David Happersberger

Lancaster University - Department of Accounting and Finance

Visiting Research Fellow

Lancaster, Lancashire LA1 4YX

United Kingdom

Invesco

Quantitative Research Analyst

An der Welle 5

Frankfurt am Main, 60322

Germany

SCHOLARLY PAPERS

4

DOWNLOADS

1,058

SSRN CITATIONS

3

CROSSREF CITATIONS

1

Scholarly Papers (4)

1.

Theory and Practice of Portfolio Insurance

Risk & Reward, 2017, 2nd issue, pp. 4-9
Number of pages: 8 Posted: 07 Jul 2017
Martin Kolrep, Harald Lohre and David Happersberger
Invesco, Robeco Quantitative Investments and Lancaster University - Department of Accounting and Finance
Downloads 371 (119,127)

Abstract:

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Portfolio insurance, risk forecasting, CPPI, DPPI, Stop loss, Synthetic Put

2.

Estimating Portfolio Risk for Tail Risk Protection Strategies

European Financial Management, Vol. 26, Issue 4, pp. 1107–1146, 2020
Number of pages: 47 Posted: 05 Jun 2017 Last Revised: 03 Sep 2020
David Happersberger, Harald Lohre and Ingmar Nolte
Lancaster University - Department of Accounting and Finance, Robeco Quantitative Investments and Lancaster University - Department of Accounting and Finance
Downloads 349 (127,416)
Citation 4

Abstract:

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Tail Risk Protection, CPPI, DPPI, Risk Modelling, Value-at-Risk, Expected Shortfall, Forecast Combination, Return Synchronization

3.

The Use of Equity Factor Investing for Portfolio Insurance

Risk & Reward, 2018, 3rd issue, pp. 32-38
Number of pages: 9 Posted: 26 Nov 2018
Harald Lohre, David Happersberger and Alexandar Cherkezov
Robeco Quantitative Investments, Lancaster University - Department of Accounting and Finance and Invesco
Downloads 182 (241,161)

Abstract:

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Factor Investing, Portfolio Insurance, CPPI, DPPI

4.

Evaluating Risk Mitigation Strategies

Risk & Reward, 2018, 2nd issue, pp. 27-31
Number of pages: 6 Posted: 30 Aug 2018
Harald Lohre, David Happersberger and Erhard Radatz
Robeco Quantitative Investments, Lancaster University - Department of Accounting and Finance and Invesco
Downloads 156 (274,542)

Abstract:

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Portfolio Insurance, CPPI, DPPI