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

Investment Analyst in an asset allocation firm in Geneva.


Aug
12
reviewed Reviewed Papers about risk managment in algorithmic trading systems?
Aug
12
revised How to calibrate Hull-White from zero curve?
retagged, rephrased question, added link to model, removed courtesies
Aug
12
reviewed Reviewed What data sources are available online?
Aug
12
revised Is HMM of Volatility any different from a simple filter?
added 102 characters in body
Aug
7
revised Risk Parity portfolio construction
fixing optimization target
Aug
7
reviewed Reject suggested edit on Risk Parity portfolio construction
Aug
5
revised How to choose a rolling window type and size?
edited title
Aug
1
comment Derivation of the tangency (maximum Sharpe Ratio) portfolio in Markowitz Portfolio Theory?
This is not a proper answer. Please make it complete.
Aug
1
comment IMM dates in excel
Please read your question again, you just forgot to write the most important part of it.
Aug
1
revised A question on Monte Carlo method
included comment in the question
Jul
28
answered Estimate weekly, yearly quantities from finite samples
Jul
28
revised Estimate weekly, yearly quantities from finite samples
deleted 44 characters in body
Jul
27
comment Estimate weekly, yearly quantities from finite samples
You should consider restating your question because in its current state it seems unlikely to be understandable.
Jul
26
revised A question on Ito
deleted 2 characters in body
Jul
26
comment A question on Ito
Make sure you use the Latex notation next time please, it will save me a lot of time.
Jul
26
answered A question on Ito
Jul
26
revised A question on Ito
formatting
Jul
11
awarded  Informed
Jul
3
reviewed Approve suggested edit on python tag wiki excerpt
Jul
1
comment Why is the Drawdown measure not used for portfolio optimization?
Can you provide a link to the article and maybe slightly develop the idea. Because trust me, clients do know very well what a drawdown is.