Jochen Papenbrock

SCHOLARLY PAPERS

12

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Top 18,132

in Total Papers Downloads

3,395

SSRN CITATIONS

8

CROSSREF CITATIONS

2

Scholarly Papers (12)

1.

Tail-Risk Protection Trading Strategies

Number of pages: 25 Posted: 11 Dec 2015 Last Revised: 31 Jul 2018
Berlin School of Economics and Law, NVIDIA GmbH, Zurich University of Applied Sciences and Goethe University Frankfurt - Department of Finance
Downloads 1,162 (22,287)
Citation 3

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tail-risk protection, portfolio protection, extreme events, tail distributions, trading strategies

2.

Explainable Machine learning in Credit Risk Management

Number of pages: 21 Posted: 10 Jan 2020 Last Revised: 02 Jul 2020
University of Pavia, University of Pavia, Munich Re and NVIDIA GmbH
Downloads 728 (42,995)
Citation 6

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Credit risk management, Explainable AI , Financial Technologies , Similarity networks, Financial Networks, Machine Learning

3.

The Use of Correlation Networks in Parametric Portfolio Policies

Number of pages: 24 Posted: 06 Oct 2014
Harald Lohre, Jochen Papenbrock and Muddit Poonia
Invesco, NVIDIA GmbH and Indian Institute of Technology Kharagpur
Downloads 693 (45,918)
Citation 3

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Correlation Networks, Parametric Portfolio Policies, Market Timing, Sector Allocation

4.

Interconnectedness Risk and Active Portfolio Management: The Information-Theoretic Perspective

Number of pages: 43 Posted: 02 Feb 2017 Last Revised: 12 Apr 2017
Eduard Baitinger and Jochen Papenbrock
FERI Trust GmbH and NVIDIA GmbH
Downloads 448 (79,578)
Citation 3

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Mutual Information, Pearson's Correlation Coefficient, Financial Networks, Active Portfolio Management, Centrality, Portfolio Optimization

5.

'Adaptive Seriational Risk Parity' and other Extensions for Heuristic Portfolio Construction using Machine Learning and Graph Theory

Number of pages: 18 Posted: 18 Mar 2021
Munich Reinsurance Company, Financial Solutions, Munich Reinsurance Company, Financial Solutions, NVIDIA GmbH and Zurich University of Applied Sciences
Downloads 267 (141,811)

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Hierarchical Risk Parity, portfolio allocation, hierarchical structure, seriation

6.

Financial Risk Management and Explainable Trustworthy Responsible AI

Number of pages: 20 Posted: 08 Jul 2021
Sebastian Fritz-Morgenthal, Bernhard Hein and Jochen Papenbrock
Bain & Company, Ernst & Young and NVIDIA GmbH
Downloads 83 (364,462)

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7.

Can Adaptive Seriational Risk Parity Tame Crypto Portfolios?

Number of pages: 12 Posted: 08 Jul 2021 Last Revised: 15 Jul 2021
Jochen Papenbrock, Peter Schwendner and Philipp G. Sandner
NVIDIA GmbH, Zurich University of Applied Sciences and Frankfurt School of Finance & Management
Downloads 14 (671,086)

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Machine learning, Graph theory, Hierarchical tree clustering, Asset allocation, Cryptocurrencies

8.

Interpretable Machine Learning for Diversified Portfolio Construction

Markus Jaeger, Stephan Krügel, Dimitri Marinelli, Jochen Papenbrock and Peter Schwendner. The Journal of Financial Data Science Summer 2021, jfds.2021.1.066; DOI: https://doi.org/10.3905/jfds.2021.1.066
Posted: 08 Jan 2021 Last Revised: 24 Jun 2021
Munich Reinsurance Company, Financial Solutions, Munich Reinsurance Company, Financial Solutions, Munich Re, NVIDIA GmbH and Zurich University of Applied Sciences

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asset allocation, portfolio construction, explainable artificial intelligence, Hierarchical Risk Parity

9.

Matrix Evolutions: Synthetic Correlations and Explainable Machine Learning for Constructing Robust Investment Portfolios

Jochen Papenbrock, Peter Schwendner, Markus Jaeger and Stephan Krügel The Journal of Financial Data Science Spring 2021, jfds.2021.1.056; DOI: https://doi.org/10.3905/jfds.2021.1.056
Posted: 02 Oct 2020 Last Revised: 05 Apr 2021
NVIDIA GmbH, Zurich University of Applied Sciences, Munich Reinsurance Company, Financial Solutions and Munich Reinsurance Company, Financial Solutions

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Asset Allocation, Portfolio Construction Explainable AI, XAI, Machine Learning, Hierarchical Risk Parity, Monte Carlo, GPU, CUDA, Scenario Analysis, Simulation, Convex Optimization, Clustering, Risk-Based Optimization

10.

Understanding Machine Learning for Diversified Portfolio Construction by Explainable AI

Markus Jaeger, Stephan Krügel, Dimitri Marinelli, Jochen Papenbrock and Peter Schwendner. Interpretable Machine Learning for Diversified Portfolio Construction. The Journal of Financial Data Science Summer 2021, jfds.2021.1.066; DOI: https://doi.org/10.3905/jfds.2021.1.066
Posted: 25 Feb 2020 Last Revised: 14 Jun 2021
Munich Reinsurance Company, Financial Solutions, Munich Reinsurance Company, Financial Solutions, Munich Re, NVIDIA GmbH and Zurich University of Applied Sciences

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Asset Allocation, explainable AI, XAI, Machine Learning, HRP, Risk Parity

11.

Interconnectedness Risk and Active Portfolio Management

Journal of Investment Strategies, Forthcoming
Posted: 16 Jun 2016 Last Revised: 01 Mar 2017
Eduard Baitinger and Jochen Papenbrock
FERI Trust GmbH and NVIDIA GmbH

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Correlation Networks, Interconnectedness Risk, Contagion Risk, Minimum Spanning Trees, Active Portfolio Management, Centrality, Portfolio Optimization, Out-of-Sample Analysis

12.

Handling Risk On/Risk Off Dynamics with Correlation Regimes and Correlation Networks

Financial Markets and Portfolio Management, 29, 2. 125-147, 2015
Posted: 21 Apr 2013 Last Revised: 01 May 2015
Jochen Papenbrock and Peter Schwendner
NVIDIA GmbH and Zurich University of Applied Sciences

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regime switching, correlation regimes, clustering, correlation networks, risk management, portfolio construction, asset allocation