Marco Erling

BUW - Schumpeter School of Business and Economics

Researcher

Germany

SCHOLARLY PAPERS

2

DOWNLOADS

881

SSRN CITATIONS

0

CROSSREF CITATIONS

0

Scholarly Papers (2)

1.

Factor Risk Parity with Portfolio Weight Constraints

Number of pages: 61 Posted: 08 Jun 2015 Last Revised: 08 Jan 2016
Marco Erling and Steffen Möllenhoff
BUW - Schumpeter School of Business and Economics and BUW - Schumpeter School of Business and Economics
Downloads 700 (47,234)

Abstract:

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risk parity, factor risk parity, diversification, portfolio optimization, strategic asset allocation

2.

Analyzing Precious Metals Returns Using a Kalman Smoother Approach

Number of pages: 32 Posted: 23 Aug 2016
Marco Erling
BUW - Schumpeter School of Business and Economics
Downloads 181 (211,653)

Abstract:

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Precious Metals, Kalman Filter, Kalman Smoother, Dynamic Time Warping, Johansen Test