Articles by Eduard Baitinger

• Original research

Interconnectedness risk and active portfolio management: the information-theoretic perspective

This paper extensively compares mutual-information-based networks with correlation-based networks on a stand-alone basis and in the framework of active investment strategies.

• 15 Jan 2018

• Original research

Interconnectedness risk and active portfolio management

This paper studies centrality (interconnectedness risk) measures and their added value in an active portfolio optimization framework.

• 22 Feb 2017

• Original research

Relative performance persistence of financial forecasting models and its economic implications

This paper addresses the issue of model selection risk by examining whether a model’s past performance in forecasting expected returns provides an indication of its future forecasting performance.

• 07 Jul 2016