Christoph J. Börner
Heinrich Heine University Düsseldorf
Christoph J. Börner studied business administration and received his doctorate from the University of Cologne (Germany) with a thesis on banking. Since 2002 he has been a professor at the Heinrich Heine University in Düsseldorf (Germany) and holds the Chair of Business Administration, in particular Financial Services. His research focuses on structural developments and decision-making in financial institutions and risk management.
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Extremes of extremes: risk assessment for very small samples with an exemplary application for cryptocurrency returns
The authors propose a means to carry out worst-case risk assessments from small sample sizes and demonstrate it using cryptocurrency returns as an example.
This paper offers a portfolio optimization framework that uses return data to calculate an optimal capital allocation based on a Cobb–Douglas utility function.