Project Finance/Financial Markets

General Results


My contribution to the to the analysis of financial markets and the field of finance comprise two particular work streams.

In "Mean-Extended Gini Portfolios: A 3D Efficient Frontier my co-author Haim Shalit and I provide an algorithm which allows for portfolio optimization based on the min max criterion with respect to portfolio mean returns and portfolio risk. The latter, however, is measured by the (extended) Gini coefficient instead of the standard variance measure. This modification allows for the integration of a risk preference parameter into the objective function, thereby integrating potential heterogeneity in the degree of risk aversion into the optimization. The algorithm provided allows the application of this approach to large sets of assets, including up to several hundred assets contingent on available computing power.

Recently I have started to work on the construction of fund returns net of management and distribution fees, as available to retail investors. This work contributes to the generation of more detailed information regarding investment product features than currently available to retail investors and the general public.

Any comments on this line of work or the contributions presented above are highly appreciated. Please feel free to contact me with all your remarks or questions.


Monetary Economics, Macroeconomics, Computational Economics and Financial Stability