1,220 reputation
321
bio website
location Vienna, Austria
age
visits member for 2 years, 5 months
seen 2 days ago

Dec
9
comment Book recommendation on robust optimization
Of course its a stretch as I dont know you nor your exact background so you might as well find it easy. You are more than welcome to try and see how you can handle the topics. The book is free for download. If you have a (very) solid background in optimization you schould be able to handle it. For an advanced finance course the books contents will be too much of a specialization I think.
Dec
9
comment Book recommendation on robust optimization
I am afraid for a bachelor in economics, the Ben Tal / Nemirovski book will be far too technical.
Dec
4
comment How to extrapolate VaR?
as @Richard pointed out, the scaling rule depends on the distribution. Value at Risk is a distribution quantile. The Quantile of a Normal Distribution with $\mu = 0$ scales with $\sqrt{T}$, in general it does not!
Dec
2
comment How do I artificially generate intraday ticks data from a given input (Open,High,Low,Close,Volume) using Brownian Bridge method?
@jaamor You could do that, but those times will not be independent I suppose. I think the result wouldnt look too good. I would take the high and low value and use it as a dispersion measure to improve my intraday volatility estimator and then create BB paths from it. They will, in general, not reach the high and low values but the question is: Does it make sense to enforce this?
Dec
2
comment Is an arbitrary prior for Black-Litterman valid? Or do we need a market implied one?
Hope it helps. Lets try to find a day - check your inbox in a few hours!
Dec
2
comment Is an arbitrary prior for Black-Litterman valid? Or do we need a market implied one?
@Richard I tried to clarify my answer a little and added an additional point.
Dec
2
revised Is an arbitrary prior for Black-Litterman valid? Or do we need a market implied one?
added 545 characters in body
Dec
1
comment Is an arbitrary prior for Black-Litterman valid? Or do we need a market implied one?
@Richard Hallo, I have to check the details about the risk parity portfolio agai and will catch up on that tomorrow.
Dec
1
revised Is an arbitrary prior for Black-Litterman valid? Or do we need a market implied one?
added 494 characters in body
Dec
1
answered Is an arbitrary prior for Black-Litterman valid? Or do we need a market implied one?
Nov
24
reviewed Approve What are the dynamics of the reverse of this FX process?
Nov
14
answered CVaR reformulation correct?
Oct
7
comment Determine $E[W_p W_q W_r]$
For a normal distributed rv $X ~ N(\mu,\sigma)$, $E[(X-\mu)^3] = \mu^3+3\mu\sigma^2$ (just search for moment normal). In our case, $\mu=0$ and $\sigma = p$. Alternatively, you can calculate it by hand (several times integration by parts) or via the moment-generating function.
Oct
6
answered Determine $E[W_p W_q W_r]$
Oct
1
comment quadratic programming portfolio optimisation
Hm, thats why I wasn't sure this is the right explanation because $x$ should be $x = [0.8,0,0.5,0,-0.3,0]$ in this case (splitting $x$ up in a positive and a negative part). Now, $x(1:3)+x(4:6)$ is the original portfolio and $x(1:3) - x(4:6)$ its component-wise absolute value.
Oct
1
comment quadratic programming portfolio optimisation
Its not linear because $|-x|\neq-|x|$ which would hold for a linear function.
Oct
1
answered quadratic programming portfolio optimisation
Oct
1
comment quadratic programming portfolio optimisation
Please provide some more information about the constraints the example employs. There are techniques to reformulate optimization problems that simplify those but I doubt thats the problem here. Does your example use a different solver than matlab? Have you tried solving the example your way and compared the solutions? Further more: If you look at F and multiply with vectors $(x,-x)^T$ and $(x,-x)$ from both sides, you will miss the factor $1/2$. Probably the author moved into the $c$ but without any more information its really hard to say...
Sep
10
answered How do Return.portfolio and Return.rebalancing work in Performance Analytics in R?
Jul
28
revised Non-Negativity of up-factor and down-factor in Binomial No-Arbitrage Pricing Model
added 686 characters in body