News

Das Paper Machine Learning Models for Equity Market Predictions von Dr. Dominik Wolff und Dr. Ulrich Neugebauer erscheint im Journal of Asset Management [mehr]

Das Paper "The Low Beta Anomaly: A Corporate Bond Investor's Perspective" zählt zu den 20 am meisten heruntergeladenen Artikeln des Review of Financial Economics im Zeitraum 2017-2018. [mehr]

Börsen Zeitung berichtet über Machine Learning Research Projekt [mehr]

Das Forschungspapier „Exploiting Uncertainty with Market Timing in Corporate Bond Markets“ untersucht die Auswirkung verhaltensökonomischer Merkmale auf den Erfolg der technische Analyse bei Unternehmensanleihen. Zunächst werden Dezile anhand von Unsicherheitsfaktoren – Option-Adjusted Spread... [mehr]

Das Paper "Optimal Asset Allocation Strategies: Sector vs. Country" von Georgi Taushanov, Dominik Wolff und Wolfgang Bessler wurde mit dem Best Paper Award auf der 21. Konferenz der Eurasia Business and Economics Society (2017) in Budapest ausgezeichnet.

Der Dissertationspreis 2016 der Justus-Liebig-Universität Giessen in der Sektion Rechts- und Wirtschaftswissenschaften geht an IQ-Kap Autor Dr. Dominik Wolff.

Der Wissenschaftspreis des BAI 2016 in der Sektion Dissertationen wird an Deka Investment und IQ-Kap Autor Dr. Dominik Wolff verliehen.

During the recent European sovereign debt crisis, returns on EMU government bond portfoli-os experienced substantial volatility clustering, leptokurtosis and skewed returns as well as correlation spikes. Asset managers invested in European government bonds had to derive new hedging strategies to...

An essential motive for investing in commodities is to enhance the performance of portfolios traditionally including only stocks and bonds. We analyze the in-sample and out-of-sample portfolio effects resulting from adding commodities to a stock-bond portfolio for commonly implemented...

In this article we discuss penalized splines for fitting and forecasting univariate nonlinear time series models. While penalized splines have been excessively used in smooth regression, their use in nonlinear time series models is less far developed. This paper focuses on univariate autoregressive...

The Black-Litterman model aims to enhance asset allocation decisions by overcoming the problems of mean-variance portfolio optimization. We propose a sample based version of the Black-Litterman model and implement it on a multi-asset portfolio consisting of global stocks, bonds, and commodity...

Correlation networks reveal a rich picture of market risk structure dynamics. A rather compact and well-organized sector correlation network is indicative of a healthy market, whereas a widely spread sector correlation network characterizes a more fragile market environment. Intuitively, some...

We find that stocks exhibiting high dispersion in analysts’ earnings forecasts not only underperform in the U.S. but also in some European countries. Investigating the abnormal returns generated by the dispersion strategy around the world for the 1990-2008 sample period, we observe that the returns...

Striving for maximum diversification we follow Meucci (2009) in measuring and managing a multi-asset class portfolio. Under this paradigm the maximum diversification portfolio is equivalent to a risk parity strategy with respect to the uncorrelated risk sources embedded in the underlying portfolio...

The sovereign debt crisis challenged investors in European government bonds to deal with volatile interest rate spreads. For managing sovereign risk, “Eurex” introduced futures contracts on Italian government bonds reflecting risks of lower rated countries. We analyze hedging strategies for bond...

Identifying economic regimes ought to be useful in a world of time-varying risk premia. We apply regime switching models to common factors proxying for the macroeconomic regime and document the ensuing regime factors to be relevant in forecasting returns. Moreover, the relevance of these regime...

Regina Hammerschmid beschäftigt sich aktuell im Rahmen des Doktorandenprogramms der Universität Zürich mit Fragestellungen des Asset Pricings und ihren Anwendungen im Portfolio Management. Diese Forschung erfolgt in Kooperation mit dem neu gegründeten Institut für Quantitative Kapitalmarktforschung... [mehr]

Pursuing risk-based allocation across a universe of commodity assets, we find two alternative notions of risk parity to provide convincing results, diversified risk parity (DRP) and principal risk parity (PRP). DRP strives for maximum diversification along the uncorrelated risk sources embedded in... [mehr]

Portfolio construction seeks an optimal trade-off between a portfolio's mean return and its associated risk. Since risk may not be properly described by return volatility we optimize portfolios with respect to various measures of downside risk in an empirical out-of-sample setting. [mehr]

Naively testing for accruals mispricing in 26 equity markets - one market at a time - we find statistical evidence of anomalous returns in some countries. However, some of these findings might well be spurious because of data snooping biases that arise when simultaneously testing several hypotheses. [mehr]

We find that price and earnings momentum are pervasive features of international equity markets even when controlling for data snooping biases. For European countries, we find that price momentum is subsumed by earnings momentum on an aggregate level. [mehr]