Eduard Baitinger

FERI Trust GmbH

Head of Asset Allocation

Rathausplatz 8-10

Bad Homburg v.d.H, 61348

Germany

SCHOLARLY PAPERS

7

DOWNLOADS

518

SSRN CITATIONS

1

CROSSREF CITATIONS

1

Scholarly Papers (7)

1.

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 370 (86,004)
Citation 1

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

2.

Network-Based Financial Forecasting: A Statistical and Economic Analysis

Number of pages: 41 Posted: 23 Apr 2019
Eduard Baitinger
FERI Trust GmbH
Downloads 78 (331,247)

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correlation networks, financial networks, network-based forecasting, minimum spanning trees, centrality, forecasting, asset allocation, network-based investment strategies

3.

The Better Turbulence Index? Forecasting Adverse Financial Markets Regimes with Persistent Homology

Number of pages: 41 Posted: 18 Dec 2019 Last Revised: 20 Dec 2019
Eduard Baitinger and Samuel Flegel
FERI Trust GmbH and FERI Trust GmbH
Downloads 70 (352,157)
Citation 1

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persistent homology, turbulence, regime shifts, investment strategy, topological data analysis

4.

The (Mis)Behavior of Hedge Fund Strategies: A Network-Based Analysis

Posted: 22 Jun 2017
Eduard Baitinger and Thomas Maier
FERI Trust GmbH and FERI Trust GmbH

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Financial Networks, Minimum Spanning Tree, Bootstrapping, Hedge Funds, Forecasting, Graphical Analysis

5.

Relative Performance Persistence of Financial Forecasting Models and Its Economic Implications

Journal of Risk, Forthcoming
Number of pages: 36 Posted: 08 Jul 2016
Eduard Baitinger, Christian Fieberg and Thorsten Poddig
FERI Trust GmbH, University of Bremen - Department of Business Administration and University of Bremen
Downloads 0 (711,666)
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model selection risk, financial forecasting, performance persistence, dimension-reduction, kernel regression, pattern recognition

6.

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

7.

Extending the Risk Parity Approach to Higher Moments: Is There Any Value-Added?

The Journal of Portfolio Management, Vol. 43, No. 2 (2017), pp. 24-36.
Posted: 01 Nov 2015 Last Revised: 01 Feb 2017
Eduard Baitinger, André Dragosch and Anastasia Topalova
FERI Trust GmbH, FERI Trust GmbH and FERI Trust GmbH

Abstract:

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Risk Parity, Higher Moments, Tail Risk, Portfolio Optimization, Certainty Equivalent Return, Quantitative Asset Allocation, Out-of-Sample Study, Normal-inverse Gaussian Distribution