Peter Schwendner

Zurich University of Applied Sciences

Head Institute of Wealth & Asset Management

School of Management and Law

Technoparkstrasse 2

Winterthur, CH 8401

Switzerland

SCHOLARLY PAPERS

12

DOWNLOADS

2,147

SSRN CITATIONS

5

CROSSREF CITATIONS

1

Scholarly Papers (12)

1.

Tail-Risk Protection Trading Strategies

Number of pages: 25 Posted: 11 Dec 2015 Last Revised: 31 Jul 2018
Berlin School of Economics and Law, NVIDIA GmbH, Zurich University of Applied Sciences and Goethe University Frankfurt - Department of Finance
Downloads 1,146 (22,095)
Citation 3

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tail-risk protection, portfolio protection, extreme events, tail distributions, trading strategies

2.

Interpretable Machine Learning for Diversified Portfolio Construction

Number of pages: 24 Posted: 08 Jan 2021
Munich Reinsurance Company, Financial Solutions, Munich Reinsurance Company, Financial Solutions, Munich Re, NVIDIA GmbH and Zurich University of Applied Sciences
Downloads 469 (73,776)
Citation 1

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asset allocation, portfolio construction, explainable artificial intelligence, Hierarchical Risk Parity

3.

'Adaptive Seriational Risk Parity' and other Extensions for Heuristic Portfolio Construction using Machine Learning and Graph Theory

Number of pages: 18 Posted: 18 Mar 2021
Munich Reinsurance Company, Financial Solutions, Munich Reinsurance Company, Financial Solutions, NVIDIA GmbH and Zurich University of Applied Sciences
Downloads 223 (164,867)

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Hierarchical Risk Parity, portfolio allocation, hierarchical structure, seriation

4.

The Applicability of Self-Play Algorithms to Trading and Forecasting Financial Markets: A Feasibility Study

Number of pages: 15 Posted: 11 Mar 2021
University of Liechtenstein, University of Pavia - Department of Economics and Management, ZHAW School of Management and Law, Zurich University of Applied Sciences and Zurich University of Applied Sciences
Downloads 104 (307,510)

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artificial intelligence, self-play, machine learning, financial markets, trading

5.

Hedge Fund Returns Characterized by Correlation Regimes (Presentation Slides)

Number of pages: 22 Posted: 19 Sep 2019
Peter Schwendner
Zurich University of Applied Sciences
Downloads 86 (347,206)

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Hedge Funds, Correlation Regimes, Portfolio Management

6.

Sentiment Analysis of European Bonds 2016–2018

Frontiers in Artificial Intelligence 2:20, 2019
Number of pages: 15 Posted: 07 Sep 2019 Last Revised: 21 Oct 2019
Peter Schwendner, Martin Schüle and Martin Hillebrand
Zurich University of Applied Sciences, Zurich University of Applied Sciences, Institute of Applied Simulation and Frankfurt University of Applied Sciences
Downloads 50 (459,764)

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sovereign bonds, contagion, sentiment, European sovereign bond crisis, correlation

7.

Wie Eurobonds Sinn machen könnten (How Eurobonds Could Make Sense)

Number of pages: 10 Posted: 07 Jun 2019
Peter Schwendner
Zurich University of Applied Sciences
Downloads 39 (506,945)

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Eurobonds, Europäische Union, European Union

European Government Bond Dynamics and Stability Policies: Taming Contagion Risks

European Stability Mechanism Working Paper No. 8
Number of pages: 25 Posted: 20 Mar 2018
Zurich University of Applied Sciences, Zurich University of Applied Sciences, Institute of Applied Simulation, Zurich University of Applied Sciences, Institute of Applied Simulation and Frankfurt University of Applied Sciences
Downloads 30 (567,078)
Citation 2

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Contagion Risk, Correlation Networks, Euro Area, Sovereign Bonds, European Stability Mechanism, Financial Stability

European Government Bond Dynamics and Stability Policies: Taming Contagion Risks

Journal of Network Theory in Finance 1 (4), 2015, European Stability Mechanism Research Paper No. 8
Posted: 04 May 2015 Last Revised: 19 Apr 2017
Zurich University of Applied Sciences, Zurich University of Applied Sciences, Institute of Applied Simulation, Zurich University of Applied Sciences, Institute of Applied Simulation and Frankfurt University of Applied Sciences

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Contagion risk; correlation networks, euro area, sovereign bonds, European Stability Mechanism, financial stability

9.

Matrix Evolutions: Synthetic Correlations and Explainable Machine Learning for Constructing Robust Investment Portfolios

Jochen Papenbrock, Peter Schwendner, Markus Jaeger and Stephan Krügel The Journal of Financial Data Science Spring 2021, jfds.2021.1.056; DOI: https://doi.org/10.3905/jfds.2021.1.056
Posted: 02 Oct 2020 Last Revised: 05 Apr 2021
NVIDIA GmbH, Zurich University of Applied Sciences, Munich Reinsurance Company, Financial Solutions and Munich Reinsurance Company, Financial Solutions

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Asset Allocation, Portfolio Construction Explainable AI, XAI, Machine Learning, Hierarchical Risk Parity, Monte Carlo, GPU, CUDA, Scenario Analysis, Simulation, Convex Optimization, Clustering, Risk-Based Optimization

10.

Understanding Machine Learning for Diversified Portfolio Construction by Explainable AI

Posted: 25 Feb 2020
Munich Reinsurance Company, Financial Solutions, Munich Reinsurance Company, Financial Solutions, Munich Re, NVIDIA GmbH and Zurich University of Applied Sciences

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Asset Allocation, explainable AI, XAI, Machine Learning, HRP, Risk Parity

11.

Handling Risk On/Risk Off Dynamics with Correlation Regimes and Correlation Networks

Financial Markets and Portfolio Management, 29, 2. 125-147, 2015
Posted: 21 Apr 2013 Last Revised: 01 May 2015
Jochen Papenbrock and Peter Schwendner
NVIDIA GmbH and Zurich University of Applied Sciences

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regime switching, correlation regimes, clustering, correlation networks, risk management, portfolio construction, asset allocation

12.

Better than its Reputation: An Empirical Hedging Analysis of the Local Volatility Model for Barrier Options

Journal of Risk, Vol. 12, No. 1, pp. 53-77, 2009
Posted: 09 Oct 2006 Last Revised: 10 Mar 2011
Bernd Engelmann, Matthias R. Fengler and Peter Schwendner
Ho Chi Minh City Open University, University of St. Gallen - School of Economics and Political Science and Zurich University of Applied Sciences

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Local Volatility Model, Barrier Options, Implied Volatility Smile, Empirical Hedging Analysis

Other Papers (1)

Total Downloads: 0
1.

Predicting Investor Behaviour in European Bonds Markets - A Machine Learning Approach (Presentation Slides)

Posted: 25 Oct 2019
Frankfurt University of Applied Sciences, affiliation not provided to SSRN, European Stability Mechanism and Zurich University of Applied Sciences

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Bond markets, Investor behaviour, Order books, European Stability Mechanism, Market access