Publications and Research

Book, Book Contribution and White Paper

Exchange Traded Funds und Anlagestrategien – Das ETF-Praxisbuch with Marcel Wagner, April 2012, Zurich: financialmedia AG, 422 pages. (link to amazon)


Convertible Bonds – Fundamentals, Asset Allocation, Solvency. March 2012, Credit Suisse, 60 pages. (German version: Wandelanleihen – Grundlagen, Anlageallokation, Solvency)


Applying Markowitz’s Critical Line Algorithm with Andras Niedermayer, 2010,Handbook of Portfolio Construction: Contemporary Applications of Markowitz Techniques, edited by John Guerard, London: Springer (contributions by Paul Samuelson, Robert Korajczyk, Eli Schwartz, John Mulvey, and others).

Working Papers

“A Fast Mean Variance Optimizer and its Application to Portfolio Resampling”, University of Basel Working Paper, 2008, with Andras Niedermayer.


“The Cross-Section of Positively Weighted Portfolios”, January 2007, with Heinz Zimmermann.


“Portfolio Optimization under Parameter Uncertainty”, July 2007.


“Reverting Black-Litterman: What Views are Consistent with Portfolio Weights?”, January 2008.

Newspaper Articles

Consultant Newsletter, Die Vorzüge von Wandelanleihen unter Solvency II und dem Swiss Solvency Test, Credit Suisse, October 2012.

Trends Magazine, Convertible bonds fulfill their defensive role, Credit Suisse, Summer 2012. 

Private Magazine, ETF Selektion, 2010 (together with Marcel Wagner and Sacha Widin).

Trends Magazine, Diversifikationsvorteile dank globaler Anleihen, Credit Suisse, October 2009 (together with Luc Mathys). 

Former Lecture Notes

Portfolio Optimierung mit Investment Beschränkungen (For the Portfolio Theory Course, Winter 2005, University of Basel)

Robust Portfolio Optimization
 (For the Finance Theory Course, Winter 2007, University of Basel)

Master’s Thesis and Term papers at the University of Bern

Portfolio Theory and the Cross-sectional Relation between Expected Returns and Betas, Master’s Thesis, University of Bern, 2005

Internationale Finanzkrisen: Grundlagen und Modelle, University of Bern, 2004

Transmissionsprozess: Die Rolle von Erwartungen und imperfekter Information, University of Bern, 2004