Authors
Duš, Dr. Ivica
Curriculum Vitae
Dr. Ivica Duš joined the Quantitative Asset Allocation department in September 2012 as a portfolio manager and analyst. He had already worked at DekaBank for a number of years as a strategy analyst, advising institutional investors. In between, Dr. Duš worked as a portfolio manager and analyst at Union Investment for several years before returning to Deka. Dr. Duš has a degree in Business Computing from the University of Mannheim. He also holds a doctorate in Business Management from Johann Wolfgang Goethe University in Frankfurt. Dr. Duš is the author of numerous financial economic articles in journals and books.
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Neugebauer, Dr. Ulrich
Curriculum Vitae
Dr. Ulrich Neugebauer came to Deka Investment GmbH in 1998 as a fund manager. He began working in quantitative equity management, where he was ultimately responsible for asset allocation products. Since 1 July 2003, he has led the Quantitative Products department. His work focuses on developing and implementing quantitative investment strategies and structures. Before working as a fund manager, being the holder of a physics doctorate, he held the chair for theoretical physics at the University of Hannover. He has written numerous publications on statistical and numerical issues in physics. Dr. Ulrich Neugebauer has been a member of the Management Board for Deka Investment GmbH since 1 January 2008.
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Ország, Dr. Gábor
Curriculum Vitae
Dr. Ország came to Deka Investment in 2007 and worked in the Quantitative Asset Allocation department as a portfolio manager/analyst until 2014. Since February 2016 he has been working in the quantitative fixed-income team in the same business unit. He studied geo sciences at Eötvös Loránd University in Budapest and earned a doctorate at Johann Wolfgang Goethe University in Frankfurt. His academic focus was Computational Physics (particle scattering and diffusion modelling).
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Spielmann, Timo
Curriculum Vitae
Timo Spielmann joined Deka Investment in April 2015 as a portfolio manager and analyst in the Quantitative Fixed Income Products team, where he is responsible for management of quantitative corporate mandates. Prior to that, he worked in quantitative portfolio manage-ment at Quoniam Asset Management GmbH, HSBC Trinkhaus & Burkhardt KGaG and Laz-ard Asset Management GmbH. Timo received a Diplom degree in Theoretical Physics from the Goethe University in Frankfurt am Main.
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Stein, Dr. Michael
Curriculum Vitae
Dr. Michael Stein joined Deka Investment in April 2018 as Portfoliomanager in the team of Quantitative Asset Allocation. Dr. Michael Stein was Real Estate Research Analyst, Real Estate Fund of Funds Portfolio Manager and Project Manager at Credit Suisse Asset Management’s real estate arm. Following his external dissertation in the area of statistical methods for strategic portfolio management at Karlsruhe Institute of Technology (KIT), he accepted the appointment for the Assistant Professorship of Financial Market Econometrics at University of Duisburg-Essen in 2011 and stood in as the Chair Professor of Statistics and Econometrics at Albert-Ludwigs-Universität Freiburg from 2016 to 2018. Dr. Stein is author of numerous empirical studies that were published in renowned academic journals like the Journal of Banking and Finance, Journal of Empirical Finance, Journal of Investment Management, Journal of International Financial Markets, Institutions & Money, Journal of Asset Management, Journal of Alternative Investments and Journal of Fixed Income. He regularly presents research papers at international conferences and during his time as Professor won the inaugural research prize of IQ-KAP in 2016, as well as the Best Paper Award „Markets and Institutions“ of the Eastern Finance Association Conference 2017.
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Wegener, Dr. Michael
Curriculum Vitae
Michael worked at Deka Investment from 2004 to 2018 and joined Deka in 2020 again. After 7 years as head of the Quantitative Fixed Income group, he is head of the Quantitative Fixed Income / Equities unit since 2020 and headed this unit already between 2014 and 2018. He is responsible for developing and implementing quantitative investment strategies and risk management systems in mutual and institutional funds and providing investor support. He was a portfolio manager in the Quantitative Asset Allocation/ Portfolio Insurance team until 2007. Michael studied business administration with specialties in financial management and statistics at the University of Bielefeld, where he also earned his doctoral degree. He is the author of numerous capital markets and statistics articles. Furthermore, he was an instructor at the DVFA for the CIIA-Program as well as an associate lecturer at the Wiesbaden Business School.
Documents
- Examining heterogeneity in implied equity risk premium using penalized splines (Published)
- Functional variance estimation using penalized splines with principal component analysis (Published)
- Forecasting in nonlinear univariate time series using penalized splines (Published)
- Extending Fama-French Factors to Corporate Bond Markets (Published)
- Common Equity Factors in Corporate Bond Markets (Published)
Wolff, Dr. Dominik
Curriculum Vitae
Dr. Dominik Wolff has been a portfolio manager and analyst in quantitative asset allocation at Deka Investment since February 2016 and Head of Quantitative Research since July 2021. His research focuses on machine learning approaches for stock market forecasting, machine learning approaches for stock selection, extracting signals from text data with NLP, as well as tactical and strategic asset allocation strategies.
Dominik also serves as assistant professor of Finance at the Technical University Darmstadt and as an associate lecturer at the Frankfurt University of Applied Science for Computer based Investment Analysis and for Statistics.
Before joining Deka, Dominik worked as a research assistant at the Centre for Finance and Banking at the Justus-Liebig University Giessen and in energy portfolio management and trading. He holds a PhD (summa cum laude) in finance from the Justus-Liebig University Giessen, a M.Sc. equivalent in business economics with major in finance from the University of Mannheim, a professional certificate in Data Science from Havard University, and is a Fraunhofer Certified Data Scientist (specialized in Deep Learning). Dr. Wolff published his research in journals including the Journal of Banking and Finance, the European Journal of Finance, the Journal of Asset Management, the International Review of Financial Analysis, and the Journal of Financial Markets Institutions and Money. Dr. Wolff regularly presents his research at academic conferences and works as a referee for several academic journals. He received a research award from the Justus-Liebig University Giessen and a dissertation award from the German Association for Alternative Investments (BAI).
Documents
- Machine Learning Approaches for Equity Market Predictions (Published)
- Return Prediction Models and Portfolio Optimization: Evidence for Industry Portfolios (Working Paper)
- Optimal Asset Allocation Strategies for International Equity Portfolios: A Comparison of Country versus Sector Optimization (Working Paper)
- Hedging European Government Bond Portfolios during the Recent Sovereign Debt Crisis (Published)
- Struktur und Performance alternativer Asset-Allokationsstrategien (Published)
- Analyzing Hedging Strategies for Fixed Income Portfolios: A Bayesian Approach for Model Selection (Published)
- Multi-Asset Portfolio Optimization and Out-of-Sample Performance: An Evaluation of Black-Litterman, Mean Variance and Naïve Diversification Approaches (Published)
- Do Commodities Add Value in Multi-Asset-Portfolios? An Out-of-Sample Analysis for Different Investment Strategies (Published)
- Stock Picking with Machine Learning (Working Paper)
- Factor-Investing and Asset Allocation Strategies: A Comparison of Factor Versus Sector Optimization (Published)
- Faktor oder Sektor? (Published)
- Factor-Investing and Asset Allocation Strategies (Published)
Zimmer, Carsten
Curriculum Vitae
Carsten Zimmer has been working as a portfolio manager and analyst in the Quantitative Products Equities team at Deka Investment since February 2003. His work focuses on the development of quantitative investment strategies and their implementation in public and special funds. Mr Zimmer studied Business Mathematics at the University of Kaiserslautern.
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Behrens-Türk, Johannes
Curriculum Vitae
Johannes Behrens-Türk has been responsible for sustainability management at DekaBank since 2013. He joined DekaBank in 2001 and headed the Internal Communications & Media unit until 2012. The trained banker and journalist came to DekaBank via savings banks in Lower Saxony, Saxony-Anhalt and the Savings Banks and Giro Association of Hesse-Thuringia, where he headed the Information & Communications department in Erfurt.
Hans Christian Schmitz
Curriculum Vitae
Hans Christian Schmitz is working towards his PhD since April 2020 in cooperation with Deka Investment and the chair of Information Systems Research at the Albert-Ludwigs-Universität Freiburg. In his research, he works on machine learning, text mining and natural language processing and its applications in equity market prediction and asset allocation. His focus is on the analysis of various types of regulatory disclosures and other news and media publications and their effect on companies, industries and sectors.
Prior to his engagement at Deka, Mr. Schmitz completed the Julius Baer graduate program in Zurich and in London. He studied Computer Science at RWTH Aachen and finished his Master in Artificial Intelligence at the University of Utrecht with a thesis in cooperation with the German Research Center for Artificial Intelligence at the Kaiserslautern site.
Al-Jaaf, Aşty
Curriculum Vitae
Aşty Al-Jaaf works as a quantitative portfolio manager at Deka Investment and manages portfolios using multi-asset and option-based strategies.
He is also a Ph.D. candidate in Finance at the Technical University of Darmstadt (chair: Professor Dirk Schiereck) and has been a visiting Ph.D. student/scholar at the New York University – Department of Finance and Risk Engineering (host: Professor Peter Carr).
His research interests includes risk premia, portfolio optimization, quantitative finance, derivatives, volatility, option-implied information, financial econometrics and machine learning.
Mr. Al-Jaaf is a member of the American Finance Association and the European Finance Association, and a referee for academic journals.
He earned a certificate in data science and machine learning from the Harvard University and a certificate in SQL for data science from the University of California (Davis). Additionally, Aşty Al-Jaaf is a CAIA Charterholder.
Beforee joining Deka Investment, he studied and obtained a degree in Finance & Information Management from the Goethe University Frankfurt (M.Sc.) and in International Finance from the Frankfurt University of Applied Sciences (B.Sc.) and gained first working experience as an intern as well as an student employee at Allianz Global Investors in the multi-asset portfolio management department and the global economics department.
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Former authors
Huber, Dr. Claus
Curriculum Vitae
Dr. Claus Huber joined Deka Investment GmbH as a portfolio Manager in 2018. From 2010 to 2018 he founded and ran Rodex Risk Advisers, a risk management consultancy based in Altendorf / Switzerland. Topics covered by Rodex are Alternative Investments, portfolio construction, tail risk insurance, inflation and deflation protection, market and operational risk and stress testing. Claus’s previous roles include Head of Alternative Investment Risk Management at Swiss Re Zurich, Chief Risk Officer at Credaris Portfolio Management, London, Credit Strategist and Hedge Fund Analyst at Deutsche Bank in Frankfurt/Main, research associate at the University of Bremen and bond trader at Bankgesellschaft Berlin. Claus has published numerous papers on various topics in Finance.
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