Research interests

Large random matrices and high-dimensional statistics
Mathematical and statistical finance
Financial engineering and operations research

Research output

  1. Bayesian inference of the multi-period optimal portfolio for an exponential utility

    Research output: Contribution to journalArticleScientificpeer-review

  2. Testing for independence of large dimensional vectors

    Research output: Contribution to journalArticleScientificpeer-review

  3. Tests for the Weights of the Global Minimum Variance Portfolio in a High-Dimensional Setting

    Research output: Contribution to journalArticleScientificpeer-review

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Prizes

  1. Wolfgang-Wetzel-Preis

    Prize: Prize (including medals and awards)

View all (1) »

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