Varmaz, Armin
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Varmaz, Armin
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Varmaz, Armin
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Item-typ:Veröffentlichung, An investor’s perspective on risk-models and characteristic-models(2016-03-27); ; Purpose – In capital markets, research risk factor loadings and characteristics are considered as opposing explanations for the cross-sectional dispersion in average stock returns. However, there is little known about the performance an investor would obtain who believes either in the characteristics explanation (CB-investor) or in the risk factor loadings explanation (RB-investor). The purpose of this paper is to compare the performance of CB- and RB-investors. Design/methodology/approach – To compare the competing strategies, the authors propose a simple new approach to equity portfolio optimization in the style of Brandt et al. (2009) by modeling the portfolio weight in each asset as a function of the asset’s risk factor loadings or characteristics. The authors perform an empirical analysis on the German stock market, exploiting the risk factor loadings from the Carhart (1997) four-factor model and the respective characteristics size, book-to-market equity ratio and momentum. Findings – The results show that investment strategies relying on characteristics (particularly on momentum) outperform risk-based investment strategies in horse races. These findings hold in- and out-of-sample. Furthermore, the characteristics-based investment strategies outperform a value-weighted market portfolio strategy in- and out-of-sample. Originality/value – The authors introduce a portfolio optimization approach that enables investors to directly link portfolio decisions to the firm’s characteristics or risk factor loadings.Wissenschaftlicher ArtikelBand:17Heft:3145 - Some of the metrics are blocked by yourconsent settings
Item-typ:Veröffentlichung, RMatlab-app2web: Web Deployment ofR/MATLABApplications(2013-09-03); ; This paper presents the RMatlab-app2web tool which enables the use of R or MATLAB scripts as CGI programs for generating dynamic web content. RMatlab-app2web is highly adjustable. It can be run on both, Windows and Unix-like systems. CGI scripts written in PHP take information entered on web-based forms on the client browser, pass it to R or MATLAB on the server and display the output on the client browser. Adjustable to the server’s requirements, the data transfer procedure can use either the GET or the POST routine. The application allows to call R or MATLAB to run previously written scripts. It does not allow to run completely flexible user code. We run a multivariate OLS regression to demonstrate the use of the RMatlab-app2web tool.Wissenschaftlicher Artikel1385 - Some of the metrics are blocked by yourconsent settings
Item-typ:Veröffentlichung, Enhancing index-tracking performance: Leveraging characteristic-based factor models for reduced estimation errors(Elsevier BV, 2026-05); ; ; This paper addresses the challenge of minimizing tracking error in passive portfolio management by reducing estimation errors commonly encountered in traditional optimization methods. We introduce an innovative cardinality-constrained mixed-integer optimization framework that incorporates characteristic-based factor models to enhance index-tracking performance. By leveraging these models, our approach aims to minimize errors stemming from estimation uncertainty. In an empirical analysis, we benchmark the tracking errors of our approach against traditional methods, examining both linear and quadratic programs. We further evaluate robustness across various stock market indices, time periods, solvers, and transaction costs. The results indicate that our method consistently reduces estimation errors, achieving superior tracking performance relative to conventional techniques. These findings provide crucial guidance for efficiently optimizing index-tracking portfolios while accommodating practical constraints.Wissenschaftlicher ArtikelBand:331Heft:121 - Some of the metrics are blocked by yourconsent settings
Item-typ:Veröffentlichung, Liquidity-driven approach to dynamic asset allocation: evidence from the German stock market(2015-09-24); ; ; Fluctuations in market-wide liquidity may offer opportunities of earning illiquidity premiums. For the US stock market, an investment strategy that profitably exploits these market-wide liquidity fluctuations is proposed by Xiong (J Portf Manag 39(3):102–111, 2013), who focus on an in-sample analysis. In this article, we firstly replicate the liquidity-driven investment strategy of Xiong (J Portf Manag 39(3):102– 111, 2013) for the German stock market showing that a successful harvesting of illiquidity premiums is possible as well. Secondly, we extend the study design of Xiong (JPortfManag39(3):102–111,2013)inthatweconductastrictout-of-sampleanalysis. Our results show that the initial superior in-sample results drastically deteriorate in an out-of-sample framework rendering the practical application of the liquidity-driven investment strategy for the German stock market impossible. Lastly, we modify the rather static investment methodology by a novel approach in which the asset allocation responds flexibly to market-wide liquidity fluctuations. This modification leads to significant performance improvements.Wissenschaftlicher ArtikelBand:29Heft:November153 - Some of the metrics are blocked by yourconsent settings
Item-typ:Veröffentlichung, Vorschlag eines Bewertungskonzepts von Zertifikaten(2012); Ansätze zur analytischen Bewertung von Zertifikaten sind bisher wenig in der Literatur thematisiert. Dieser Beitrag stellt ein auf dem Black/Scholes-Modell basierendes Bewertungskonzept zur Diskussion, mit dessen Hilfe Zertifikate analytisch bewertet werden können. Zur analytischen Bewertung ist die Identifikation der Komponenten eines Zertifikats notwendig. Diese wird basierend auf einer Systematisierung von Zertifikaten in Klassen einheitlicher Konstruktion vorgenommen. Anhand eines Formelsets nach Haug (2007) für Barrier-Optionen gelingt anschließend die Entwicklung analytischer Bewertungslösungen für Zertifikate. Eventuell auftretende Bewertungsfehler aufgrund der Nichtbeachtung der Volatility Surface oder von Marktunvollkommenheiten werden im Rahmen von Fallstudien untersucht. (JEL G13, G24) The literature has paid limited attention to approaches to analytical certificate valuation. This article proposes a concept, which roots in the Black/Scholes model, in order to analytically value the certificates. The implementation of the proposed concept requires the knowledge of the components of the certificates. Based on a classification of certificates in uniformly constructed classes, we identify the components. Based on formulas for barrier options proposed by Haug (2007) we develop an analytical approach to value virtually all existing certificates. Valuation errors which may occur due to non-observation of the volatility surface or due to market imperfections are analyzed in case studies.Wissenschaftlicher ArtikelBand:45Heft:2109 - Some of the metrics are blocked by yourconsent settings
Item-typ:Veröffentlichung, Covariances vs. characteristics: what does explain the cross section of the German stock market returns?(2016-02-12); ; The characteristics book-to-market equity ratio, size and momentum are highly correlated with the average returns of common stocks. Fama and French (J Financ Econ 33(1):3–56, 1993), (J Finance 50(1):131–155, 1995) and (J Finance 51(1):55–84, 1996) argue (for size and the book-to-market equity ratio) that the relation between returns and characteristics arises because the characteristics are proxies for exposures to common risk factors. We examine the question whether the characteristics or the covariance structure of returns explain the cross-sectional dispersion in German stock market returns. Our results suggest that widely accepted factors SMB, HML or WML are not priced.Wissenschaftlicher ArtikelBand:9Heft:April143 - Some of the metrics are blocked by yourconsent settings
Item-typ:Veröffentlichung, 161 - Some of the metrics are blocked by yourconsent settings
Item-typ:Veröffentlichung, 110 - Some of the metrics are blocked by yourconsent settings
Item-typ:Veröffentlichung, Handbook of offshore wind farm decommissioning - Framework, technologies, logistics, processes, scenarios and sustainability(2022-05-16); ; ; ; At the end of their operational life, offshore wind farms (OWF) have to be decommissioned. At present, there is little experience in decommissioning OWF. Due to the size and number of wind turbines, experiences can be transferred to the upcoming decommissioning of OWF only to a limited extent. The research project "SeeOff - Strategy development for efficient offshore wind farm decommissioning" has set itself the goal of supporting companies involved in OWF decommissioning in the development of sustainable OWF decommissioning strategies. We consider the decommissioning of OWF to be sustainable if it is cost-efficient, environmentally friendly as well as safe, fulfils all legal requirements and is publicly accepted. The research results are compiled in this "Handbook of offshore wind farm decommissioning". First, the requirements, especially of a legal, technical and organisational nature, for the decommissioning of OWF are presented (Chapter 2). For a reference OWF, decommissioning processes offshore and ashore, the associated technologies, logistics, procedures and resources are examined and described in detail (chapter 3). Based on this, ten decommissioning scenarios are developed and analysed in terms of their cost and resource efficiency, greenhouse gas emissions, occupational safety and impact on marine biodiversity. Within the framework of a multi-criteria decision analysis, a holistic evaluation of the decommissioning scenarios is carried out (Chapter 4). Finally, the research results, transferability of the decommissioning processes and the assessment approach and potential for improvement are discussed (Chapter 5).Bericht1507 2042 - Some of the metrics are blocked by yourconsent settings
Item-typ:Veröffentlichung, Zertifikatebewertung auf Grundlage der Monte Carlo Verfahren(2015-09-24); ; Eine objektive Bewertung von Zertifikaten, deren Preise i. d. R. von Emittenten gestellt werden, ist wesentlich für ihre Akzeptanz beim Anleger. Dieser Beitrag stellt die simulationsbasierte Bewertung von Zertifikaten dar. Die simulationsbasierte Bewertung mittels indirekter Ermittlung der Auszahlungsstruktur (indirektes Bewertungsverfahren) ist als der vielversprechendste Ansatz identifiziert, der mit wenigen Annahmen auskommend viele entscheidungsnützliche Informationen anbietet und sich vergleichsweise einfach implementieren lässt.Wissenschaftlicher ArtikelBand:22Heft:5124