Andreas Steiner

Andreas Steiner Consulting GmbH

Walderstrasse 43c

Hinwil, 8340

Switzerland

SCHOLARLY PAPERS

22

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5,234

SSRN CITATIONS

0

CROSSREF CITATIONS

3

Scholarly Papers (22)

1.

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 828 (31,243)
Citation 1

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

2.

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 731 (37,010)

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

3.

Currency Hedged Return Calculations

Number of pages: 8 Posted: 12 Feb 2011
Andreas Steiner
Andreas Steiner Consulting GmbH
Downloads 697 (39,480)

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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 405 (78,358)
Citation 2

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Drawdown, Risk, Monte Carlo Portfolio, Construction, Optimization

5.

Geometric and Arithmetic Volatility

Number of pages: 7 Posted: 25 Oct 2011
Andreas Steiner
Andreas Steiner Consulting GmbH
Downloads 335 (97,413)

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

6.

Annualized Volatility

Number of pages: 8 Posted: 19 Feb 2012
Andreas Steiner
Andreas Steiner Consulting GmbH
Downloads 297 (111,229)
Citation 1

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

7.

Active Risk Attribution

Number of pages: 6 Posted: 26 Oct 2012 Last Revised: 29 Jun 2013
Andreas Steiner
Andreas Steiner Consulting GmbH
Downloads 289 (114,472)

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

8.

Tail Risk Attribution

Number of pages: 7 Posted: 11 Aug 2011
Andreas Steiner
Andreas Steiner Consulting GmbH
Downloads 234 (142,151)

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

9.

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 205 (161,185)

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

10.

Fitting Non-Normal Distributions With Calibrated Cornish-Fisher Expansions

Number of pages: 8 Posted: 01 Jul 2013
Andreas Steiner
Andreas Steiner Consulting GmbH
Downloads 202 (163,471)

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

11.

Did Diversification Really Fail? Evidence for Stock Portfolios

Number of pages: 7 Posted: 05 Apr 2012
Andreas Steiner
Andreas Steiner Consulting GmbH
Downloads 177 (184,202)

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12.

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 149 (213,268)

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

13.

Manipulating Valid Correlation Matrices

Number of pages: 8 Posted: 06 Jul 2011
Andreas Steiner
Andreas Steiner Consulting GmbH
Downloads 149 (213,268)

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

14.

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 128 (240,539)

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equity, risk, extreme value theory, volatility, GARCH

15.

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 118 (255,669)

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

16.

Sharpe Ratios are Homogeneous of Degree Zero

Number of pages: 4 Posted: 14 Apr 2012
Andreas Steiner
Andreas Steiner Consulting GmbH
Downloads 92 (302,768)

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

17.

Accuracy and Rounding in Portfolio Construction

Number of pages: 5 Posted: 06 May 2013
Andreas Steiner
Andreas Steiner Consulting GmbH
Downloads 79 (332,326)

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

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 63 (376,146)

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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 56 (398,464)

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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

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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:

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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

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Ex Post Portfolio, Contribution Return, Volatility, Tracking Error