Markus Rudolf

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This article investigates four models for minimizing the tracking error between the returns of a portfolio and a benchmark. Due to linear performance fees of fund managers , we can argue that linear deviations give a more accurate description of the in-vestorsÕ risk attitude than squared deviations. All models have in common that absolute deviations are(More)
The International Center for Financial Asset Management and Engineering (FAME) is a private foundation created in 1996 at the initiative of 21 leading partners of the finance and technology community together with three Universities of the Lake Geneva Region interested in a wider dissemination of their ideas, in practitioners' circles in particular. •(More)
This paper presents an intertemporal portfolio selection model for pension funds that maximize the intertemporal expected utility of the surplus of assets net of liabilities. Following Merton (1973) it is assumed that both the asset and the liability return follow Itô processes as functions of a state variable. The optimum occurs for investors holding four(More)
Mobile health monitoring using wearable sensors is a growing area of interest. As the world’s population ages and locomotor capabilities decrease, the ability to report on a person’s mobility activities outside a hospital setting becomes a valuable tool for clinical decision-making and evaluating healthcare interventions. Smartphones are omnipresent in(More)
Price movements in many commodity markets exhibit significant seasonal patterns. In this paper, we study the effects of seasonal volatility on models' option pricing performance. In terms of options pricing, a deterministic seasonal component at the price level can be neglected. In contrast, this is not true for the seasonal pattern observed in the(More)
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