Stefan Mittnik is a German economist, currently holds the Chair of Financial Econometrics at the Ludwig Maximilian University of Munich. He is a fellow of the Center for Financial Studies and known for his work on

financial market A financial market is a market in which people trade financial securities and derivatives at low transaction costs. Some of the securities include stocks and bonds, raw materials and precious metals, which are known in the financial market ...

and

financial risk modeling Financial risk modeling is the use of formal mathematical and econometric techniques to measure, monitor and control the market risk, credit risk, and operational risk on a firm's balance sheet, on a bank's trading book, or re a fund manager ...

as well as macroeconometrics. He is also a co-founder of the German-British

robo-advisor Robo-advisors or robo-advisers are a class of financial adviser that provide financial advice and investment management online with moderate to minimal human intervention. They provide digital financial advice based on mathematical rules or algorit ...

Scalable Capital.

Biography

Stefan Mittnik received a degree in business and engineering in 1981 from the Technical University Berlin in Germany. He continued his studies in the UK, earning an MA in development economics at the

University of Sussex , mottoeng = Be Still and Know , established = , type = Public research university , endowment = £14.4 million (2020) , budget = £319.6 million (2019–20) , chancellor = Sanjeev Bhaskar , vice_chancellor = Sasha Roseneil , ...

, and the U.S., earning his Ph.D. in economics and applied mathematics from

Washington University in St. Louis Washington University in St. Louis (WashU or WUSTL) is a private research university with its main campus in St. Louis County, and Clayton, Missouri. Founded in 1853, the university is named after George Washington. Washington University is r ...

in 1987.

Research

Mittnik's main research contributions have been in

econometrics Econometrics is the application of statistical methods to economic data in order to give empirical content to economic relationships. M. Hashem Pesaran (1987). "Econometrics," '' The New Palgrave: A Dictionary of Economics'', v. 2, p. 8 p. 8 ...

time series analysis In mathematics Mathematics is an area of knowledge that includes the topics of numbers, formulas and related structures, shapes and the spaces in which they are contained, and quantities and their changes. These topics are represented in m ...

, finance, and risk management. Influenced by Benoit Mandelbrot, who was the first to criticize financial economists for relying on the

normal distribution In statistics, a normal distribution or Gaussian distribution is a type of continuous probability distribution for a real-valued random variable. The general form of its probability density function is : f(x) = \frac e^ The parameter \mu ...

and ignoring fat tails in asset returns, Benoit Mandelbrot, The variation of certain Speculative Prices,

The Journal of Business ''The Journal of Business'' was an academic journal published by the University of Chicago Press The University of Chicago Press is the largest and one of the oldest university presses in the United States. It is operated by the University of C ...

, 196

/ref> he has developed methods for more realistic

portfolio optimization Portfolio optimization is the process of selecting the best portfolio (asset distribution), out of the set of all portfolios being considered, according to some objective. The objective typically maximizes factors such as expected return, and minimi ...

and

option pricing In finance, a price (premium) is paid or received for purchasing or selling options. This article discusses the calculation of this premium in general. For further detail, see: for discussion of the mathematics; Financial engineering for the imple ...

References

External links

Website at LMU

Deutsche Digitale Bibliothek (DDB)
{{DEFAULTSORT:Mittnik, Stefan German economists Washington University in St. Louis alumni Academic staff of the University of Kiel 1954 births Living people