1,602 reputation
2724
bio website linkedin.com/in/bjansen
location Netherlands
age 28
visits member for 2 years, 11 months
seen 18 mins ago
  • Consultant @ Veneficus
  • Looking for new opportunities
  • Interested in the combination of Finance and Computer Science

May
26
answered Statistical models for exchange rates?
May
24
comment How to optimize a portfolio under *both* maximum diversity ratio and minimum variance
I'm always interested in clever optimization schemes but I don't see how this could work. My concern, as voiced in my answer, is that both portfolios are unique and in general unequal. So, whatever you do, you can never find a portfolio that achieves both objectives. Still interested in more information about your proposed method.
May
24
reviewed Approve suggested edit on Discount of Asian vs European vols
May
24
reviewed Approve suggested edit on IB TWS & API, without IB account?
May
23
revised Discount of Asian vs European vols
Spelling
May
21
comment VaR for portfolio of funds
Do you want to incorporate market inefficiencies such as the trading costs each fund makes?
May
8
reviewed Approve suggested edit on Usage of NoSQL storage in Finance
May
7
awarded  Yearling
May
4
reviewed Approve suggested edit on Obtaining a consistent covariance matrix for stochastic volatility processes
May
4
comment Obtaining a consistent covariance matrix for stochastic volatility processes
Multivariate GARCH seems to be a good fit to your problem. Do look at this answer for some further information and warnings.
Apr
29
comment How to calculate unlevered beta
Pages 53 and 54 of Volume 4 of the CFA level curriculum. I'm not sure where you're getting your formula but my book states $\beta_{\textrm{asset}} = \beta_{\textrm{equity}} \frac{1}{1+(1-t){\frac{D}{E}}}$.
Apr
26
revised Time Varying Volatility
Add latex
Apr
23
reviewed Approve suggested edit on Mean-variance minimizser
Apr
21
awarded  Tag Editor
Apr
21
revised homework wiki excerpt
added 83 characters in body
Apr
21
wiki created homework excerpt
Apr
21
suggested suggested edit on homework tag wiki excerpt
Apr
9
revised How to estimate the following model?
Spelling and formatting
Apr
9
comment Iterating through every path of a Trinomial Tree
Can you describe the data structure of your tree? Is the tree recombining?
Apr
8
reviewed Approve suggested edit on Testing Significance of Correlation