Andreas Steiner

Andreas Steiner Consulting GmbH

Walderstrasse 43c

Hinwil, 8340

Switzerland

SCHOLARLY PAPERS

22

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4,768

CITATIONS

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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 733 (32,510)

Abstract:

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

2.

Currency Hedged Return Calculations

Number of pages: 8 Posted: 12 Feb 2011
Andreas Steiner
Andreas Steiner Consulting GmbH
Downloads 661 (37,388)

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Currency, Risk, Portfolio, Return, Calculation

3.

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 586 (43,869)

Abstract:

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

4.

Drawdown-at-Risk Monte Carlo Optimization

Number of pages: 12 Posted: 12 Mar 2011
Andreas Steiner
Andreas Steiner Consulting GmbH
Downloads 373 (76,506)

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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 297 (98,949)

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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 284 (103,859)

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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 264 (112,209)

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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 225 (131,896)

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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 196 (150,278)

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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 183 (159,974)

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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 173 (168,208)

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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 146 (194,252)

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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 135 (206,873)

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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 126 (218,427)

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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 114 (235,245)

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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 88 (279,928)

Abstract:

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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 75 (308,046)

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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 57 (355,599)

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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 52 (371,033)

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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

Abstract:

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Ex Post Portfolio, Contribution Return, Volatility, Tracking Error