3,360 reputation
727
bio website researchgate.net/profile/…
location Vienna, Austria
age 33
visits member for 2 years, 4 months
seen 18 mins ago

Risk Manager at an Asset Management Company

External Lecturer at Vienna University of Technology


Oct
13
revised Is there anyone still using Markowitz modern portfolio theory?
edited title
Oct
13
revised Is there anyone still using Markowitz modern portfolio theory?
added 3 characters in body
Oct
3
revised Calibrating an Ornstein Uhlenbeck process on residuals of regression
added 5 characters in body
Sep
29
revised optimisation problem with linear constraint
added 535 characters in body
Sep
22
revised Approximation of different volatilities
added 431 characters in body
Sep
22
revised Approximation of different volatilities
added 416 characters in body
Sep
16
revised Hedging using relative values
edited body
Sep
15
revised Question 1.18 from Hull's Financial Risk management CAPM
added 1 character in body; edited title
Sep
8
revised Back-testing Value at Risk with a WML investment strategy
added 311 characters in body
Sep
5
revised Convergence of GBM mean after simulation?
deleted 5 characters in body
Sep
1
revised Meaning of w in SDE
typo : "Weiner" instead if "Wiener"
Jul
28
revised Option based portfolio insurance in practice
edited title
Jul
14
revised Option based portfolio insurance in practice
added 1009 characters in body
Jul
10
revised Correlation of asset to portfolio, given certain variables
added 87 characters in body
Jul
7
revised The Definition(s) of Momentum
added 1 character in body
Jun
13
revised Controling ex-post volatility by ex-ante limits
added 4 characters in body
Jun
6
revised Quadratic variation question
edited title
May
27
revised Documentation of the ISDA CDS standard model
added 283 characters in body
May
21
revised Implied Correlation using market quotes
added 47 characters in body
May
20
revised Trend estimation techniques
added 6 characters in body