SRKX

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4,739 reputation
836
bio website blog.smaga.ch
location Geneva, Switzerland
age 27
visits member for 2 years, 3 months
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Investment Analyst in an asset allocation firm in Geneva.


19 Accepts

suggestions reviews revisions comments badges posts accepts all
Mar
4
 accepted How to implement a long-term trade on oil?
Nov
5
 accepted Which objective function should I choose to minimize tracking error?
Nov
3
 accepted How do you handle Calendars in a .NET quant system?
Sep
30
 accepted What happens if a custodian bank defaults?
Jul
19
 accepted How to compute portfolio weights from multivariate regression results?
Jul
9
 accepted Why is the Drawdown measure not used for portfolio optimization?
Jun
2
 accepted What are the steps to perform properly a risk factor analysis on a portfolio?
May
15
 accepted Which greeks do you need to hedge if you want to implement an implied-volatility security?
May
7
 accepted What are the applications of cointegration?
Feb
15
 accepted How are Expected Shortfall and Variance related?
Jan
8
 accepted How do you mix quantitative asset allocation with qualitative views?
Jan
8
 accepted How do you remove expected returns from asset allocation strategies?
Dec
20
 accepted How do you estimate the volatility of a sample when points are irregularly spaced?
Dec
9
 accepted What is the precision of standard deviation estimates with small samples?
Nov
30
 accepted How do you handle short-term asset allocation with Hedge-Funds?
Sep
21
 accepted Do you know a good article on ETF's counterparty risk analysis?
Aug
12
 accepted Formal proof for risk-neutral pricing formula
Jul
7
 accepted How to represent constraints for optimization problems in a data model?
Apr
7
 accepted How to annualize Expected Shortfall?