Research

Publications

What We Know About the Low-Risk Anomaly — A Literature Review
in Financial Marekts and Portfolio Management, 2023,  37 (3), 297–324
Available here or here


Quantifying Alpha of Active Managers: A Case Study on Factor-Based Performance Attribution in Fixed-Income with Alexander Simonov and Matthias Meitner
in Research Journal for Applied Management, 2022, 3 (1), 85–115
Available here


Estimating Forward-Looking Stock Correlations from Risk Factors with Wolfgang Schadner
in Mathematics, 2022, 10 (10), 1649
Available here



Working Papers

Are There Fences in the Global Factor Zoo? with Merlin Bartel and Sebastian Stöckl
Available here

Local, Regional, and Global Asset Pricing?

Available here


Which One is Worse: Heavy Tails or Volatility Clusters? with Wolfgang Schadner
in Swiss Finance Institute Research Paper Series, 23-61

Available here



Book Reviews

Ben Mezrich, Dumb Money
in Financial Markets and Portfolio Management, 2024
Available here or here


Morgan Housel, The Psychology of Money: Timeless Lessons on Wealth, Greed, and Happiness
in Financial Markets and Portfolio Management, 2023
Available here or here 


Javier Blas and Jack Farchy, The World for Sale: Money, Power and the Traders Who Barter the Earth’s Resources
in Financial Markets and Portfolio Management, 2023, 37 (1), 115–118
Available here or here