Stefan Weisheit

Talanx AG - HDI Global SE

HDI-Platz 1

Hannover, 30659

Germany

SCHOLARLY PAPERS

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626

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Scholarly Papers (3)

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1.

Neural Networks and Value at Risk

Michael J. Brennan Irish Finance Working Paper Series Research Paper No. 20-7
Number of pages: 47 Posted: 03 Jun 2020 Last Revised: 25 Oct 2023
Alexander Arimond, Damian Borth, Maretno A. Harjoto, Andreas G. F. Hoepner, Michael Klawunn and Stefan Weisheit
University of Kaiserslautern - Sociovestix Labs - a DFKI spin-off, University of St. Gallen - Institute of Computer Science, Pepperdine University - Pepperdine Graziadio Business School (PGBS), Smurfit Graduate Business School, University College Dublin, Deutsche Factoring Bank GmbH & Co. KG and Talanx AG - HDI Global SE
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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 Münster - Finance Center Muenster, University of Bamberg and Talanx AG - HDI Global SE

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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
Nicole Branger, Matthias Muck, Frank Thomas Seifried and Stefan Weisheit
University of Münster - Finance Center Muenster, University of Bamberg, University of Trier and Talanx AG - HDI Global SE

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