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Welcome to my homepage. I am a quantitative researcher for a single-family office in Hamburg. Further, I am a fellow at the Centre for Financial Econometrics, Asset Markets and Macroeconomic Policy at Lancaster University.
My research interest is mainly concerned with Bayesian shrinkage methods in the context of forecasting and portfolio analysis to remedy the impact of estimation risk. I am especially interested in prediction methods using external (non-sample) information as well as in sequential Markov Chain Monte Carlo methods and particle filters. Furthermore, I work on
Portfolio and Asset Management
Multi-Asset Portfolio Allocations
Bayesian Statistics
Financial Econometrics, Time Series Analysis
Forecasting, Predictive Models
Machine Learning, Artificial Intelligence, Neural Networks, Big Data
In the past, I refereed for various academic journals including the Journal of Business and Economic Statistics, Journal of Applied Econometrics, International Journal of Forecasting, Economic Modeling, Journal of Empirical Finance, Journal of Forecasting, The Journal of Risk Model Validation, Annals of Applied Statistics and Advances in Statistical Analysis.
This homepage contains my recent research papers as well as software codes and some Latex examples.
News
News
Python version of Tidy Finance is available!
Volatility Overlay with FX Risk
We review the implications of combined volatility and FX overlay for a single and multi-asset portfolio. We show that the optimal portfolio solution requires the explicit distinction between FX and market risk hedging.
References
Prof. Winfried Pohlmeier (Thesis advisor), University of Konstanz
Prof. Gary Koop (Thesis referee), University of Strathclyde
Prof. Ralf Brüggemann, University of Konstanz
Contact Address
Email: christoph.frey@gmail.com
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