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location Vienna, Austria
age 33
visits member for 2 years, 6 months
seen 23 hours ago

Risk Manager at an Asset Management Company

External Lecturer at Vienna University of Technology


Sep
15
revised Question 1.18 from Hull's Financial Risk management CAPM
added 1 character in body; edited title
Sep
15
answered Question 1.18 from Hull's Financial Risk management CAPM
Sep
11
awarded  Notable Question
Sep
8
comment conservative approach payoff table
This question is too vague. Please go more into details about the set-up, what are the decisions, which pay-off and so forth. Do you just ask which strategy to choose if 2 strategies have the same return?
Sep
8
comment Back-testing Value at Risk with a WML investment strategy
I know but if you form a portfolio how can you assume that the stocks are uncorrelated? And why should all the variances be the same? Stocks are usually correlated and you have riskiers ones and less risky ones, if you form pairs (winner minus looser) then both volatility and correlation between the stocks will determine your risk.
Sep
8
comment Back-testing Value at Risk with a WML investment strategy
no - only if they are uncorrelated - and usually each stock has it's own $\sigma_i$. For random variables $A,B$ and real numbers $a,b$ it holds that $VAR(a*A+b*B) = a^2VAR(A) + 2 a b COVAR(A,B) + b^2 VAR(B)$.
Sep
8
comment Back-testing Value at Risk with a WML investment strategy
Do you mean that the $n$ stocks are iid with one $\sigma$? This is rather unlikely.
Sep
8
revised Back-testing Value at Risk with a WML investment strategy
added 311 characters in body
Sep
8
answered Back-testing Value at Risk with a WML investment strategy
Sep
5
comment Convergence of GBM mean after simulation?
Yes ... if you need the paths then it is clear. I will read about the discretization error.
Sep
5
comment Convergence of GBM mean after simulation?
If you choose $\Delta t$ small, then you sample more often during one year - right. I will reread some works about MC simulation of stochastic processes/SDEs but I think smaller $\Delta t$ is better. if not - then why not take just a single time step of 300 years?
Sep
5
revised Convergence of GBM mean after simulation?
deleted 5 characters in body
Sep
4
comment Convergence of GBM mean after simulation?
It is not the value $0.3$ ... but the discretization error if you sample full years. You have to discretize the year. You have $300$ one-year steps. Try to cut a year in, sy $20$ steps and simulate first $1,2,3$ years and look what happens. You have $\Delta t$ in you formula but you don't use it in the code.
Sep
4
answered Convergence of GBM mean after simulation?
Sep
3
comment Option on a dice game
@RandomGuy yes, I think it should be priced similar to an American option in a Binomial tree. If you like the answer, then please accept it (klicking on the button). And yes - if we throw dice then we don't need any discounting. Anyways, it would not really change anything - if you discount, then use $2$ time periods and an appropriate interest rate.
Sep
2
comment Option on a dice game
Pricing of this option is an interesting exercise.
Sep
2
answered Option on a dice game
Sep
1
comment How to test that a distribution has infinite mean?
For the Brownian motion case, I think an application of Dynkin's formula should do the job (en.wikipedia.org/wiki/Dynkin's_formula). If the gernator of your Levy process is of a handy form then maybe Dynkin helps in your case too. Maybe check out the Brownian case first (see also the section in Oksendal's book about this amazon.com/…).
Sep
1
accepted Estimate correlation of time series whose histories differ in length
Sep
1
revised Meaning of w in SDE
typo : "Weiner" instead if "Wiener"