Villa Hatt Rmetrics Summer Workshop 2015

9th R/Rmetrics Summer Workshop 2015

De-Risking Financial Investments: Mastering Vulnerabilities, Structural Instability, and Stress Sensitivity

25 - 27 June 2015, ETH Zurich, Villa Hatt


ETH Zurich
Rmetrics Association Zurich
Finance Online Zurich
Record Management Windsor
Dufour Capital Zurich
RStudio Boston
OLZ Berne

Workshop Information | Registration Workshop | Registration Masterclass

The event consists of two parts: Part I will be an open masterclass at ETH where everybody interested in the topic can join for free. Part II will be a workshop taking place at the Villa Hatt which includes a fee. Note that for both events the number of participants is limited.

Open Masterclass, Thursday 25 June 2015, ETH Zurich Main Building E23

08:45 - 09:00 Diethelm Würtz

09:00 - 10:30 Tomas Sauer, Spectral Wavelet Analysis, University of Passau, Germany
11:00 - 12:30 Rosangela Loschi, Bayesian Change Point Analysis, University of Minas Gerais, Belo Horizonte, Brazil

14:00 - 15:30 Bernhard Pfaff, Portfolio Diversification Strategies, Invesco Management, Frankfurt, Germany
16:00 - 17:30 Maximilian Wimmer, Portfolio Goal Programming, University of Regensburg, Germany

18:30 Join us for a beer and food in the old traditional pub "The old Lion" (Zum alten Löwen),
Raemistrasse 111 (Three tram stops from ETH Main Building).

Registration Fee: Free
Download PDF Program and Abstracts

Workshop, 26/27 June 2015, ETH Villa Hatt Zurich


Friday Morning: Alternative Investment Approaches

  • 08:30 Welcome Coffee / Registration
  • 09:00 Welcome and Session Opening - Chairman Diethelm Würtz, ETHZ
  • 09:15-10:15 Kris Boudt, Finvex Group and University of Brussels: Smart Beta Equity Investing Through Calm and Storm
  • 10:15-11:15 Marc Weibel, ZHAW Winterthur: Tail Risk, Parity Indexation and Risk Budgeting
  • 11:15-11:45 Coffee Break
  • 11:45-12:30 Gökhan Kula, Myra Capital, Salzburg: Exchange Indices and Margrabe Options


Friday Afternoon:Bayesian Stability Analytics

  • 14:00 Session Opening - Chairwoman Rosangela Loschi, University of Belo Horizonte
  • 14:15-15:00 Tobias Setz, ETH Zurich: Product Partition Modeling In Finance
  • 15:00-15:45 Dominik Locher, Theta AG, Zurich: Wealth Protection by Stability Concepts
  • 15:45-16:15 Coffee Break
  • 16:15-17:00 Diethelm Würtz: Stability Concepts and Morphological Factor Analysis for Portfolios

Friday Evening: 17:30 Barbecue in the Garden of Villa Hatt


Saturday Morning: Portfolio Optimization

  • 08:15 Session Opening - Chairman Kris Boudt
  • 08:30-09:15 Patrice Kiener, Paris: Modelling Fat Tail Risk: Modeling Fat Tails
  • 09:15-10:00 Stefan Theussl, Raiffeisen International Vienna: Constrained Portfolio Selection
  • 10:30-11:00 Coffee Break
  • 11:00-11:45 Maximilian Wimmer, University of Regensburg: Portfolio Goal Programming
  • 11:45-12:30 Jan Witte, Record Managment, Windsor UK: The Rebalancing Bonus – A Free Lunch?


Saturday Afternoon: R Shiny / Web Monitoring of Performance and Stability

  • 13:30 Session Opening - Chairman Jan Witte, Record Management Windsor
  • 13:45 - 14:00 Jan Witte and Tobias Setz: ETHZ / Record Management: FX Hedge Monitor
  • 14:00 - 14:15 Tobias Setz and Diethelm Würtz: ETHZ / Rmetrics: BCP Stability Filtrator
  • 14:15 - 14:30 Dominik Locher, Theta Zurich: Investment Stability Monitor
  • 14:30 - 14:45 Aleksandar Spasojevic, FAHW Winterthur: Portfolio Performance Dashboard
  • Environment

  • 15:00 Diethelm Würtz - Closing Address

Participation Fees:

CHF 1780.00 for Professionals and CHF 880.00 for Academics for the Summer Workshop, the Open Master Class is for free. Note, Rmetrics is a non-profit taking association supporting Student Internships, scientific Seminars and Workshops.


Swiss Federal Institute of Technology (ETH) Zurich and Rmetrics Association Zurich.
Conference Chair: Professor Diethelm Würtz (ETH Zurich)
Conference Office: Tobias Setz (ETH Zurich), and Viktoria Forgacs (Rmetrics Association).

Further information:

Please contact:
Download: Broschure Villa Hatt