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bio website researchgate.net/profile/…
location Vienna, Austria
age 33
visits member for 2 years, 3 months
seen 54 mins ago

Risk Manager at an Asset Management Company

External Lecturer at Vienna University of Technology


1d
comment What's the intuition behind DTS(duration times spread) in fixed income?
I would say that usual Duration has some analogy to beta but spread duration not. While the former relates to the yield curve of one market, the latter corresponds to specific spreads. The latter could rather be compared to unsystemic risk in one factor equity risk models.
1d
comment Efficient Frontier Derivation: why minimize half the portfolio variance instead of just the variance?
Clear answer - there is nothing more to it.
1d
comment What's the intuition behind DTS(duration times spread) in fixed income?
Could you shortly describe the definition of DTS that you have found?
2d
comment optimisation problem with linear constraint
I though that maybe there is a way to keep the $B_l \le A \le b_u$ formulation. But please forget it for now. It is quite usualy to formulate the constraint as $A x \le b_u$. This is fully general as you can always multiply rows and rhs by (-1).
2d
comment optimisation problem with linear constraint
It is quite some time ago that I used Matlab. But it should work that you only define b_u and leave b_l empty. Or you use a formulation where you still stack to rows together for A but keep a b_l. Give it a try and tell us.
2d
comment optimisation problem with linear constraint
If my answer answers the question then please accept.
2d
comment Intraday Data - Stylized Facts?
Could you please provide any reference for this? Then one would have a starting point for further research of the literature.
2d
comment optimisation problem with linear constraint
is this a programming question? If yes .. off-topic. If no: then please write something about what the variables mean and what the constraint means.
Sep
18
comment In what kind of stochastic process Ito's lemma is adopted?
If your tutor is a tutor of stochastic analysis, then he should teach it as a whole. Basically Ito's lemma is used for processes that can be described as solutions to SDE's (stochastic differential equaions). There is a version for jump processes too.
Sep
17
comment How to combine Gaussian marginals with Gaussian copula to obtain multivariate normals?
I see - you focus on the Matlab implementation and I rather tried to make clear the mathematics. In this case emcor is of more help I guess.
Sep
16
comment Why is two-factor model so popular for bond futures?
Could you shortly explain the two-factor model for bond futures that you mean here?
Sep
16
comment Why should we expect geometric Brownian motion to model asset prices?
By the way, @emcor, I try to use simple/applied language here but it is a theorem. You find more details here.
Sep
16
comment Why should we expect geometric Brownian motion to model asset prices?
$X=1$ is not a process, or do you mean $X_t=1$ for all $t \ge 0$. Then this is a constant process - of course I don't mean constant processes.
Sep
16
comment Does anyone have a C# implementation of the Barone Adesi Whaley options pricing model?
Would you like to provide some reference to a documentation of the model? Thanks!
Sep
15
comment Decision Tree - Query
this question probably better fits to stats.stackexchange.com
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
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.