Selected Publications

• SZS/RSAS · 59/2015: Akkurate Messung der Portfoliorisiken im Pensionskassengeschäft,
  by Walter Farkas, Sandro Schmid
• Fast methods for large-scale non-elliptical portfolio optimization by Marc Paolella in: Annals of Financial Economics, Vol. 9 (No. 2), p. 1-32, September 2014.
• PRIVATE 12/15: Honigkuchen im Portfolio Management by Walter Farkas, Sandro Schmid
• COMFORT: A common market factor non-gaussian returns model by Marc Paolella, Pawel Polak in: Journal of Econometrics, Vol. 187 (No. 2), p. 593-605, 08/2015.
• G. Barone-Adesi, W. Farkas, P. Koch-Medina:
  Capital levels and risk-taking propensity in financial institutions [Link to the Journal] [SSRN]
  Accounting and Finance Research, 3 (1), 85-89, (2014)
• PRIVATE 01/15: Weniger ist im Januar meist mehr
  Walter Farkas, Sandro Schmid
• G. Drimus, W. Farkas, E. Gourier:
  Valuations of options on discretely sampled variance
  Journal of Computational Finance, to appear
  [SSRN]
• Multivariate asset return prediction with mixture models
  by Marc Paolella in: European Journal of Finance, Vol. 21 (No. 13-14), p. 1214-1252, Januar 2015.