Jerome L Kreuser

ETH Zurich

Rämistrasse 101

ZUE F7

Zürich, 8092

Switzerland

SCHOLARLY PAPERS

4

DOWNLOADS

624

CITATIONS

2

Scholarly Papers (4)

1.

Bitcoin Bubble Trouble

Forthcoming in Wilmott Magazine, 2018, Swiss Finance Institute Research Paper No. 18-24
Number of pages: 17 Posted: 20 Mar 2018 Last Revised: 19 Jun 2018
Jerome L Kreuser and Didier Sornette
ETH Zurich and ETH Zürich - Department of Management, Technology, and Economics (D-MTEC)
Downloads 374 (77,684)

Abstract:

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bitcoin, financial bubbles, efficient crashes, positive feedback, rational expectation, Kelly

2.

Super-Exponential RE Bubble Model with Efficient Crashes

Swiss Finance Institute Research Paper No. 17-33
Number of pages: 59 Posted: 16 Nov 2017 Last Revised: 05 Sep 2018
Jerome L Kreuser and Didier Sornette
ETH Zurich and ETH Zürich - Department of Management, Technology, and Economics (D-MTEC)
Downloads 195 (153,630)
Citation 1

Abstract:

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financial bubbles, efficient crashes, positive feedback, rational expectation, Kelly criterion, optimal investment

3.

Strategic Investment and Risk Management For Sovereign Wealth Funds

Central Bank Reserves and Sovereign wealth Management, Edited by Arjan Bastiaan Berkelaar, Arjan B. Bekelaar, Joachim Coche, and Ken Nyholm, Palgrave Macmillian, Dec., 2009.
Number of pages: 46 Posted: 30 Nov 2017
Stijn Claessens and Jerome L Kreuser
Bank for International Settlements (BIS) and ETH Zurich
Downloads 34 (443,693)
Citation 2

Abstract:

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Sovereign Wealth Funds, ALM, asset/liability, dynamic stochastic optimization, asset/liability allocation

4.

A Sovereign Asset-Liability Framework with Multiple Risk Factors for External Reserves Management – Reserve Bank of India

In Portfolio and Risk Management for Central Banks and Sovereign Wealth Funds, Edited by Joachim Coche, Ken Nyholm and Gabriel Petre, Palgrave Macmillian, New York, 2011.
Number of pages: 22 Posted: 30 Nov 2017
Tata Capital Limited, ETH Zurich and Argonaut Global
Downloads 21 (509,703)

Abstract:

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central banking, reserves management, stochastic optimization models