Stefan Weisheit

Affiliation not provided to SSRN
SCHOLARLY PAPERS

3

DOWNLOADS

91

SSRN CITATIONS

0

CROSSREF CITATIONS

0

Scholarly Papers (3)

1.

Neural Networks and Value at Risk

Michael J. Brennan Irish Finance Working Paper Series Research Paper No. 20-7
Number of pages: 43 Posted: 03 Jun 2020 Last Revised: 16 Jul 2020
University of Kaiserslautern - Sociovestix Labs - a DFKI spin-off, University of St. Gallen - Institute of Computer Science, Smurfit Graduate Business School, University College Dublin, Warburg Invest AG and affiliation not provided to SSRN
Downloads 91 (312,595)

Abstract:

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Asset Management, Downside Risk, Initialization, Loss Function, Machine Learning, Neural Networks

2.

Correlation Risk and International Portfolio Choice

Posted: 08 Apr 2016 Last Revised: 16 Jun 2018
Nicole Branger, Matthias Muck and Stefan Weisheit
University of Muenster - Finance Center Muenster, University of Bamberg and affiliation not provided to SSRN

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International asset allocation, stochastic correlation, Wishart process, intertemporal hedging demand, diversification benefits

3.

Optimal Portfolios when Variances and Covariances can Jump

Posted: 12 Mar 2015 Last Revised: 08 Oct 2017
University of Muenster - Finance Center Muenster, University of Bamberg, University of Trier and affiliation not provided to SSRN

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Optimal portfolio choice, stochastic correlation, Wishart process, derivatives, jump risk, covariance jumps