Andreas Steiner

Andreas Steiner Consulting GmbH

Walderstrasse 43c

Hinwil, 8340

Switzerland

SCHOLARLY PAPERS

24

DOWNLOADS
Rank 12,269

SSRN RANKINGS

Top 12,269

in Total Papers Downloads

5,975

SSRN CITATIONS

1

CROSSREF CITATIONS

3

Ideas:
“  Upper and Lower Bounds for Correlation Coefficients in a Valid Correlation Matrix, Stylized Facts on Correlation Innovations, Blockwise Manipulations of Valid Correlation Matrices, Optimal Forecast Horizons, Regime-Switching Models for Investment Management  ”

Scholarly Papers (24)

1.

Reconciling Ex Post and Ex Ante Volatility Figures

Number of pages: 6 Posted: 11 Mar 2013 Last Revised: 12 Mar 2013
Andreas Steiner
Andreas Steiner Consulting GmbH
Downloads 1,102 (29,531)

Abstract:

Loading...

ex ante, ex post, volatility, risk, model, Brinson, attribution

2.

Sharpe Ratio Contribution and Attribution Analysis

Number of pages: 8 Posted: 14 May 2011 Last Revised: 20 May 2011
Andreas Steiner
Andreas Steiner Consulting GmbH
Downloads 1,097 (29,717)
Citation 2

Abstract:

Loading...

Sharpe Ratio, Contribution, Attribution, Risk-Adjusted Performance, Portfolio Analysis

3.

Currency Hedged Return Calculations

Number of pages: 8 Posted: 12 Feb 2011
Andreas Steiner
Andreas Steiner Consulting GmbH
Downloads 784 (47,254)

Abstract:

Loading...

Currency, Risk, Portfolio, Return, Calculation

4.

Drawdown-at-Risk Monte Carlo Optimization

Number of pages: 12 Posted: 12 Mar 2011
Andreas Steiner
Andreas Steiner Consulting GmbH
Downloads 460 (92,985)
Citation 2

Abstract:

Loading...

Drawdown, Risk, Monte Carlo Portfolio, Construction, Optimization

5.

Annualized Volatility

Number of pages: 8 Posted: 19 Feb 2012
Andreas Steiner
Andreas Steiner Consulting GmbH
Downloads 382 (115,252)
Citation 1

Abstract:

Loading...

Annualized Volatility, Square-Root-N Rule, Autocorrelation, GARCH

6.

Tail Risk Attribution

Number of pages: 7 Posted: 11 Aug 2011
Andreas Steiner
Andreas Steiner Consulting GmbH
Downloads 270 (166,763)

Abstract:

Loading...

tail risk, attribution, modified VaR, value-at-risk, normal VaR, risk contribution, Euler theorem, linear homogeneous

7.

Fitting Non-Normal Distributions With Calibrated Cornish-Fisher Expansions

Number of pages: 8 Posted: 01 Jul 2013
Andreas Steiner
Andreas Steiner Consulting GmbH
Downloads 245 (184,208)

Abstract:

Loading...

Cornish-Fisher, modified value-at-risk, risk measurement, investment risk analysis

8.

Principal Component Analysis of Time Variations in the Mean-Variance Efficient Frontier

Number of pages: 7 Posted: 12 Mar 2013
Andreas Steiner
Andreas Steiner Consulting GmbH
Downloads 229 (195,766)

Abstract:

Loading...

mean-variance, efficient frontier, PCA, Principal Component Analysis, dynamic time-varying return, volatility, risk

9.

Did Diversification Really Fail? Evidence for Stock Portfolios

Number of pages: 7 Posted: 05 Apr 2012
Andreas Steiner
Andreas Steiner Consulting GmbH
Downloads 197 (224,948)

Abstract:

Loading...

10.

Manipulating Valid Correlation Matrices

Number of pages: 8 Posted: 06 Jul 2011
Andreas Steiner
Andreas Steiner Consulting GmbH
Downloads 190 (232,283)

Abstract:

Loading...

Portfolio, Diversification, Risk, Correlation, Stress Test, Scenario Analysis, Matrix

11.

Surplus Risk and Return: Equivalence of Asset- and Liability-Centric Views

Number of pages: 3 Posted: 09 May 2012
Andreas Steiner
Andreas Steiner Consulting GmbH
Downloads 159 (270,364)

Abstract:

Loading...

surplus, surplus return, surplus risk, surplus optimization, return measurement

12.

Equity Tail Risk Before and after the Financial Crisis

Number of pages: 7 Posted: 30 Sep 2011 Last Revised: 03 Oct 2011
Andreas Steiner
Andreas Steiner Consulting GmbH
Downloads 140 (299,517)

Abstract:

Loading...

equity, risk, extreme value theory, volatility, GARCH

13.

Is Alpha Dead?

Advisor Perspectives, April 5, 2011
Number of pages: 6 Posted: 04 Apr 2011 Last Revised: 06 Jul 2012
Andreas Steiner
Andreas Steiner Consulting GmbH
Downloads 133 (311,658)

Abstract:

Loading...

Alpha Index, Factor Model, Portfolio Risk, Adjusted Performance Measure

14.

How Many Observations Should One Use When Calculating Historical Estimators for Expected Returns, Volatilities and Correlations?

Number of pages: 8 Posted: 18 Oct 2022
Andreas Steiner
Andreas Steiner Consulting GmbH
Downloads 119 (338,052)

Abstract:

Loading...

historical estimators, statistical inference, lookback window, forecast horizon, expected return, volatility, correlation, equity, stock, bonds

15.

Accuracy and Rounding in Portfolio Construction

Number of pages: 5 Posted: 06 May 2013
Andreas Steiner
Andreas Steiner Consulting GmbH
Downloads 107 (364,027)

Abstract:

Loading...

portfolio construction, portfolio analysis, asset allocation, accuracy, rounding

16.

Sharpe Ratios are Homogeneous of Degree Zero

Number of pages: 4 Posted: 14 Apr 2012
Andreas Steiner
Andreas Steiner Consulting GmbH
Downloads 102 (375,835)

Abstract:

Loading...

Sharpe Ratio, attribution, contribution, Euler theorem, homogeneous function

17.

Upper and Lower Bounds for Entries in a Valid Correlation Matrix

Number of pages: 10 Posted: 08 Jul 2021
Andreas Steiner
Andreas Steiner Consulting GmbH
Downloads 90 (407,079)

Abstract:

Loading...

correlation, dependency, correlation matrix, positive semidefinite, stress testing, scenario analysis

18.

Discrete and Continuous Correlation

Number of pages: 5 Posted: 12 Jun 2012 Last Revised: 23 Mar 2013
Andreas Steiner
Andreas Steiner Consulting GmbH
Downloads 75 (453,082)

Abstract:

Loading...

correlation, portfolio construction, normal distribution, lognormal distribution, copula, compounding

19.

Data Frequency and Estimation Risk

Number of pages: 4 Posted: 13 Sep 2012
Andreas Steiner
Andreas Steiner Consulting GmbH
Downloads 69 (473,775)

Abstract:

Loading...

Data Frequency, Estimation Risk, IID, GARCH, Volatility, Expected Return, Estimation

20.

Implications of Default Dependency on Portfolio Risk

Number of pages: 9 Posted: 30 Jun 2021
Andreas Steiner
Andreas Steiner Consulting GmbH
Downloads 25 (700,142)

Abstract:

Loading...

default risk, credit risk, copula, dependency, portfolio analysis, risk management

21.

Risk Parity for the Masses

Journal of Investing, Vol. 21, No. 3: pp. 129-139, Fall 2012
Posted: 07 Nov 2011 Last Revised: 18 Jan 2022
Andreas Steiner
Andreas Steiner Consulting GmbH

Abstract:

Loading...

Risk Parity, Minimum Variance Portfolio, Portfolio Construction, Efficient Frontier, In-Sample, Out-Of-Sample

22.

Geometric and Arithmetic Volatility

Journal of Insurance and Financial Management, 2022
Posted: 25 Oct 2011 Last Revised: 21 Sep 2022
Andreas Steiner
Andreas Steiner Consulting GmbH

Abstract:

Loading...

volatility, discrete, continuous, compounding, arithmetic, geometric, return

23.

Attribution Analysis of Bull/Bear Alphas and Betas with Applications to Downside Risk Management

Alternative Investment Analyst Review, Vol. 1, No. 2, Q2 2012
Posted: 14 Jun 2011 Last Revised: 07 Mar 2013
Andreas Steiner
Andreas Steiner Consulting GmbH

Abstract:

Loading...

Performance Attribution, Bull, Bear, Alpha, Beta, Chow Test, Portfolio Construction

24.

Correct Calculation of Ex Post Contributions to Return, Volatility and Tracking Error

Posted: 13 Jan 2011 Last Revised: 12 Jun 2013
Andreas Steiner
Andreas Steiner Consulting GmbH

Abstract:

Loading...

Ex Post Portfolio, Contribution Return, Volatility, Tracking Error