Quantitative Research, Pinechip Capital, Hamburg
Research Fellow, Centre for Financial Econometrics, Asset Markets and Macroeconomic Policy, Lancaster University
Welcome to my personal homepage. I am a quantitative researcher for Pinechip Capital 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
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, 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.
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.