Heinrich Heine University Düsseldorf
Ingo Hoffmann graduated in theoretical physics in 1993 from the University of Wuppertal, Germany. In 1994, he moved to the University of Dortmund, Germany, and received the Ph.D. degree in chemical engineering in 1998.
He has been working for DZ BANK AG, Germany, since 1998 and is responsible for capital market topics as well as asset and risk management. Since 2017, he has also been conducting research at the Chair of Business Administration, esp. Financial Services at Heinrich Heine University Düsseldorf, Germany, on asset and risk management topics related to institutional investors.
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.
The quality of a tail model, which is determined by data from an unknown distribution, depends critically on the subset of data used to model the tail. Based on a suitably weighted mean square error, the authors present a completely automated method that…