English  /  Deutsch  

Andreas Steiner Consulting GmbH
Providing Competence in Investment Portfolio Analytics & Risk Management

 
 

Home  /  Solutions  /  Publications  /  Links  /  Newsletter  /  Contact

Research Notes

Out monthly Research Notes are short articles covering a wide range of topics in investment analytics.

Clicking on the PDF links below will open a pop-up window that allows you to receive research notes on a valid email address.

  • Jun 2015: Active and Expanded Covariances - PDF
  • Nov 2014: Vectors and Matrices in Portfolio Analytics - ZIP
  • Mai 2013: Fitting Non-Normal Distributions With Calibrated Cornish-Fisher Expansions - PDF
  • Apr 2013: Accuracy and Rounding In Portfolio Construction - PDF
  • Mar 2013: Principal Component Analysis of Time-Variations in the Mean-Variance Efficient Frontier - PDF
  • Feb 2013: Reconciling Ex Post and Ex Ante Volatility Figures - PDF
  • Sep 2012: Active Risk Attribution - eBook
  • Aug 2012: Data Frequency and Estimation Risk - PDF
  • Jun 2012: Discrete and Continuous Correlation - PDF
  • May 2012: Surplus Risk and Return - PDF
  • Apr 2012: Sharpe Ratios Are Homogeneous of Degree Zero - PDF
  • Mar 2012: Did Diversification Really Fail? Evidence for Stock Portfolios - PDF
  • Feb 2012: Annualized Volatility - PDF
  • Nov 2011: Risk Parity for the Masses - published in the The Journal of Investing, Fall 2012, Vol. 21, No. 3: pp. 129-139
  • Oct 2011: Geometric And Arithmetic Volatility - PDF
  • Sep 2011: Equity Tail Risk Before and After the Financial Crisis - PDF
  • Aug 2011: Tail Risk Attribution - PDF
  • Jul 2011: Manipulating Valid Correlation Matrices - PDF
  • Jun 2011: Attribution of Bull/Bear Alphas and Betas with Applications to Downside Risk Management - published in Alternative Investment Analyst Review, Q2 2012, Vol. 1, Issue 2
  • May 2011: Sharpe Ratio Contribution and Attribution Analysis - PDF
  • Apr 2011: Is Alpha Dead? - PDF - short version appeared in Advisor Perspectives, April 5, 2011
  • Mar 2011: Drawdown-At-Risk Monte Carlo Optimization - PDF
  • Feb 2011: Currency Hedged Return Calculations - PDF
  • Jan 2011: Contributions to Ex Post Return, Volatility and Tracking Error - eBook
  • Dec 2010: Ambiguity in Calculating and Interpreting Maximum Drawdown - PDF

Journals & Journals and Magazines

Books

  • Andreas Steiner: "Advanced Portfolio Analytics - New Methods for Measuring, Analysing and Managing Investment Performance and Risk", Palgrave Macmillan, forthcoming Q4 2013
 

Follow us on: Twitter Twitter  /  LinkedIn LinkedIn  /  Social Science Research Network SSRN  /  Xing Xing Data Protection & Privacy