Financial Engineering Assignment
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1. Please answer whether VAR and max drawdown are coherent risk measurements ornot and prove your answer.
2. Please find a paper or a financial engineering research report from a broker which is related tobehavioral finance. Sum up the strategy and its behavioral finance support.
3. Find a technical indicator that was not covered in class, analyze its rationale, andindicate what data and data processing techniques it all uses. (e.g. price information,volume information, smoothing methods, long/short contrast, differencing, volatilitycorrections) and indicate whether it is a trend or reversal strategy.
4. The operation value (OV) is defined as following:
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