Type and Duration
internes Projekt, March 2016 until March 2019 (finished)Coordinator
Chair in FinanceMain Research
Wealth ManagementField of Research
Banking and FinanceBehavioural 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
Principal Investigator
Project Manager
Project Coordinator
Publications
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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