Automatisches Investment – Anlageempfehlung vom Robo Advisor

Entscheidungen werden heute kaum noch ohne Online-Unterstützung getroffen. Warum also nicht auch die Wahl der Vermögensanlage dem Internet überlassen? Robo Advisors versprechen effiziente, rationale und transparente Anlageempfehlungen und entwickeln sich zur digitalen Beratungsalternative. Zu ihren Empfehlungen gelangen sie auf höchst unterschiedliche Weise.

Lesen Sie meinen Artikel weiter auf der Seite Der Bank Blog →

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.

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.

Citation

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.

Abstract

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.

Citation

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

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.

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.