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Contributions published at Financial Engineering (Markus Leippold)

Contribution
Melanie Loos, Markus Leippold, Saron statt Libor: Teure Umstellung mit Risiken, In: Handelszeitung, 23 November 2018. (Media Coverage) null
Patrick Meyer, The Simulation of Macroeconomic and Finance Data for a Portfolio Management Simulation, University of Zurich, Faculty of Business, Economics and Informatics, 2018. (Master's Thesis) null
Joris Verweij, Fund of hedge fund selection riddle, University of Zurich, Faculty of Business, Economics and Informatics, 2018. (Bachelor's Thesis) null
Kevin Zimmerli, Low-Risk Anomalie - Empirische Analyse am Beispiel des Nasdaq, University of Zurich, Faculty of Business, Economics and Informatics, 2018. (Bachelor's Thesis) null
Roger Rüegg, Markus Leippold, The Mixed vs the Integrated Approach to Style Investing: Much Ado About Nothing?, European financial management, Vol. 24 (5), 2018. (Journal Article) We study the difference between the returns to the integrated approach to style investing and those to the mixed approach. Unlike the mixed approach, the integrated approach aggregates factor characteristics at security level. Recent literature finds that the integrated approach dominates the mixed approach. Using statistical tools for robust performance testing, we demystify these findings as a statistical fluke. We do not find any evidence favoring the integrated approach. What we do find is that the integrated approach exhibits a higher sensitivity to the low-risk anomaly. However, this reduction in risk does not lead to an improvement in performance.
Fabienne Blanc, Sustainable Investing - The Impact of Exclusion Criteria on Return and Risk of Equity Portfolios, University of Zurich, Faculty of Business, Economics and Informatics, 2018. (Bachelor's Thesis) null
Gilles Hunter, Investment strategies on the Swiss Market Index, University of Zurich, Faculty of Business, Economics and Informatics, 2018. (Bachelor's Thesis) null
George Läubli, The effects of portfolio-rebalancing on key figures applied to the world of Cryptocurrency, University of Zurich, Faculty of Business, Economics and Informatics, 2018. (Bachelor's Thesis) null
Marco Inglin, The magic investment formula applied to the Swiss Performance Index, University of Zurich, Faculty of Business, Economics and Informatics, 2018. (Bachelor's Thesis) null
Georgios Zafeiropoulos, Ankündigungseffekt eines Aktienrückkaufs auf die Aktienkurse von US-Unternehmen, University of Zurich, Faculty of Business, Economics and Informatics, 2018. (Bachelor's Thesis) null
Andreas Bürli, Portfoliooptimierung im Vergleich von Industrie- und Entwicklungsländern, University of Zurich, Faculty of Business, Economics and Informatics, 2018. (Bachelor's Thesis) null
Jannick Sicher, Herding Behaviour and Investor Sentiment: An Empirical Study on the Effects of Social Behaviour on Equity Markets, University of Zurich, Faculty of Business, Economics and Informatics, 2018. (Bachelor's Thesis) null
Chengjie Zhou, Managing Portfolio Over the Business cycle, University of Zurich, Faculty of Business, Economics and Informatics, 2018. (Master's Thesis) This paper analyses long-term portfolio management decisions in the presence of regime switches in asset returns with stochastic trading costs. The underlying assets are represented by a market portfolio and factor portfolios tracking size, value, protability, and investment eects. First, consistent with the literature, this paper also nds strong evidence of time-variations in the joint distribution of returns with respect to the underlying factor portfolios. Two separate regimes, characterized mainly by volatility in asset returns, are required to capture the dynamics. Second, by adopting a dynamic optimal asset allocation strategy the hedging properties of factor portfolios are found to vary signi cantly across regimes. Nevertheless, out-of-sample forecasting experiments show the economic importance of market timing in asset allocation decisions.
Edin Hrustanovic, Strategie zur Vermeidung grundlegender Fehler bei Anlageentscheidungen, University of Zurich, Faculty of Business, Economics and Informatics, 2018. (Bachelor's Thesis) null
Lucy Liu, Is asset management in China a logical deduction of the opened economy introduced in the reform in 1978?, University of Zurich, Faculty of Business, Economics and Informatics, 2018. (Bachelor's Thesis) Until the 1978 reform, asset management services were unheard of in China. However, the reform has placed the Chinese economy in the spotlight. This thesis analyses the role of the reform in the evolution of asset management in China. The literature to date has concentrated either on the reform or on asset management, although the latter is rare. To identify the essential aspects of the industry, interviews were conducted with asset managers, and the factors were then evaluated for China specifically. A positive relationship was expected between the reform and the development of the asset management sector in China.
Simone Bernardi, Three essays on regulatory, market, and estimation risk, University of Zurich, Faculty of Business, Economics and Informatics, 2018. (Dissertation)
Marcel Maag, ICOs - An in-depth analysis of real data, University of Zurich, Faculty of Business, Economics and Informatics, 2018. (Bachelor's Thesis) null
Pascal Patrik Boll, Practitioner Approaches for Real Options - A Comparison with Traditional Real Option Modelling, University of Zurich, Faculty of Business, Economics and Informatics, 2018. (Master's Thesis) null
Michaela Vock, Strategic Asset Allocation with higher Moments using a Polynomial Goal Programming Function, University of Zurich, Faculty of Business, Economics and Informatics, 2018. (Master's Thesis) null
Patrick Michael Kunz, Estimating the Probability of a Corporate Credit Rating Downgrade, University of Zurich, Faculty of Business, Economics and Informatics, 2018. (Master's Thesis) Although this thesis begins with discussing possible factors explaining credit rating downgrades that are identified by a univariate analysis based on a fixed effects logistic regression on constructed panel data, the main focus lies on the development of random effects logistic regression models to estimate downgrade probabilities for different time horizons. The final models include macroeconomic factors, aspects of corporate governance, accounting and equity market information, an issuer’s rating history and is also dependent on an issuer’s sector classification and its current credit rating. While the estimated models allow to quantify downgrade probabilities, their predictive powers are limited.

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