Articles by Eduard Baitinger
Interconnectedness risk and active portfolio management: the information-theoretic perspective
This paper extensively compares mutual-information-based networks with correlation-based networks on a stand-alone basis and in the framework of active investment strategies.
Interconnectedness risk and active portfolio management
This paper studies centrality (interconnectedness risk) measures and their added value in an active portfolio optimization framework.
Relative performance persistence of financial forecasting models and its economic implications
This paper addresses the issue of model selection risk by examining whether a model’s past performance in forecasting expected returns provides an indication of its future forecasting performance.