Universitaetsallee GW I
Bremen, D-28334
Germany
University of Bremen
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portfolio optimization, sustainable investment, investor preferences
nominal price effect, behavioral finance, asset pricing, low beta, skewness of returns
Default Risk, Credit Risk
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default risk, credit risk, risk management, forecasting, internal models.
cross-section of stock returns, covariances, characteristics, IPCA
Hedge Funds, Regime-Dependent Nonlinear Analysis
Hedge Funds
File name: SSRN-id2805997.pdf Size: 538K
model selection risk, financial forecasting, performance persistence, dimension-reduction, kernel regression, pattern recognition
File name: SSRN-id2797330.pdf Size: 548K
risk contributions, estimation error, expected shortfall (ES).finite difference (FD) methods, kernel density estimation
conditional factor-models, asset allocation, German stock market
Conditional factor-models, Asset allocation, German stock market
