World Finance Conference 2017: To Advise, or Not to Advise — How Robo-Advisors Evaluate the Risk Preferences of Private Investors

Photo by trolvag [CC BY-SA 3.0], via Wikimedia Commons

From July 26th until 28th, the World Finance Conference will take place at Cagliari University in Sardinia, Italy. I am invited to present the findings of a joint work with Michael Tertilt, an alumnus of HSBA’s MBA program. I am really looking forward to meet and greet!

Abstract

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.

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QuantInvest 2016 in Munich

Directlimagey after the VI. HSBA Finance Conference, I travelled to Munich to participate in QuantInvest 2016. My co-author Ursula presented the results of our joint work „Avoiding pitfalls when measuring quantitative strategies: A new perspective“. We met some very interesting people there and made some great contacts. Thanks to the organizers for inviting us — it has been a great experience! If you are interested in our paper, you will find it here.

MFS Spring Conference 2016: Timing Success Explained — The Fallacy of Beating Efficient Markets

From April 22nd until 24th, the MFS Spring Conference took place at Cyprus University of Technology in Lemesos. I was invited to present my new findings on timing strategies.

The conference was a great event: well organized, balanced programm, fantastic talks, interesting people, and awesome receiption, dinner as well as tour! Last but not least: Lemesos is a place to be — absolutely worth the travel.

A big THANK YOU to all the people which made that event possible and organized it!

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GEABA-Konferenz 2015 an der HSBA

Vom 23. bis 25. September findet die GEABA-Konferenz in Hamburg statt. Die HSBA ist Gastgeber der Veranstaltung mit dem Schwerpunkthema „Risk Management in Business“. Am Donnerstag, den 24. September leite ich zwischen 13:30 und 15:30 Uhr die Session C3 und halte ein Korreferat zum Beitrag von Branger, Muck & Weisheit: „International Portfolio Choice when Correlations are Stochastic“. Das Working Paper steht hier zum Download bereit.

EURO2015: Timing Success Explained — The Fallacy of Beating Efficient Markets

From July 12th until 15th, the EURO2015 takes place at the University of Strathclyde in Glasgow. I am invited to present my new findings on timing strategies.

Abstract

According to the efficient market hypothesis (EFM), technical trading rules should not have prediction power. However, a significant number of academic studies confirm at least slight excess returns. By applying parametric and historical simulation techniques, we show the connection between timing success and statistical properties of the underlying. Therefore, we check the time series data of prior studies with respect to their statistical properties in order to explain their findings. As long as drift, volatility and autocorrelation of a time series are unpredictable, there seems to be no benefit from technical trading rules.

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