3 papers
q-fin.ST2020
Re-evaluating cryptocurrencies' contribution to portfolio diversification -- A portfolio analysis with special focus on German investors
Tim Schmitz, Ingo Hoffmann
In this paper, we investigate whether mixing cryptocurrencies to a German investor portfolio improves portfolio diversification. We analyse this research question by applying a (me…
econ.GN2019
On Capital Allocation under Information Constraints
Christoph J. Börner, Ingo Hoffmann, Fabian Poetter +1
Attempts to allocate capital across a selection of different investments are often hampered by the fact that investors' decisions are made under limited information (no historical…
q-fin.RM2019
Tail models and the statistical limit of accuracy in risk assessment
Ingo Hoffmann, Christoph J. Börner
In risk management, tail risks are of crucial importance. The assessment of risks should be carried out in accordance with the regulatory authority's requirement at high quantiles.…