in body
Mar
5
answered How to backtest the VaR model?
Mar
4
comment Can the duration of a bond be greater than Time to Maturity
Please tell us the exact example of this non-vanilla bond. Perpetual callable bonds for example get a "fake" maturity date on Bloomberg (something like 2045). Depending on the call schedule I can imagine that (effective) duration can be greater than this maturity.
Mar
3
comment Explanation or implementation of Ledoit-Wolf estimator (without math packages)
This is a very interesting question and very helpful that you provide code. Would you like to provide pseudo-code or something similar just to show the steps that your algorithm does? This would be somewhat clearer.