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Recent Projects

Title: The Impact of Weight Constraints on Minimum Variance Portfolios: An Empirical Out-of-Sample Investigation
Author(s): Frank Muggli, Department of Business Administration, University of Zurich
Corporate Partner:
OLZ & Partners Asset and Liability Management AG
Supervising Professor(s):
Title: Hedging Bond Portfolio Risk Using Credit Derivatives
Author(s): Milos Barbir, Luca Borghi, Ling Ling Chen, and Ana Stojic (University of Lugano)
Corporate Partner:
MVC & Partners Swiss Family Office
Supervising Professor(s): Eric Nowak
Title: Europe's Biggest Accounting Scandals: How Can Investors Protect Themselves?
Author(s): Katarzyna Szanin, Master of Arts in Economics and BA RO 2006: field of study—Banking and Finance, University of Zurich
Corporate Partner:
MIQ Advisors
Supervising Professor(s): Thorsten Hens
Title: Asset Allocation and Liquidity Constraints
Author(s): Mauricio Alejandro Arcos Mora, Stefano Galvagni, Leyla Esther Hinsken, Enrico Lopedoto, and Khalid Sedighyar (University of Lugano)
Corporate Partner:
Swiss Social Security Funds
Supervising Professor(s): Francesco Franzoni
Title: Diversified Commodity Term Structure Allocations
Author(s): Andreas Oberlin, Master of Arts in Economics and BA RO 2006 : field of study — Banking and Finance / University of Zurich
Corporate Partner:
Supervising Professor(s):
Title: Optimal Rebalancing Strategies: Theoretical and Empirical Analyses from the Perspective of Swiss Pension Funds
Author(s): Alexandra Janssen, Master of Arts in Economics and BA RO 2006: field of study Banking and Finance, University of Zurich
Corporate Partner:
PPCmetrics AG
Supervising Professor(s):
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):
Title: Copula-Based Hierarchical Risk Aggregation
Author(s): Fabio Derendinger, MSc in Applied Mathematics, ETH Zurich
Corporate Partner:
Scor
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):