A “fund of funds (FoF)” is an investment fund that invests in other investment funds rather than investing directly in shares, bonds, or other securities. Sometimes referred to as multi-manager funds, these investment funds pose - apart from the challenges that arise for every portfolio to...

This work derives explicit kernel approximations for universal kriging predictors for a class of intrinsic random function models. This class of predictors is of particular interest because they are equivalent to the standard two-dimensional thin plate smoothing splines. By introducing a...

The problem of portfolio selection is a standard problem in financial engineering and has received a lot of attention in recent decades. Classical mean-variance portfolio selection aims at simultaneously maximizing the expected return of the portfolio and minimizing portfolio variance. In the...

Since 2008, the German open-ended real estate fund (GOEREF) industry has experienced a critical phase of suspensions of redemption of fund shares, announced fund terminations and, eventually, introduction of a new regulation. With assets under management of over EUR 80 billion, GOEREFs are the...