Today's asset management academia and practice is dominated by mean-variance thinking.
In consequence, this leads to the quantification of the dependence structure of asset returns …

Persistent homology is the workhorse of modern topological data analysis, which in recent
years becomes increasingly powerful due to methodological and computing power advances. …

Interconnectedness is an alternative risk concept that has so far received little attention in
academia and the asset management industry. We show that this neglect is unjustified, as …

The popular risk parity approach is based on volatility as the sole risk measure and therefore
lacks the consideration of tail risk. This fact makes risk parity portfolios vulnerable to tail …

One of the main challenges facing researchers and industry professionals for decades is
the successful prediction of asset returns. This paper enriches this endeavor by applying …

Financial markets can be considered venues where numerous heterogeneous participants
interact with each other. As such, financial markets easily qualify as complex systems that …

One of the main challenges facing researchers and industry professionals for decades is
the successful prediction of asset returns. This paper enriches this endeavor by an in-depth …

This paper introduces novel financial predictors that are derived from the interaction profile
of financial markets. These predictors utilize network-based and topological information. …

Regime-based modeling of financial markets typically relies on simpler Hidden Markov
Models (HMM), while the more complex Hidden Semi-Markov Models (HSMM) are …

Ein ganzheitlicher Ansatz für das Diversifikationsmanagement: Die Diversifikationsdelta-Strategie
angewandt auf nicht-normale Renditeverteilungen In der vorliegenden Studie …