Projects and Working Papers
 | Concentration Risk with Lasse H. Pedersen |
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Improved Volatility Prediction and Targeting for Equity Markets
with Robert F. Engle, Olivier Ledoit and Michael Wolf
|
 | Dynamic Asset Allocation with Reinforcement Learning
with Simon Broda and Patrick Walker
SSRN download here |
 | Low Risk, High Variability: Practical Guidance for Portfolio-Construction Choices
with Anontello Cirulli, Joshua Traut and Patrick Walker
SSRN download here |
| AI Shrinkage
with Damjan Kostovic
SSRN download here |
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Heterogeneous Predictability in Asset Pricing
with Simon Hediger, Bryan Kelly and Markus Leippold
|