5,364 reputation
21040
bio website blog.smaga.ch
location Geneva, Switzerland
age 28
visits member for 3 years, 2 months
seen 17 hours ago

Investment Analyst in an asset allocation firm in Geneva.


Jul
9
wiki created market-data excerpt
Jul
9
revised Do Bond Put Dates always fall on Coupon Dates (for non-zero coupon bonds). Calculation rules for Coupon Dates
retagged, removed courtesies
Jul
8
revised Using rolling returns in a multivariate linear regression?
deleted 11 characters in body
Jul
7
answered Calculating portfolio allocation beta with different asset classes?
Jul
7
revised What is the Benefit of holding a short option?
edited body
Jul
6
revised How do I model GARCH(1,1) volatility for historical indexes in Matlab?
removed courtesies, retagged
Jul
6
answered What is the Benefit of holding a short option?
Jul
6
asked Why is the Drawdown measure not used for portfolio optimization?
Jul
5
revised What is the difference between these two optimization procedures?
rephrased the title
Jul
5
answered What is the difference between these two optimization procedures?
Jul
5
revised What is the difference between these two optimization procedures?
deleted 17 characters in body
Jul
4
reviewed Approve suggested edit on Why does Skew measure remain more-or-less constant for Listed Expiries?
Jul
4
revised How can I use Entropy-pooling of Atillio Meucci to constuct a portfolio?
added 156 characters in body
Jul
4
comment How can I use Entropy-pooling of Atillio Meucci to constuct a portfolio?
I completely agree, but I still think the paper would have benefited from a Entropy Pooling 101 example. I'm thinking about doing 1 for my blog.
Jul
3
comment How can I use Entropy-pooling of Atillio Meucci to constuct a portfolio?
I think it would have been good for Meucci to have a simple 5 stocks example. His basic example already involves options trading...
Jul
3
comment How can I use Entropy-pooling of Atillio Meucci to constuct a portfolio?
I like the question, but I think you should provide us with what you've come up so far and where you're stuck. Possibly, provide a link to the paper.
Jul
3
revised How can I use Entropy-pooling of Atillio Meucci to constuct a portfolio?
deleted 24 characters in body
Jun
25
revised How to annualize Sharpe Ratio?
math formatting
Jun
24
revised How do I statistically differentiate a series of prices from a series of returns?
added 275 characters in body
Jun
24
comment How do I statistically differentiate a series of prices from a series of returns?
+1, good to know. I think I can assume I won't have that in my samples though.