Publications and Working Papers
“Diversification with Volatility Products” with Carol Alexander and Dimitris Korovilas
In Journal of International Money and Finance, 2016, Vol. 65, 213-235
“Trading and Investing in Volatility Products”, with Carol Alexander and Dimitris Korovilas
In Financial Markets, Institutions and Instruments, 2015, Vol. 25, 313-347
“Up- and Downside Variance Risk Premia in Global Equity Markets” with Matthias Held, Marcel Omachel and Julian Thimme (2018). Working paper. Revise & Resubmit in Journal of Banking and Finance
Presented at Annual Meeting of the German Finance Association 2018, 35th International Conference of the French Finance Association 2018, Annual Conference of the Swiss Society for Financial Market Research 2015, Financial Intermediation Research Society Conference 2015.
“New trends in financial advisory” with Matthias Pelster (2018). Working paper.
Presented at Research in Behavioral Finance Conference 2018, Sussex Young Finance Scholars‘ Conference 2018, Brownbag seminar Frankfurt 2018, Seminar Deutsche Bundesbank 2017, 7th International Conference of the Financial Engineering and Banking Society 2017, Southern Finance Association Annual Meetings 2017
“The sensitivity of estimation risk to portfolio size: why having more choice is not always better” with Benedikt Himbert and Markus Rudolf (2017). Working paper.
Presented at 34th International Conference of the French Finance Association 2017
“On the trade-off between optimality and estimation risk in alternatively weighted equity index strategies” with Benedikt Himbert and Markus Rudolf (2018). Working paper.
Presented at Paris Financial Management Conference 2017
“The added value of advanced covariance matrix estimators in low volatility portfolio strategies” with Benedikt Himbert and Markus Rudolf (2018). Working paper.
Presented at FMA annual meeting 2018, San Diego
“In Search of Alpha – Trading on Limited Investor Attention” with Konstantin Storms and Markus Rudolf (2015). Working Paper.
Presented at Finance seminar Finanznetzwerk für Deutschland, Burgenland 2015
“Can Retail Investor Attention Enhance Market Efficiency? Insights from Search Engine Data” with Konstantin Storms and Markus Rudolf (2015). Working Paper.
Presented at Sussex Young Finance Scholars‘ Conference 2015