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A Risk Index for Global Private Investors

Type and Duration

internes Projekt, March 2016 until March 2019

Coordinator

Chair in Finance

Main Research

Wealth Management

Field of Research

Banking and Finance
Behavioural Finance

Description

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).

Keywords

Risk research, Risk management, Risk measure

Project Manager

Project Coordinator

Publications

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

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