CV

Curriculum Vitae

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Interests

  • Empirical Asset Pricing (Predicting the Equity Premium)
  • Portfolio Management (Quantitative and Empirical)
  • Risk Management (Risk Properties of Portfolios, Risk Metrics, Risk Indices, Financial Turbulence)
  • Parameter/Model Uncertainty (Robust Portfolios, Ambiguity Aversion)
  • Econometrics (Forecasting, multivariate GARCH)
  • Learning in Financial Markets
  • Behavioural Finance

Education

  • PhD in Economics, 2015

    University of Innsbruck

  • Certified Financial Risk Manager, 2007

    Global Association of Risk Professionals

  • Master in Business Administration, 2007

    University of Innsbruck

  • Dipl.-Ing. of Technical Mathematics, 2007

    University of Innsbruck

Awards, Grants & Funding

Blog

Publications

(2018). Bid-Ask Spread Patterns and the Optimal Timing for Discretionary Liquidity Traders on Xetra. Schmalenbach Business Review, 70(3).

PDF

(2017). PRIX – A risk index for global private investors. The Journal of Risk Finance.

PDF Project

(2016). Decision Support for IT Investment Projects. Business & Information Systems Engineering, 58(6).

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(2014). Financial Applications of the Mahalanobis Distance. Applied Economics and Finance.

PDF Project Slides

(2009). Die Riemannsche Vermutung. In: Mathematisch für Anfänger.

Source Document Book Homepage

Working Papers

More Publications

(2018). Quantitative Selection of Election Portfolios. Working Paper.

PDF Project

(2016). The Economic Benefit of Forecasting Market Components for Mean-Variance Investors. Working Paper.

PDF

(2016). Towards a Well-Founded Valuation of Managerial Flexibilities in IT Investment Projects - A Multidisciplinary Literature Review. Working Paper.

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Projects

Parameter uncertainty and Financial Markets

In this project, we will research many aspects derived from the paper of Garlappi et al. (2007)

Selecting Election Portfolios

In this project, we quantitatively generate portfolios that successfully generate returns conditional on the election outcome. Current examples are based on the 2016 U.S. presidential election and the 2016 Brexit referendum.

Global and Regional Risk Indices

In this project we create a variety of regional risk indices (US, EU & Switzerland) as well as global one. The purpose is to highlight which events have had what influence on the regional financial markets and which regional event in turn had an impact on the stability of global financial markets.

Invited talks

Parameter Uncertainty, Financial Turbulence and Aggregate Stock Return
2017-12-18
Parameter Uncertainty, Financial Turbulence and Aggregate Stock Return
2017-11-21
Financial Turbulence and Aggregate Stock Returns
2016-09-02

Talks

selected

More Talks

Turbulence in the Cross-Section: Predicting Factor Premia
2018-12-14
Parameter Uncertainty, Financial Turbulence and Aggregate Stock Return
2017-12-18
Parameter Uncertainty, Financial Turbulence and Aggregate Stock Returns
2017-11-24
Parameter Uncertainty, Financial Turbulence and Aggregate Stock Return
2017-11-21
Higher Moments Matter! Cross-Sectional (higher) Moments and the Predictability of Stock Returns
2017-03-31
Financial Turbulence and Aggregate Stock Returns
2016-12-14
The Economic Benefit of Forecasting Market Components for Mean-Variance Investors
2016-11-25
Financial Turbulence and Aggregate Stock Returns
2016-09-02

Current Teaching

Here you can find information and additional material for upcoming/currently running courses

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