5,462 reputation
21341
bio website blog.smaga.ch
location Geneva, Switzerland
age 28
visits member for 3 years, 4 months
seen 1 hour ago

Investment Analyst in an asset allocation firm in Geneva.


Nov
7
comment Is the risk-reward ratio considered in Quantitative Finance?
@MattWolf well as surprising as it might sound, you will find a lot of finance professionals who can't write down these "equations". You might consider a lot of people as non-quants for you because of your background and line of work but I'm pretty sure you'd be surprised how quickly you can be considered as a quant in some companies.
Nov
5
answered Rate of Return Required on Buying Stocks with Loan
Nov
5
comment Trouble arriving at Black-Scholes Formula
Please do not use the HTML tags in your body. You can use this site's features to format your posts optimally.
Nov
5
revised Trouble arriving at Black-Scholes Formula
deleted 23 characters in body; edited tags
Nov
5
revised Trouble arriving at Black-Scholes Formula
removed courtesies, formatting
Oct
28
answered Risk Neutral Probability
Oct
21
revised Are two stocks with the same beta have a correlation of 1?
title as a question, beta definition
Oct
21
revised Are two stocks with the same beta have a correlation of 1?
title as a question, beta definition
Oct
14
comment How to apply Ljung Box Test?
Actually, you may not really ask this on this site as it is dedicated to professional quants or academics (see the faq), but the return $r_t$ is defined as $r_t=\frac{r_t}{r_{t-1}}-1$.
Oct
13
revised Problem with setting up an arbitrage
deleted 25 characters in body
Oct
13
answered How to apply Ljung Box Test?
Oct
1
revised Concave volatility smile
added 4 characters in body
Sep
23
comment What is the correct Stutzer index and Sharpe ratio relation, assuming a normal returns distribution?
Please provide a link to the complete definition of the Stutzer Index for the sake of completeness
Sep
23
revised What is the correct Stutzer index and Sharpe ratio relation, assuming a normal returns distribution?
added 2 characters in body
Sep
13
comment Input for unanticipated risk premium estimation
I misunderstand it then, I'll let the community answer it then. Feel free to add background to your questions to make sure if there is usual confusion in a topic as you say.
Sep
13
comment Input for unanticipated risk premium estimation
This is really too basic so I'm gonna close this. The answer is it depends, how you compute your risk-premium, which is actually often referred as spread. You can look at this post where I discuss some of the spread measures.
Sep
13
revised Input for unanticipated risk premium estimation
deleted 25 characters in body
Sep
13
revised How to show that the risk contribution function is or is not injective?
added 455 characters in body
Sep
13
revised Testing the validity of a factor model for stock returns
removed courtesies
Sep
13
comment How to show that the risk contribution function is or is not injective?
Yeah thanks for the fix. I don't see how this question is related to the Euler one, although $\sigma(\cdot)$ is homogenous of degree 1 indeed.