Dominik Wolff

Darmstadt University of Technology

Assistant Professor

Hochschulstraße 1

S1|02 40

Darmstadt, Hessen D-64289

Germany

Institute for quantitative Capital Market research at Deka Bank (IQ-KAP)

Head of Research

Mainzer Landstrasse 16

Frankfurt am Main, 60325

Germany

http://www.iq-kap.de/en

Deka Investment GmbH

Portfolio Manager/ Quantitative Research Analyst

Mainzer Landstrasse 16

Frankfurt am Main, 60325

Germany

Frankfurt University of Applied Sciences

Associate Lecturer

Nibelungenplatz 1

Frankfurt / Main, 60318

Germany

SCHOLARLY PAPERS

8

DOWNLOADS
Rank 11,053

SSRN RANKINGS

Top 11,053

in Total Papers Downloads

4,667

SSRN CITATIONS
Rank 33,032

SSRN RANKINGS

Top 33,032

in Total Papers Citations

9

CROSSREF CITATIONS

13

Scholarly Papers (8)

1.

Multi-Asset Portfolio Optimization and Out-of-Sample Performance: An Evaluation of Black-Litterman, Mean Variance and Naïve Diversification Approaches

European Journal of Finance, Forthcoming.
Number of pages: 48 Posted: 12 Jun 2012 Last Revised: 06 Dec 2014
Wolfgang Bessler, Heiko Opfer and Dominik Wolff
Justus-Liebig-University Giessen, Deka Investment GmbH and Darmstadt University of Technology
Downloads 1,754 (10,116)
Citation 12

Abstract:

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Portfolio Optimization, Black-Litterman, Mean-Variance, Minimum Variance, Bayes-Stein, Naïve diversification, 1/N, Markowitz

2.

Return Prediction Models and Portfolio Optimization: Evidence for Industry Portfolios

Number of pages: 62 Posted: 03 Dec 2014 Last Revised: 15 Oct 2018
Wolfgang Bessler and Dominik Wolff
Justus-Liebig-University Giessen and Darmstadt University of Technology
Downloads 710 (38,844)

Abstract:

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Portfolio Optimization, Return forecasts, Predictive Regression, Three-Pass Regression Filter, Black-Litterman Model

3.

Do Commodities Add Value in Multi-Asset-Portfolios? An Out-of-Sample Analysis for Different Investment Strategies

Journal of Banking and Finance, 60, 1-20, 2015
Number of pages: 57 Posted: 26 Apr 2014 Last Revised: 20 Nov 2015
Wolfgang Bessler and Dominik Wolff
Justus-Liebig-University Giessen and Darmstadt University of Technology
Downloads 592 (49,343)
Citation 7

Abstract:

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Commodities, Asset allocation models, Out-of-sample portfolio optimization, Diversification, Performance evaluation

4.

Stock Picking with Machine Learning

Number of pages: 39 Posted: 23 Jun 2020
Dominik Wolff and Fabian Echterling
Darmstadt University of Technology and Deka Investment GmbH
Downloads 478 (65,160)

Abstract:

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Investment Decisions, Equity Portfolio Management, Stock Selection, Stock Picking, Machine Learning, Neural Networks, Deep Learning, Long Short-Term Neural Networks (LSTM), Random Forest, Boosting

5.

Analyzing Hedging Strategies for Fixed Income Portfolios: A Bayesian Approach for Model Selection

International Review of Financial Analysis, Forthcoming
Number of pages: 41 Posted: 26 Apr 2014 Last Revised: 25 Jan 2016
Justus-Liebig-University Giessen, University of Giessen and Darmstadt University of Technology
Downloads 332 (99,016)
Citation 4

Abstract:

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Sovereign Debt Crisis, Bond Portfolio Management, Interest Rate Fu-tures, MGARCH, Bayesian composite hedging, Hedge Ratio, Hedging Effectiveness

6.

Portfolio Optimization with Industry Return Prediction Models

30th Australasian Finance and Banking Conference 2017
Number of pages: 52 Posted: 01 Aug 2017
Wolfgang Bessler and Dominik Wolff
Justus-Liebig-University Giessen and Darmstadt University of Technology
Downloads 330 (99,682)

Abstract:

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Portfolio Optimization, Return Forecasts, Predictive Regression, Three-Pass Regression Filter, Black-Litterman Model

7.

Tree-Based Machine Learning Approaches for Equity Market Predictions

Journal of Asset Management
Number of pages: 36 Posted: 28 Nov 2018 Last Revised: 12 Jun 2019
Dominik Wolff and Dr. Ulrich Neugebauer
Darmstadt University of Technology and Deka Investment GmbH
Downloads 299 (111,094)

Abstract:

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Machine Learning, Equity Return Forecasts, Predictive Regression, Three-Pass Regression Filter, Random Forest, Boosting

8.

Hedging European Government Bond Portfolios during the Recent Sovereign Debt Crisis

Journal of International Financial Markets, Institutions and Money, Forthcoming, Midwest Finance Association 2013 Annual Meeting Paper
Number of pages: 51 Posted: 01 Sep 2012 Last Revised: 23 Oct 2014
Wolfgang Bessler and Dominik Wolff
Justus-Liebig-University Giessen and Darmstadt University of Technology
Downloads 172 (190,014)

Abstract:

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Sovereign Debt Crisis, Fixed Income Securities, Bond Portfolio Management, Interest Rate Futures, Hedge Ratio, Hedging Effectiveness