122 citations · 179 across the 3 of their papers we have counts for
5 papers
Company classification using machine learning
Sven Husmann, Antoniya Shivarova, Rick Steinert
The recent advancements in computational power and machine learning algorithms have led to vast improvements in manifold areas of research. Especially in finance, the application o…
Sparsity and Stability for Minimum-Variance Portfolios
Sven Husmann, Antoniya Shivarova, Rick Steinert
The popularity of modern portfolio theory has decreased among practitioners because of its unfavorable out-of-sample performance. Estimation errors tend to affect the optimal weigh…
Cross-validated covariance estimators for high-dimensional minimum-variance portfolios
Sven Husmann, Antoniya Shivarova, Rick Steinert
The global minimum-variance portfolio is a typical choice for investors because of its simplicity and broad applicability. Although it requires only one input, namely the covarianc…
Forecasting day ahead electricity spot prices: The impact of the EXAA to other European electricity markets
Florian Ziel, Rick Steinert, Sven Husmann
In our paper we analyze the relationship between the day-ahead electricity price of the Energy Exchange Austria (EXAA) and other day-ahead electricity prices in Europe. We focus on…
Efficient Modeling and Forecasting of the Electricity Spot Price
Florian Ziel, Rick Steinert, Sven Husmann
The increasing importance of renewable energy, especially solar and wind power, has led to new forces in the formation of electricity prices. Hence, this paper introduces an econom…