Christoph Frey

Joh. Berenberg, Gossler & Co. KG

Neuer Jungfernstieg 20

Hamburg, 20354

Germany

Lancaster University - Lancaster University Management School

Bailrigg

Lancaster, LA1 4YX

United Kingdom

SCHOLARLY PAPERS

2

DOWNLOADS

460

SSRN CITATIONS

0

CROSSREF CITATIONS

1

Scholarly Papers (2)

1.

Bayesian Shrinkage of Portfolio Weights

Number of pages: 40 Posted: 10 Feb 2016 Last Revised: 27 Jun 2016
Christoph Frey and Winfried Pohlmeier
Joh. Berenberg, Gossler & Co. KG and University of Konstanz - Department of Economics & Center of Finance & Econometrics (CoFE)
Downloads 365 (114,112)
Citation 1

Abstract:

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Bayesian regression, estimation risk, global minimum variance portfolio, shrinkage

2.

Shrinkage Estimation in Risk Parity Portfolios

Number of pages: 26 Posted: 18 Nov 2021 Last Revised: 16 Feb 2022
Nabil Alkafri and Christoph Frey
WHU - Otto Beisheim School of Management and Joh. Berenberg, Gossler & Co. KG
Downloads 95 (372,742)

Abstract:

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Estimation risk, regularization, asset allocation, portfolio optimization, variance-covariance shrinkage

Other Papers (1)

Total Downloads: 7
1.

Volatility Overlay with FX Risk

Number of pages: 4 Posted: 06 May 2021
Christoph Frey
Joh. Berenberg, Gossler & Co. KG
Downloads 7

Abstract:

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Overlay, FX hedging, Multi-asset portfolio