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| bio | website | linkedin.com/in/bjansen |
|---|---|---|
| location | Netherlands | |
| age | 27 | |
| visits | member for | 2 years, 1 month |
| seen | 8 hours ago | |
| stats | profile views | 291 |
- Consultant @ Veneficus
- Interested in the combination of Finance and Computer Science
- Building Web2Docx, if you have tips or ideas, please let know
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Nov 22 |
comment |
Calculating portfolio VaR for (custom) leveraged products The model depends on the assets you want to calculate the VaR for. For instance if you have stocks and want to use a simple model you can look at this question: quant.stackexchange.com/questions/4589/… The answer as it is now just describes the general solution, you would have to provide more details about your specific situation for hints on implementing $f(x)$. |
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Nov 21 |
answered | Calculating portfolio VaR for (custom) leveraged products |
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Nov 21 |
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Calculating portfolio VaR for (custom) leveraged products I will, later today |
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Nov 20 |
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Calculating portfolio VaR for (custom) leveraged products Have you considered Monte Carlo? Using MC you could also model non-linearities. |
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Nov 20 |
answered | portfolio optimization from empirical return distributions |
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Nov 15 |
answered | Why is the CAPM securities market line straight? |
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Nov 13 |
revised |
Skewness and Kurtosis under aggregation deleted 3 characters in body |
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Nov 12 |
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Is it possible to derive the “risk tolerance” from the portfolio efficient frontier? You mean the $\lambda$ in $\mu - \lambda \sigma$? |
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Nov 2 |
revised |
Is the stock price process a martingale or a Markov process? Typos |
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Oct 21 |
revised |
Alternative liquidity measures Clean up, provide link to Amihud paper |
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Sep 29 |
comment |
Integrating log-normal An intuitive explanation can be found in Financial Calculus by Rennie and Baxter. |
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Sep 29 |
revised |
Fastest solver possible for portfolio optimization Add point about seeding and at refrence to Numerical Optimization by Nocedal and Wright |
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Sep 28 |
comment |
Fastest solver possible for portfolio optimization I don't know whether this applies in this scenario but another idea is seeding the solver with a good initial guess. In this case a good guess could be obtained by using the portfolio weights of the previous day. |
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Aug 30 |
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What distribution to assume for interest rates? Thanks, I've added some links to your answer. |
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Aug 30 |
revised |
What distribution to assume for interest rates? Add links to papers in comment |
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Aug 28 |
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What distribution to assume for interest rates? Do you have any references? |
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Aug 24 |
revised |
How to estimate CAViaR (Engle and Manganelli 2004) using non linear quantile regression? Spelliing error, cursive symbols. |
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Aug 21 |
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Appropriate method for calculating negative returns on a trading strategy? @Freddy nice comment |
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Aug 21 |
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Appropriate method for calculating negative returns on a trading strategy? I see no reason for downvoting but the pros and cons of the different methods is always interesting. So please do elaborate. |
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Aug 16 |
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How to annualize skewness and kurtosis based on daily returns Have a look at this question: possible duplicate of Skewness and Kurtosis under aggregation |
