Heinrich Heine University Düsseldorf
Tim Schmitz studied Business Administration with a major in Finance and received a doctoral degree in business administration from Heinrich Heine University (HHU) Düsseldorf (Germany) in 2022. Moreover, he also worked as a research associate at the Chair of Business Administration, especially Financial Services at HHU Düsseldorf until August 2022.
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.