To Advise, or Not to Advise — How Robo-Advisors Evaluate the Risk Preferences of Private Investors

In a joint work with Michael Tertilt, an HSBA alumnus of MBA Corporate Management, we analyze the current quality of robo-advice.


Robo-advisors promise efficient, rational, and transparent investment advisory. We analyze how robo-advisors ascertain their user’s risk tolerance and which equity exposure is derived from the individual risk profile. Our findings indicate significant differences in the quality of offered investment advice. On average, robo-advisors ask relatively few questions in their user’s risk profile assessment, and it is particularly surprising that some of the questions seem not to have any impact on the risk categorization. Moreover, the recommended equity exposure is relatively conservative.


Michael Tertilt & Peter Scholz (2017): To Advise, or Not to Advise — How Robo-Advisors Evaluate the Risk Preferences of Private Investors. SSRN Working Paper.

Better The Devil You Know Than The Devil You Don’t — Financial Crises between Ambiguity Aversion and Selective Perception

Together with my Ph.D. students David and Sinan, we have written an article for the second edition of the International Conference on European Integration and Sustainable Development.


During financial crises, market participants are pressurized and presumably prone to emotional biased decisions. We use the Economic Policy Uncertainty Indicator and Dow Jones Industrial Average as well as Nikkei 225 GARCH volatilities to test for ambiguity aversion and selective perception of investors. For most crises, we find a significant link between uncertainty and market volatility. However, with respect to ambiguity aversion, the causality differs between crises indicating that investors may not always be driven by uncertainty. Regarding selective perception, we find significant results for the Dot.Com and subprime crises, but not for the Japanese asset price bubble and the Asian crisis.


Peter Scholz, David Großmann & Sinan Krueckeberg (2017): Better The Devil You Know Than The Devil You Don’t — Financial Crises between Ambiguity Aversion and Selective Perception. SSRN Working Paper.


Etwas ist im faul im Staate Amerikas – das hat auch Donald J. Trump gemerkt und in seinem Wahlkampf Kapital daraus gezogen. An sich geht es den U.S. amerikanischen Bürgern nicht schlecht – der sogenannte Misery Index, der Arbeitslosigkeit und Inflationsrate addiert, bewegte sich 2016 um die 6 Prozent, was historisch betrachtet ein eher niedriger Wert ist. Allerdings ist das Vermögen in den USA ungleich verteilt. Während es den Menschen an den Küsten eher gut geht, ist die wirtschaftliche Realität in den „fly-over States“, oft eine andere. Hinzu kommt, dass  die Staatsverschuldung und das Handelsbilanzdefizit der USA enorm sind und auch Obama-Care hat dem einfachen amerikanischen Bürger nicht die erhoffte Besserung gebracht. Diese Unzufriedenheit in Kombination mit dem verklärten Traum „Amerika wieder großartig zu machen“, hat wohl zur Wahl des republikanischen Außenseiters beigetragen. Kaum im Amt, drückt Trump gehörig aufs Tempo: Bereits in seinen ersten Wochen hat er per Executive Orders begonnen, einige seiner zentralen Wahlversprechen einzulösen. Die Frage, die aber gestellt werden muss: Helfen diese Maßnahmen überhaupt, die Missstände zu beseitigen? Weiterlesen

Timing Success Explained

Can technical trading systems outsmart their benchmark? In our analysis we take a look on what drives trading performance of SMA rules. The working paper is pending but our results have been presented on many conferences, e.g. EURO 2015 in Glasgow, MFS Annual Meetings 2016 in Lemesos and Stockholm, World Finance Conference 2016 in New York, and Quant 2017 in Venice.

Bank Regulation — One Size Does Not Fit All


Bank business models show diverse risk characteristics, but these differences are not sufficiently considered in Pillar 1 of the regulatory framework. Even if the business model is analyzed within the European SREP, global Pillar 2 approaches differ and could lead to competitive disadvantages. Using the framework of Miles et al. (2012), we examine a dataset of 115 European banks which is split into retail, wholesale, and trading banks. We show that shifts in funding structure affect business models differently. Consequently, a “one size” approach in Pillar 1 for the regulation of banks does not fit all.


David Großmann & Peter Scholz (2017): Bank Regulation — One Size Does Not Fit All. Journal of Applied Finance & Banking (forthcoming).

HSBA Study Trip 2017 – Hong Kong

 Photo by Base64 (Own work) [CC BY-SA 3.0], via Wikimedia Commons

In cooperation with my Ph.D. student Sinan Tıraş  I plan to travel to Hong Kong in October 2017 – if you elect this destination.

Update Feb 15th, 2017: The trip is booked, so we are happy to travel to Hong Kong with you! A few spots are still available

Since Sinan has lived in Hong Kong, he has written the following  study trip description: Weiterlesen