4,234 reputation
1032
bio website researchgate.net/profile/…
location Vienna, Austria
age 33
visits member for 2 years, 9 months
seen 1 hour ago

Risk Manager at an Asset Management Company

External Lecturer at Vienna University of Technology


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 can't 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.
Dec
2
reviewed Reviewed What's state price vector?
Dec
2
comment What's state price vector?
Please edit your question and provide all the details - using Latex - there.
Dec
1
comment Is an arbitrary prior for Black-Litterman valid? Or do we need a market implied one?
Hi M. ;) Do you have any reference for the riskparty + views part? and/or for the Benchmark + views part? This would be great, thanks
Dec
1
comment In theory historical performance of a portfolio
The weight $W_{i,t}$ should have the price times quantity $Q_{i,t} P_{i,t}$ in the numerator.
Dec
1
revised Is an arbitrary prior for Black-Litterman valid? Or do we need a market implied one?
Changed link
Nov
29
asked Is an arbitrary prior for Black-Litterman valid? Or do we need a market implied one?
Nov
28
comment Is volatility really a coherent risk measure?
This answer on subadditivity is great. But doesn't volatility lack the property of translation invariance and therefore it is not coherent?
Nov
27
comment Bachelier model: number of stocks in replicating strategy
Please edit the question and include all the details.