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Recent Projects

Title: Cross-Sectional Determinants of Performance in the Equity and Fixed-Income Spaces
Author(s): Matilda Luli, Manuel Serino, Stefano Soracco, and Nicola Vener (University of Lugano)
Corporate Partner:
BSI SA
Supervising Professor(s): Francesco Franzoni
Title: Asset Allocation with Parametric Portfolio Weights: An Empirical Out-of-Sample Investigation
Author(s): Benjamin Haltinner, Master of Arts in Economics and BA RO 2006 : field of study — Banking and Finance / University of Zurich
Corporate Partner:
Supervising Professor(s): Markus Leippold
Title: Designing Catastrophe Bonds for Earthquakes in the Yunnan Province of China
Author(s): Deyu Ming, MSc in Quantitative Finance, ETH Zurich / University of Zurich
Corporate Partner:
Twelve Capital AG
Supervising Professor(s): Paul Embrechts
Title: Regularization Techniques of a Portfolio Replication Procedure
Author(s): Anton Banev, Department of Business Administration, University of Zurich
Corporate Partner:
Zurich Insurance Company Ltd
Supervising Professor(s):
Title: Resampling in Asset Allocation
Author(s): Philippe Stäheli, Master of Arts in Economics and BA RO 2006 : field of study — Banking and Finance / University of Zurich
Corporate Partner:
Supervising Professor(s): Markus Leippold
Title: Appropriate Risk Measurements for Risk Parity Strategies in an Environment of Rising Interest
Author(s): Markus Hartmann, Master of Arts in Economics and BA RO 2006: field of study Banking and Finance, University of Zurich
Corporate Partner:
1741 Asset Management
Supervising Professor(s): Walter Farkas
Title: Corporate Finance und Governance in der Schweiz – Ein Vergleich der Sichtweisen von Emittenten und institutionellen Anlegern
Author(s): Mirko Reichlin, Master of Arts in Economics and BA RO 2006: field of study — Banking and Finance / University of Zurich
Corporate Partner:
SWIPRA
Supervising Professor(s): Alexander Wagner
Title: Inflation Modeling: Risk Premia and Derivative Pricing
Author(s): Warrick Poklewski-Koziell, MSc in Quantitative Finance, ETH Zurich / University of Zurich
Corporate Partner:
Supervising Professor(s): Markus Leippold
Title: Forecasting Volatility: Causality of Index and Constituents
Author(s): Eleni Verteouri, MSc in Quantitative Finance, ETH Zurich / University of Zurich
Corporate Partner:
Bank Vontobel Ltd
Supervising Professor(s): Markus Leippold
Title: Application of Filtering Methods in Finance
Author(s): Fatima Manaa, MSc in Quantitative Finance, ETH Zurich / University of Zurich
Corporate Partner:
Supervising Professor(s): Markus Leippold