A great proportion of stock dynamics can be explained using publicly available information. The relationship between dynamics and public information may be of nonlinear character. In this paper we offer an approach to stock picking by employing so-called decision trees and applying them to XETRA...

We show that subject to regularity conditions, for a given location-scale distribution all performance measures which are increasing functions of reward and decreasing functions of risk are monotonically increasing functions of the Sharpe ratio. For large sample sizes, the correlation between...

For a weighted sum of asset returns that are independent and identically distributed (IID) up to variance, we derive expressions linking the distribution of variance across assets with higher-order portfolio moments, assuming these quantities are finite. In particular, we show concise...

Diversification is a fundamental topic for all investors but there remains little agreement on how to measure it. Often it is defined ambiguously through risk-based portfolio construction techniques. Recently it has been suggested to connect maximising diversification with minimising risk...

We introduce a new framework for understanding portfolio diversification that provides a coherent basis for comparing methodologies and offers a new approach to portfolio construction. The primary argument is that measures of diversification based only on a covariance matrix are ambiguous...

A great proportion of stock dynamics can be explained using publicly available information. The relationship between dynamics and public information may be of nonlinear character. In this paper we offer an approach to stock picking by employing so-called decision trees and applying them to XETRA...

Risk management technology applied to high dimensional portfolios needs simple and fast methods for calculation of Value-at-Risk (VaR). The multivariate normal framework provides a simple off-the-shelf methodology but lacks the heavy tailed distributional properties that are observed in data. A...

This paper investigates the returns and flows of German money market funds before and during the liquidity crisis of 2007/2008. The main findings of this paper are: In liquid times money market funds enhanced their returns by investing in less liquid papers. By doing so they outperformed other...

This paper investigates the returns and flows of German money market funds before and during the liquidity crisis of 2007/2008. The main findings of this paper are: in liquid times, money market funds enhanced their returns by investing in less liquid papers. By doing so they outperformed other...