5,577 reputation
21342
bio website blog.smaga.ch
location Geneva, Switzerland
age 28
visits member for 3 years, 6 months
seen 13 hours ago

Investment Analyst in an asset allocation firm in Geneva.


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.
Sep
12
asked How to show that the risk contribution function is or is not injective?
Sep
11
accepted What is exactly Euler's decomposition?
Sep
11
comment What is exactly Euler's decomposition?
Excellent answer thank you!
Sep
11
asked What is exactly Euler's decomposition?
Sep
4
revised Risk Neutral Evaluation - Exchange/Spread Options
deleted 12 characters in body
Sep
4
answered Risk Neutral Evaluation - Exchange/Spread Options