Here is a list of research & publications we find very interesting in a random order. We are updating this list regularly, so come back for more soon.
Created by Ray Dalio this simple but not simplistic and easy to follow 30 minute, animated video answers the question, "How does the economy really work?" Based on Dalio's practical template for understanding the economy, which he developed over the course of his career, the video breaks down economic concepts like credit, deficits and interest rates, allowing viewers to learn the basic driving forces behind the economy, how economic policies work and why economic cycles occur.
In this paper, Prof. Dr. Martin Hellmich and Prof. Dr. Stefan Kassberger apply the multivariate Generalized Hyperbolic (MGH) distribution to portfolio modeling, using Conditional Value at Risk (CVaR) as a risk measure. Exploiting the fact that portfolios whose constituents follow an mGH distribution are univariate GH distributed, we prove some results relating to measurement and decomposition of portfolio risk, and show how to efficiently tackle portfolio optimization. Moreover, we develop a robust portfolio optimization approach in the mGH framework, using Worst Case Conditional Value at Risk (WCVaR) as risk measure.
This is really the paper that started big data. We find it very helpful to understand what big data is really about.
In The Zero Marginal Cost Society, New York Times bestselling author Jeremy Rifkin describes how the emerging Internet of Things is speeding us to an era of nearly free goods and services, precipitating the meteoric rise of a global Collaborative Commons and the eclipse of capitalism.
Riskmanagement in Capital Investments - Roundtable of Experts: Legislation wave arises new risks.
In the study by Prof. Dr. Martin Hellmich for Union Investment, the impact of zero interest rates and new regulatory parameters on the financial performance and risk position of key investor groups are highlighted, such as banks and insurance companies. The systemic risks for the financial system arising from the organisation of the industry in terms of the roles performed by these major groups of financial institutions is also considered. At the end, the approaches and methods that could be used in a new generation of risk models in the future and the benefits these developments could then bring for regulators as well as for risk and portfolio managers are adressed.