Andreas Steiner

Andreas Steiner Consulting GmbH

Walderstrasse 43c

Hinwil, 8340

Switzerland

http://www.andreassteiner.net/consulting

  • Andreas Steiner Consulting GmbH

SCHOLARLY PAPERS

24

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6,652

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  ”

  • Andreas Steiner Consulting GmbH

Scholarly Papers (24)

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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 1,251 (27,805)

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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 1,251 (27,805)
Citation 2

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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 850 (48,039)

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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 493 (96,723)
Citation 2

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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 439 (111,046)
Citation 1

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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 285 (178,582)

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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 267 (190,747)

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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 248 (205,234)

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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 206 (244,782)

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10.

Manipulating Valid Correlation Matrices

Number of pages: 8 Posted: 06 Jul 2011
Andreas Steiner
Andreas Steiner Consulting GmbH
Downloads 205 (245,872)

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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 166 (296,202)

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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 148 (326,068)

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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 146 (329,623)

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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 135 (350,642)

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

15.

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 125 (371,511)

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

16.

Sharpe Ratios are Homogeneous of Degree Zero

Number of pages: 4 Posted: 14 Apr 2012
Andreas Steiner
Andreas Steiner Consulting GmbH
Downloads 122 (378,348)

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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 120 (383,020)

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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 82 (494,311)

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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 81 (497,947)

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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 32 (752,056)

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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

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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

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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

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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

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Ex Post Portfolio, Contribution Return, Volatility, Tracking Error