Tim Schmitz

Heinrich-Heine-University Düsseldorf

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Universitätsstrasse 1

Duesseldorf, DE NRW 40225

Germany

SCHOLARLY PAPERS

6

DOWNLOADS

585

SSRN CITATIONS

4

CROSSREF CITATIONS

1

Scholarly Papers (6)

1.

Re-Evaluating Cryptocurrencies’ Contribution to Portfolio Diversification – A Portfolio Analysis With Special Focus on German Investors

Number of pages: 105 Posted: 28 Jul 2020 Last Revised: 31 Jan 2022
Tim Schmitz and Ingo Hoffmann
Heinrich-Heine-University Düsseldorf and Heinrich Heine University Duesseldorf
Downloads 228 (238,772)

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Capital Allocation, Portfolio Diversification, Spanning-Tests Step-down-Tests, Cryptocurrencies, Transaction Costs

2.

On the Return Distributions of a Basket of Cryptocurrencies and Subsequent Implications

Number of pages: 33 Posted: 24 May 2021
University of Duesseldorf, Heinrich Heine University Duesseldorf, University of Duesseldorf, Heinrich Heine University Dusseldorf - Department of Business Administration and Heinrich-Heine-University Düsseldorf
Downloads 161 (326,396)
Citation 1

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Body-/Tail-Models, Cryptocurrencies, Index Construction, Market Segmentation, Statistical Tests

3.

Bitcoin: Like a Satellite or Always Hardcore? - A Core-Satellite Identification in the Cryptocurrency Market

Number of pages: 17 Posted: 26 May 2021 Last Revised: 02 Oct 2023
University of Duesseldorf, Heinrich Heine University Duesseldorf, University of Duesseldorf and Heinrich-Heine-University Düsseldorf
Downloads 140 (365,907)
Citation 2

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Cryptocurrencies, Core-Satellite Identification, Market Segmentation, Pattern Recognition

4.

Extremes of Extremes: Risk Assessment for Very Small Samples

Number of pages: 15 Posted: 28 Sep 2021
University of Duesseldorf, Heinrich Heine University Duesseldorf, University of Duesseldorf, Heinrich Heine University Dusseldorf - Department of Business Administration and Heinrich-Heine-University Düsseldorf
Downloads 54 (662,848)

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Cryptocurrencies, Extreme Value, Risk Assessment, Small Samples

5.

Extremes of Extremes: Risk Assessment for Very Small Samples With an Exemplary Application for Cryptocurrency Returns

Journal of Risk, Vol. 26, No. 1, 2023
Number of pages: 22 Posted: 03 Oct 2023
Heinrich Heine University Duesseldorf, Heinrich Heine University Duesseldorf, Heinrich Heine University Duesseldorf, Heinrich Heine University Dusseldorf - Department of Business Administration and Heinrich-Heine-University Düsseldorf
Downloads 1 (1,085,961)
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cryptocurrencies, extreme value, risk assessment, scaling laws, small samples

6.

On Capital Allocation Under Information Constraints

Journal of Risk, Vol. 25, No. 5, 2023
Number of pages: 20 Posted: 20 Jun 2023
Heinrich Heine University Duesseldorf, Heinrich Heine University Duesseldorf, Heinrich Heine University Duesseldorf and Heinrich-Heine-University Düsseldorf
Downloads 1 (1,085,961)
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capital allocation, Cobb–Douglas utility function, decision theory, uncertainty, portfolio selection theory