5,364 reputation
21040
bio website blog.smaga.ch
location Geneva, Switzerland
age 28
visits member for 3 years, 1 month
seen 22 hours ago

Investment Analyst in an asset allocation firm in Geneva.


Jan
3
revised How do you remove expected returns from asset allocation strategies?
edited tags
Jan
3
asked How do you remove expected returns from asset allocation strategies?
Jan
3
revised Why a self-financing replicating portfolio should always exist?
added 1 characters in body
Jan
3
revised Why a self-financing replicating portfolio should always exist?
rolled back to a previous revision
Jan
3
revised Why a self-financing replicating portfolio should always exist?
rolled back to a previous revision
Jan
3
revised Why a self-financing replicating portfolio should always exist?
deleted 8 characters in body; edited tags
Dec
29
comment How to apply risk-parity portfolio construction to a dollar-neutral portfolio?
@QuantGuy: Actually I did not get the goal from the paper, I "did it myself" when I tried out ERC. I implemented it in Matlab and the problem is indeed found using fmincon (I checked the risk contributions and the constraints)
Dec
29
answered How to apply risk-parity portfolio construction to a dollar-neutral portfolio?
Dec
28
comment How to apply risk-parity portfolio construction to a dollar-neutral portfolio?
@QuantGuy : I would have done the following: $\underset{w}{\arg \min} \sum_{i=1}^N [\frac{\sqrt{w^T \Sigma w}}{n} - w_i \partial_i \sigma (w) ]^2$
Dec
28
comment How to apply risk-parity portfolio construction to a dollar-neutral portfolio?
@QuantGuy: BTW, are you sure that your optimization goal is correct?
Dec
28
revised Which interest rate should I use for the discount rate in real-world pricing?
deleted 5 characters in body; edited title
Dec
28
comment Which interest rate should I use for the discount rate in real-world pricing?
yes, that's the way to go.
Dec
28
comment How to apply risk-parity portfolio construction to a dollar-neutral portfolio?
how do you define exactly dollar-neutral? $\sum w_i = 0$?
Dec
28
revised How to apply risk-parity portfolio construction to a dollar-neutral portfolio?
formatting
Dec
28
revised How do I calculate the delta of a convertible bond?
removed courtesies, improved title
Dec
27
awarded  Excavator
Dec
27
revised What is a Quant
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Dec
25
comment What are the limits of bond portfolio immunization against interest rate changes?
I believe you can pay for a hedge (for example duration hedging) which allows you to reduce the losses if rates increase. I do not think she was referring to options. But we need more info.
Dec
25
comment What are the limits of bond portfolio immunization against interest rate changes?
@Marie.P.: you should really be more specific. Give the details in your question (the article is not available for free). Right now, this question is unclear and should/will be closed.
Dec
25
revised What are the limits of bond portfolio immunization against interest rate changes?
formatting, added the link