Jochen Papenbrock

Firamis

Robert-Kempner-Ring 27

Oberursel, 61440

Germany

http://www.firamis.de

SCHOLARLY PAPERS

8

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SSRN CITATIONS

9

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Scholarly Papers (8)

1.

Understanding Machine Learning for Diversified Portfolio Construction by Explainable AI

Number of pages: 19 Posted: 25 Feb 2020
Munich Reinsurance Company, Financial Solutions, Munich Reinsurance Company, Financial Solutions, Munich Re, Firamis and Zurich University of Applied Sciences
Downloads 1,404 (14,824)
Citation 1

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

2.

Tail-Risk Protection Trading Strategies

Number of pages: 25 Posted: 11 Dec 2015 Last Revised: 31 Jul 2018
Berlin School of Economics and Law, Firamis, Zurich University of Applied Sciences and Goethe University Frankfurt - Department of Finance
Downloads 1,086 (21,854)
Citation 2

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

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, Firamis and Indian Institute of Technology Kharagpur
Downloads 660 (43,852)
Citation 2

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

4.

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 Firamis
Downloads 496 (63,274)
Citation 3

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

5.

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 Firamis
Downloads 400 (81,984)
Citation 2

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

6.

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

Number of pages: 20 Posted: 02 Oct 2020
Firamis, Zurich University of Applied Sciences, Munich Reinsurance Company, Financial Solutions and Munich Reinsurance Company, Financial Solutions
Downloads 383 (86,177)

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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

7.

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 Firamis

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

8.

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
Firamis and Zurich University of Applied Sciences

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