5,364 reputation
21040
bio website blog.smaga.ch
location Geneva, Switzerland
age 28
visits member for 3 years, 1 month
seen 19 hours ago

Investment Analyst in an asset allocation firm in Geneva.


Sep
11
accepted What is exactly Euler's decomposition?
Jun
24
accepted What is the analytic value of an asset's risk contribution, if $n=2$?
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?