Andreas Steiner

Andreas Steiner Consulting GmbH

Walderstrasse 43c

Hinwil, 8340

Switzerland

SCHOLARLY PAPERS

22

DOWNLOADS
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Top 9,324

in Total Papers Downloads

3,994

CITATIONS

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Scholarly Papers (22)

1.

Currency Hedged Return Calculations

Number of pages: 8 Posted: 12 Feb 2011
Andreas Steiner
Andreas Steiner Consulting GmbH
Downloads 434 (39,748)

Abstract:

Currency, Risk, Portfolio, Return, Calculation

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 413 (39,381)

Abstract:

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

3.

Drawdown-at-Risk Monte Carlo Optimization

Number of pages: 12 Posted: 12 Mar 2011
Andreas Steiner
Andreas Steiner Consulting GmbH
Downloads 297 (69,940)

Abstract:

Drawdown, Risk, Monte Carlo Portfolio, Construction, Optimization

4.

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 231 (60,444)

Abstract:

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

5.

Annualized Volatility

Number of pages: 8 Posted: 19 Feb 2012
Andreas Steiner
Andreas Steiner Consulting GmbH
Downloads 217 (94,050)

Abstract:

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 165 (123,963)

Abstract:

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

7.

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 163 (135,364)

Abstract:

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

8.

Did Diversification Really Fail? Evidence for Stock Portfolios

Number of pages: 7 Posted: 05 Apr 2012
Andreas Steiner
Andreas Steiner Consulting GmbH
Downloads 162 (143,866)

Abstract:

9.

Geometric and Arithmetic Volatility

Number of pages: 7 Posted: 25 Oct 2011
Andreas Steiner
Andreas Steiner Consulting GmbH
Downloads 159 (104,882)

Abstract:

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

10.

Active Risk Attribution

Number of pages: 6 Posted: 26 Oct 2012 Last Revised: 29 Jun 2013
Andreas Steiner
Andreas Steiner Consulting GmbH
Downloads 154 (118,875)

Abstract:

portfolio analysis, performance attribution, risk management, Brinson, risk-adjusted performance, beta, tracking error

11.

Fitting Non-Normal Distributions With Calibrated Cornish-Fisher Expansions

Number of pages: 8 Posted: 01 Jul 2013
Andreas Steiner
Andreas Steiner Consulting GmbH
Downloads 137 (149,346)

Abstract:

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

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 118 (189,256)

Abstract:

equity, risk, extreme value theory, volatility, GARCH

13.

Manipulating Valid Correlation Matrices

Number of pages: 8 Posted: 06 Jul 2011
Andreas Steiner
Andreas Steiner Consulting GmbH
Downloads 115 (180,147)

Abstract:

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

14.

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 101 (211,410)

Abstract:

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

15.

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 95 (173,791)

Abstract:

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

16.

Sharpe Ratios are Homogeneous of Degree Zero

Number of pages: 4 Posted: 14 Apr 2012
Andreas Steiner
Andreas Steiner Consulting GmbH
Downloads 66 (246,758)

Abstract:

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

17.

Discrete and Continuous Correlation

Number of pages: 5 Posted: 12 Jun 2012 Last Revised: 23 Mar 2013
Andreas Steiner
Andreas Steiner Consulting GmbH
Downloads 47 (305,804)

Abstract:

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

18.

Accuracy and Rounding in Portfolio Construction

Number of pages: 5 Posted: 06 May 2013
Andreas Steiner
Andreas Steiner Consulting GmbH
Downloads 46 (281,554)

Abstract:

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

19.

Data Frequency and Estimation Risk

Number of pages: 4 Posted: 13 Sep 2012
Andreas Steiner
Andreas Steiner Consulting GmbH
Downloads 42 (328,432)

Abstract:

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

20.

Risk Parity for the Masses

Journal of Investing, Vol. 21, No. 3: pp. 129-139, Fall 2012
Posted: 07 Nov 2011 Last Revised: 06 Mar 2013
Andreas Steiner
Andreas Steiner Consulting GmbH

Abstract:

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

21.

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:

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

22.

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:

Ex Post Portfolio, Contribution Return, Volatility, Tracking Error