A Risk Index for Global Private Investors

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Projektart und Laufzeit

internes Projekt, März 2016 bis März 2019

Koordinator

Lehrstuhl für Finance

Forschungsschwerpunkt

Wealth Management

Forschungsgebiet/e

Banking and Finance
Behavioural Finance

Beschreibung

In this project, we construct a series of risk indices for global private investors (a global, european, north american and asian version). These risk indices will reflect the overall risk of typical multi-asset class portfolios of global private investors. They will be based on a modification of the financial turbulence measure of Kritzman and Li (2010).

Schlagworte

Risikoforschung, Risikomanagement, Risikomass

Projektleiter

Ass.-Prof. Dr. Sebastian Stöckl

Stellvertretende Projektleiter

Assoz. Prof. Dr. Martin Angerer

Projektkoordinator

Prof. Dr. Michael Hanke

Publikationen

  • Stöckl, S., Hanke, M., & Angerer, M. (2013). PRIX - A Risk Index for Global Private Investors. Presented at the 20th Forecasting Financial Markets 2013, Hannover (Germany).

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