| Review |
Textbook: Linear Factor Models
Risk and Asset Allocation, Springer 2005 |
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Jan-05 |
Aug-08 |
| Review |
Textbook: Swaps modeling using Principal Component Analysis
Risk and Asset Allocation, Springer 2005 |
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Jan-05 |
Aug-08 |
| Review |
Textbook: Technical Appendices and Proofs
Risk and Asset Allocation, Springer 2005 |
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Mar-05 |
May-07 |
| Review |
Textbook: Uni- and Multi-variate Statistics
Risk and Asset Allocation, Springer 2005 |
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Apr-05 |
Feb-08 |
| Review |
Textbook: Bayesian Estimation
Risk and Asset Allocation, Springer 2005 |
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Apr-05 |
Feb-08 |
| Review |
Textbook: Estimation Risk Evaluation
Risk and Asset Allocation, Springer 2005 |
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Apr-05 |
Feb-08 |
| Review |
Textbook: Estimation risk and allocation optimization (Bayes, Black-Litterman, robust,…)
Risk and Asset Allocation, Springer 2005 |
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Apr-05 |
Feb-08 |
| Review |
Robust Bayesian Allocation
Working Paper |
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Apr-05 |
Feb-08 |
| Review |
Textbook: Multivariate Estimation (Non-Parametric, MLE, Shrinkage, Robust, ...)
Risk and Asset Allocation, Springer 2005 |
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Apr-05 |
Feb-08 |
| Review |
Textbook: Risk Evaluation (stochastic dominance, expected utility, VaR, CVaR, spectral measures,...)
Risk and Asset Allocation, Springer 2005 |
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Apr-05 |
Feb-08 |
| Review |
Textbook: Pricing of Individual Securities
Risk and Asset Allocation, Springer 2005 |
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Apr-05 |
Feb-08 |
| Review |
Textbook: Projection of Invariants to Investment Horizon
Risk and Asset Allocation, Springer 2005 |
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Apr-05 |
Feb-08 |
| Review |
Textbook: Quest for Invariance in Financial Time Series
Risk and Asset Allocation, Springer 2005 |
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Apr-05 |
Feb-08 |
| Review |
Textbook: Portfolio Optimization (Mean-Variance, Cone Programming, Benchmark Allocation,...)
Risk and Asset Allocation, Springer 2005 |
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Apr-05 |
Feb-08 |
| Review |
Textbook: Linear Algebra
Risk and Asset Allocation, Springer 2005 |
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Apr-05 |
Feb-08 |
| Review |
Textbook: Functional Analysis
Risk and Asset Allocation, Springer 2005 |
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Apr-05 |
Feb-08 |
| Research |
Beyond Black-Litterman in Practice: A Five-Step Recipe to Input Views on Non-Normal Markets
Risk, 19, 9, 114-119 (2006) |
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Dec-05 |
Dec-05 |
| Research |
Beyond Black-Litterman: Views on Non-Normal Markets Risk, 19, 2, 87-92 (2006) |
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Nov-06 |
Nov-06 |
| Research |
The Black-Litterman Approach: Original Model and Extensions
Shorter version in, The Encyclopedia of Quantitative Finance, Wiley, 2010 |
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Apr-08 |
Oct-10 |
| Research |
Estimation of Structured T-Copulas
working paper |
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Apr-08 |
Apr-08 |
| Research |
Fully Flexible Views: Theory and Practice
Risk, 21, 10, 97-102 (2008) |
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Aug-08 |
Aug-08 |
| Research |
Risk Contributions from Generic User-Defined Factors
Risk, pp. 84-88, June 2007 |
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Sep-08 |
Aug-10 |
| Research |
Managing Diversification
Risk, pp. 74-79, May 2009 |
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May-09 |
Mar-10 |
| Research |
Simulations with Exact Means and Covariances
Risk, 22, 7, 89-91 (2009) |
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Jun-09 |
Oct-10 |
| Review |
Exercises in Advanced Risk and Portfolio Management - With Step-by-Step Solutions and Fully Documented Code |
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Aug-09 |
Oct-10 |
| Research |
Fully Flexible Extreme Views
working paper |
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Jan-10 |
Jan-11 |
| Research |
Visualizing the Propagation of Risk: Square-Root Rule, Covariances and Ellipsoids
Garp Risk Professional "The Quant Classroom" series 1, pp. 52-53, February 2010 |
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Feb-10 |
Nov-10 |
| Research |
Factors on Demand: Building a Platform for Portfolio Managers, Risk Managers and Traders
Risk, Vol. 23, No.7, p. 84-89 |
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Mar-10 |
Oct-10 |
| Research |
Return Calculations for Leveraged Securities and Portfolios
GARP Risk Professional "The Quant Classroom" series 5, pp. 40-43, October 2010 |
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Mar-10 |
Mar-11 |
| Review |
Linear vs. Compounded Returns – Common Pitfalls in Portfolio Management
GARP Risk Professional "The Quant Classroom" series 2, pp. 49-51, April 2010 |
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Apr-10 |
Nov-10 |
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