Research

The research interests of the QBA team are the development and application of quantitative solution methods to problems in business, economics, and finance. Traditionally, these activities have focused on using methods from numerical mathematics and operations research to solving complex economic models. This work includes contributions to asset−pricing, climate change economics, portfolio optimization, and principal−agent theory.

More recently, the QBA team has been extending its research gamut to include work in data science. Team members have been working on statistical problems involving big data with applications in a variety of business areas.

The aim of the QBA team is to create high quality research output. Team members have successfully published research papers in several renowned journals including Econometrica, The Journal of Finance, Review of Financial Studies, and Operations Research.

The research of the QBA team is internationally orientated. The team has a productive interaction with a global research network that includes some of the leading researcher in computational economics. Hosting programs such as the Zurich Initiative on Computational Economics (ZICE) on a regular basis ensures a stabilization and growth of this collaborative community.

Publications / Working Papers

ZORA Publication List

Publications

2022
- Dissertation
  - Candrian, Cindy Michelle. Competing in the age of AI: Understanding and leveraging the human factor. 2022, University of Zurich, Wirtschaftswissenschaftliche Fakultät.
2021
- Journal Article
  - Thomann, Andreas (2021). Multi-asset scenario building for trend-following trading strategies. Annals of Operations Research, 299(1-2):293-315.
2020
- Journal Article
  - Miftakhova, Alena; Judd, Kenneth L; Lontzek, Thomas S; Schmedders, Karl (2020). Statistical approximation of high-dimensional climate models. Journal of Econometrics, 214(1):67-80.
  - Mader, Clemens; Cas, Johann; Scherer, Anne (2020). Wie mit künstlicher Intelligenz umgehen? Die Gesellschaft begegnet der Digitalisierung teilweise mit tiefem Misstrauen. Um die Chancen der künstlichen Intelligenz für die Gesellschaft nutzbar zu machen, muss man diese Skepsis ernst nehmen.. Die Volkswirtschaft, 2020(8-9):53-55.
- Book Section
  - Scherer, Anne; Wenzel, Claudia (2020). Geteilte Verantwortung. In: Fieke, Nadine. Wert von Daten. Zürich: Stiftung Mercator Schweiz, 55-57.
2019
- Journal Article
  - Brunner, Isabelle; Schmedders, Karl; Wolfensberger, Aline; Schreiber, Peter W; Kuster, Stefan P (2019). The economic and public health impact of influenza vaccinations: contributions of Swiss pharmacies in the 2016/17 and 2017/18 influenza seasons and implications for vaccination policy. Swiss Medical Weekly, 2019(149):w20161.
  - Brunner, Isabelle; Schmedders, Karl; Wolfensberger, Aline; Schreiber, Peter W; Kuster, Stefan P (2019). The Economic and Public Health Impact of Influenza Vaccinations in Swiss Pharmacies in the 2016/17 and 2017/18 Influenza Seasons. Swiss Medical Weekly, (149):w20161.
  - Thomann, Andreas (2019). Factor-based tactical bond allocation and interest rate risk management. Journal of Investment Strategies, 8(3):49-79.
  - Parra Moyano, Jose; Ross, Omri; Thoroddsen, Tryggvi (2019). Optimized and dynamic KYC system based on blockchain technology. International Journal of Blockchains and Cryptocurrencies, 1(1):1.
- Book Section
  - Hummel, Katrin; Laun, Ute; Krauss, Annette (2019). Integration ökologischer und sozialer Aspekte in das Kerngeschäft Europäischer Banken. In: Eberle, Reto; Oesch, David; Pfaff, Dieter. Jahrbuch für Finanz- und Rechnungswesen 2019. Zürich: WEKA, 247-274.
- Working Paper
  - Parra Moyano, Jose; Schmedders, Karl; Reich, Gregor Philipp (2019). Urns filled with bitcoins: new perspectives on proof-of-work mining. SSRN 3399742, University of Zurich.
  - Parra Moyano, Jose; Schmedders, Karl (2019). The liberalization of data: a welfare-enhancing information system. Working paper series / Department of Economics 2, University of Zurich.
  - Müller, Philipp; Reich, Gregor Philipp (2019). Structural Estimation Using Parametric Mathematical Programming with Equilibrium Constraints and Homotopy Path Continuation. Econometrics: Econometric & Statistical Methods - General eJournal - CMBO 12, University of Zurich.
2018
- Journal Article
  - Reich, Gregor (2018). Divide and Conquer: Recursive Likelihood Function Integration for Hidden Markov Models with Continuous Latent Variables. Operations Research, 66(6):1457-1759.
  - Pohl, Walter; Schmedders, Karl; Wilms, Ole (2018). Higher order effects in asset pricing models with long-run risks. Journal of Finance, 73(3):1061-1111.
  - Paarsch, Harry J; Schmedders, Karl (2018). Introduction: Einführung. Jahrbücher für Nationalökonomie und Statistik = Journal of Economics and Statistics, 238(3-4):183-187.
- Working Paper
  - Arthur, Macherel; Treccani, Adrien; Parra Moyano, Jose (2018). A 9-dimension grid for the evaluation of central bank digital currencies. Working Paper 1, University of Zurich.
2017
- Journal Article
  - Parra Moyano, José; Ross, Omri (2017). KYC Optimization Using Distributed Ledger Technology. Business & Information Systems Engineering, 59(6):411-423.
  - Parra Moyano, José (2017). On the Continuity and Origin of Identity in Distributed Ledgers: Learning from Russell's Paradox. Metaphilosophy, 48(5):687-697.
  - Rosenbaum, Mark S; Kelleher, Carol; Friman, Margareta; Kristensson, Per; Scherer, Anne (2017). Re-placing place in marketing: A resource-exchange place perspective. Journal of Business Research, 79:281-289.
- Published Research Report
  - Schmedders, Karl; Densing, Martin; Panos, Evangelos (2017). Oligopolistic capacity expansion with subse- quent market bidding under transmission constraints (OCESM). Schweiz: ARAMIS.
- Working Paper
  - Egger, Andy; Kummer, Vanessa; Meusel, Maik; Schmedders, Karl (2017). Increasing the Value of Search Subscriptions for Housing Market Analyses. SSRN 3061979 WP, University of Zurich.
2016
- Journal Article
  - Pohl, Walt (2016). External habit: Anything goes. Economics Letters, 146:140-142.
  - Ackermann, Fabian; Pohl, Walt; Schmedders, Karl (2016). Optimal and Naive Diversification in Currency Markets. Management Science, 63(10):3347-3360.
  - Schmedders, Karl; Wilms, Ole; Pohl, Walter (2016). Asset prices with non-permanent shocks to consumption. Journal of Economic Dynamics and Control, 69:152-178.
  - Cai, Yongyang; Lenton, Timothy M; Lontzek, Thomas S (2016). Risk of multiple interacting tipping points should encourage rapid CO2 emission reduction. Nature Climate Change, 6(5):520-525.
  - Cai, Yongyang; Judd, Kenneth L; Lontzek, Thomas S; Michelangeli, Valentina; Su, Che-Lin (2016). A nonlinear programming method for dynamic programming. Macroeconomic Dynamics:1-26.
  - Lontzek, Thomas S.; Narita, Daiju; Wilms, Ole (2016). Stochastic Integrated Assessment of Ecosystem Tipping Risk. Environmental and Resource Economics, 65(3):573-598.
  - Gfrerer, Helmut; Klatte, Diethard (2016). Lipschitz and Hölder stability of optimization problems and generalized equations. Mathematical Programming, 158(1-2):35-75.
- Dissertation
  - Werner, Maximilian. Three Essays in Computational Methods Macro Financial Modeling. 2016, University of Zurich, Faculty of Economics.
- Working Paper
  - Miftakhova, Alena; Judd, Kenneth L; Lontzek, Thomas S; Schmedders, Karl (2016). Statistical approximation of high-dimensional climate models. Swiss Finance Institute Research Paper 16-76, University of Zurich.
2015
- Journal Article
  - Klatte, Diethard (2015). Book review: Implicit Functions and Solution Mappings:A View from Variational Analysis. Second Edition. By A. L. Dontchev and R. T. Rockafellar. Springer, New York, 2014. SIAM Review, 57(2):308-310.
  - Renner, Philipp; Schmedders, Karl (2015). A polynomial optimization approach to principal-agent problems. Econometrica, 83(2):729-769.
  - Brumm, Johannes; Grill, Michael; Kübler, Felix; Schmedders, Karl (2015). Margin regulation and volatility. Journal of Monetary Economics, 75:54-68.
  - Lontzek, Thomas S; Cai, Yongyang; Judd, Kenneth L; Lenton, Timothy M (2015). Stochastic integrated assessment of climate tipping points indicates the need for strict climate policy. Nature Climate Change, 5(5):441-444.
  - Cai, Yongyang; Judd, Kenneth L; Lenton, Timothy M; Lontzek, Thomas S; Narita, Daiju (2015). Environmental tipping points significantly affect the cost−benefit assessment of climate policies. Proceedings of the National Academy of Sciences of the United States of America, 112(15):4606-4611.
  - Klatte, Diethard; Kummer, Bernd (2015). On calmness of the argmin mapping in parametric optimization problems. Journal of Optimization Theory and Applications, 165(3):708-719.
- Dissertation
  - Reich, Gregor Philipp. Three essays in computational economics. 2015, University of Zurich, Faculty of Economics.
- Working Paper
  - Schmedders, Karl; Pohl, Walter Edward; Wilms, Ole (2015). Higher-order dynamics in asset-pricing models with recursive preferences. Swiss Finance Inst 14-68, University of Zurich.
2014
- Edited Scientific Work
  - Edited by: Schmedders, Karl; Judd, Kenneth L (2014). Oxford, UK: North-Holland - Elsevier. Handbooks in Economics - Computational Economics.
- Monograph
  - Prékopa, András; Mayer, János; Strazicky, Beáta; Deák, István; Hoffer, János; Németh, Ágoston; Potecz, Béla (2014). Scheduling of Power Generation. Cham: Springer International Publishing.
2013
- Journal Article
  - Klatte, Diethard; Luderer, Bernd (2013). Parametrische Optimierungsprobleme mit Nebenbedingungen. Das Wirtschaftsstudium, 42(2):241-246.
  - Klatte, Diethard; Kummer, Bernd (2013). Aubin property and uniqueness of solutions in cone constrained optimization. Mathematical Methods of Operations Research, 77(3):291-304.
- Working Paper
  - Ackermann, Fabian; Pohl, Walter; Schmedders, Karl (2013). Long-run UIP holds even in the short run. Swiss Finance Institute Research Paper 13-31, University of Zurich.
  - Böhme, Philipp; Pohl, Walter; Schmedders, Karl (2013). The perils of performance measurement in the German mutual-fund industry. Swiss Finance Institute Research Paper 13-30, University of Zurich.
  - Reich, Gregor Philipp (2013). Divide and Conquer: A New Approach to Dynamic Discrete Choice with Serial Correlation. SSRN, University of Zurich.
  - Renner, Philipp Johannes; Schmedders, Karl (2013). A polynomial optimization approach to principal-agent problems. Swiss Finance Institute Research Paper 12-35, University of Zurich.
  - Brumm, Johannes; Grill, Michael; Kübler, Felix; Schmedders, Karl (2013). Margin Regulation and Volatility. Swiss Finance Institute Research Paper 13-59, University of Zurich.
  - Mayer, János; Hens, Thorsten (2013). Theory matters for financial advice!. NCCR FINRISK Working Paper 866, University of Zurich.
2012
- Journal Article
  - Schmedders, Karl; Kübler, Felix (2012). Financial innovation and asset price volatility. American Economic Review, 102(3):147-151.

Research

ZORA Publication List

Publications

2022

Dissertation

2021

Journal Article

2020

Journal Article

Book Section

2019

Journal Article

Book Section

Working Paper

2018

Journal Article

Working Paper

2017

Journal Article

Published Research Report

Working Paper

2016

Journal Article

Dissertation

Working Paper

2015

Journal Article

Dissertation

Working Paper

2014

Edited Scientific Work

Monograph

2013

Journal Article

Working Paper

2012

Journal Article

Pagination