3,390 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


May
20
answered How can I calculate Fama-French betas for a particular stock?
May
19
comment Difference betweem martingale property and adapted filteration
Hi Don, you really don't have the edit button right below the question? I just thought that a clear definition (with formulas) would already reveal the answer partially. But giving some examples is for sure more valuable.
May
16
revised The role of micro credit in finance
added 340 characters in body
May
16
asked The role of micro credit in finance
May
16
comment Difference betweem martingale property and adapted filteration
A very interesting question. Nevertheless such a mathematical question could be improved using formulas or at least references.
May
13
comment Hansen-Jagannathan bounds derivation: last step is not clear
@BobJansen maybe you just put it as an answer? We have so many unanswered questions in the forum ... thanks!
May
12
comment Square-root-of-time and autocorrelation
There was some confusion from my side. You ask about autocorrelation in volatility (which is a stylized fact in financial time series) and not about autocorrelation in returns thermselves-right? My answer was about autocorrelation in returns. I would alter/delete my answer.
May
12
comment 2-state HMM / ARMA process?
So you have a Markov chain $X_t$ and as you describe the transition matrix $M$ it is possible to go from state $1$ to $2$ and back. Is this really enough info to prove that $Y_t$ solves $Y_t = a Y_{t-1} + b W_{t-1} + W_t$, the ARMA(1,1) representation?
May
12
revised 2-state HMM / ARMA process?
deleted 1 character in body
May
12
revised Square-root-of-time and autocorrelation
added 3 characters in body
May
9
comment Why are factor models so popular for risk analysis of portfolios?
You could use the title "Why are factor models so popular for risk analysis of portfolios?" or something in the way.
May
8
revised Non-negative matrix factorization for factor analysis of stocks
added 125 characters in body
May
8
comment Non-negative matrix factorization for factor analysis of stocks
Yes, I quickly browsed it but I didn't see anything related to stocks or finance ...
May
8
revised Non-negative matrix factorization for factor analysis of stocks
added 265 characters in body
May
8
comment Why are factor models so popular for risk analysis of portfolios?
I was really confused by your usage of the word "risk-adjusted". In fact you talk about factor (risk) models. A risk-adjusted return is something different: en.wikipedia.org/wiki/Risk-adjusted_return_on_capital Please change the title.
May
7
comment What's the practical difference between the Johansen vs Engle-Granger tests for cointegration?
This is an interesting question but maybe you get more answers at stats.stackexchange.com ?
May
7
awarded  Custodian
May
6
asked Non-negative matrix factorization for factor analysis of stocks
May
6
revised Calculating Variance Explained from PCA Loadings
edited body
May
6
answered Calculating Variance Explained from PCA Loadings