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Research
Research at our chair examines current issues in finance. The focus is on topics relating to the portfolio management process: ranging from market forecasts and risk management to innovative approaches for capital allocation.
Research Profile
The Chair's research focuses on the application of modern quantitative methods (econometric methods, machine learning methods and artificial intelligence) for the analysis, modeling and forecasting of financial markets. Furthermore, portfolio management methods are examined for suitability and further developed within the framework of realistic simulations of the portfolio management process. A third area covers selected issues of bank management (e.g. recording, quantifying and dealing with operational risks, measuring and analyzing bank efficiency, success or failure of bank mergers).
Individual issues or projects have also been or are being investigated in cooperation with banks, insurance companies or investment companies. Current and past research projects include, for example, the development and testing of value protection strategies for capital investments for the purpose of retirement provision, the development of a tool for short-term forecasting of financial markets, the analysis of the return and risk structure of hedge funds, the use of artificial neural networks (ANN) to forecast share prices on the basis of information from annual financial statements and the development and testing of robust portfolio optimization methods.