Philipp Kremer

EBS Universität für Wirtschaft und Recht

Gustav-Stresemann-Ring 3

Wiesbaden, Hessen 65195

Germany

Prime Capital AG

Frankfurt

Germany

SCHOLARLY PAPERS

4

DOWNLOADS

127

SSRN CITATIONS

1

CROSSREF CITATIONS

0

Scholarly Papers (4)

1.

Sparse Index Clones via the Sorted L1-Norm

Number of pages: 27 Posted: 02 Jul 2019 Last Revised: 17 Dec 2020
EBS Universität für Wirtschaft und Recht, Wroclaw University of Technology, University of Wroclaw and University of Trento - Department of Economics and Management
Downloads 69 (393,283)

Abstract:

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Index Tracking, Hedge Fund Clones, Regularization, SLOPE

2.

Comparing Three Generations of Commodity Indices: New Evidence for Portfolio Diversification

Alternative Investment Analyst Review, Q1 2015, Volume 3, Issue 4, pp. 30-43
Number of pages: 15 Posted: 10 Apr 2017
Philipp Kremer
EBS Universität für Wirtschaft und Recht
Downloads 58 (429,338)
Citation 1

Abstract:

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Mean Variance Spanning, Commodity Indices, Portfolio Diversification

3.

Sparse Portfolio Selection via the Sorted L1 - Norm

Posted: 09 Oct 2017 Last Revised: 05 Nov 2019
EBS Universität für Wirtschaft und Recht, Hanyang University ERICA, University of Wroclaw and University of Trento - Department of Economics and Management

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Portfolio Management, Markowitz Model, Sorted L1-Norm Regularization; Alternating Direction Method of Multipliers

4.

Risk Minimization in Multi-Factor Portfolios: What is the Best Strategy?

Annals of Operations Research, Forthcoming
Posted: 30 Mar 2017 Last Revised: 10 Apr 2017
Philipp Kremer, Andreea Talmaciu and Sandra Paterlini
EBS Universität für Wirtschaft und Recht, JP Morgan and University of Trento - Department of Economics and Management

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Risk Factors, Minimum Risk Portfolio, Regularization, Portfolio Optimization, Transaction Cost