The Expected Shortfall is a risk measure, which is also known as Conditional Value-at-Risk. It adds to the VaR since it determines the expected loss in case the probability level is exceeded.
Value-at-Risk is a common risk measure in the financial industry. Based on a real time series, I show how to determine the VaR empirically and analytically using the assumption of normal distributed returns.
How many shares are necessary for a well-diversified portfolio? Applying the concept of naïve diversification, we try to answer this particular question.
Wie viele Aktien benötigt man eigentlich für ein diversifiziertes Portfolio? Anhand des Konzeptes der Naiven Diversifikation betrachten wir diese Frage genauer.
How good is the quality of robo-advisory? Together with Michael Tertilt, we focus in our research on the risk assessment of robo-advisors and how they translate their users‘ risk profiles into portfolio recommendations. I present this talk on the World Finance Conference 2017 in Cagliari, Italy. If you want to learn more, you will find our working paper on the SSRN network.
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.