Marcus Wunsch obtained his PhD in Applied Mathematics from the University of Vienna (Austria) in 2009. Subsequently, he spent two years as a Postdoctoral Researcher at the Research Institute for Mathematical Sciences at Kyoto University with a fellowship granted by the Japan Society for the Promotion of Science. He was a Senior Postdoctoral Fellow at the Insurance Mathematics and Stochastic Finance group at ETH Zurich from 2011 until 2013. Thereafter, he joined UBS AG, first working at the Chief Risk Office, and then at the Chief Investment Office. He has (co-)authored 19 articles on Partial Differential Equations in Mathematical Hydrodynamics and Differential Geometry.
In this paper, the authors analyze how autocorrelation affects MoM estimators commonly used in the industry to determine the latent asset return correlation, and propose a new estimator that includes correction terms to account for the autocorrelation…