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Cross-validated covariance estimators for high-dimensional minimum-variance portfolios

Husmann, Sven; Shivarova, Antoniya; Steinert, Rick - In: Financial markets and portfolio management 35 (2021) 3, pp. 309-352

Persistent link: https://www.econbiz.de/10012616164

Sparsity and stability for minimum-variance portfolios

Husmann, Sven; Shivarova, Antoniya; Steinert, Rick - In: Risk management : an international journal 24 (2022) 3, pp. 214-235

Persistent link: https://www.econbiz.de/10013387562

Efficient modeling and forecasting of electricity spot prices

Ziel, Florian; Steinert, Rick; Husmann, Sven - In: Energy economics 47 (2015), pp. 98-111

Persistent link: https://www.econbiz.de/10011527221

Forecasting day ahead electricity spot prices : the impact of the EXAA to other European electricity markets

Ziel, Florian; Steinert, Rick; Husmann, Sven - In: Energy economics 51 (2015), pp. 430-444

Persistent link: https://www.econbiz.de/10011564902

Factor investing : alpha concentration versus diversification

Heinrich, Lars; Shivarova, Antoniya; Zurek, Martin - In: The journal of asset management : a major new, … 22 (2021) 6, pp. 464-487

Persistent link: https://www.econbiz.de/10012659821

Short-to mid-term day-ahead electricity price forecasting using futures

Steinert, Rick; Ziel, Florian - In: The energy journal 40 (2019) 1, pp. 105-127

Persistent link: https://www.econbiz.de/10011970839

Electricity price forecasting using sale and purchase curves : the X-Model

Ziel, Florian; Steinert, Rick - In: Energy economics 59 (2016), pp. 435-454

Persistent link: https://www.econbiz.de/10011699739

On estimating an asset's implicit beta

Husmann, Sven (contributor) - 2005

Siegel (1995) has developed a technique with which the systematic risk of a security (beta) can be estimated without recourse to historical capital market data. Instead, beta is estimated implicitly from the current market prices of exchange options that enable the exchange of a security against...

Persistent link: https://www.econbiz.de/10003092054

On estimating an asset's implicit beta

Husmann, Sven - 2005

Persistent link: https://www.econbiz.de/10003048923

Bewertung von Investitionsprojekten bei steuerlich optimaler Finanzierung

Husmann, Sven - In: Die Betriebswirtschaft : DBW 67 (2007) 4, pp. 369-380

Persistent link: https://www.econbiz.de/10003517872