Stefan Mittnik is a German economist, currently holds the Chair of Financial Econometrics at the

Ludwig Maximilian University of Munich The Ludwig Maximilian University of Munich (simply University of Munich, LMU or LMU Munich; ) is a public university, public research university in Munich, Bavaria, Germany. Originally established as the University of Ingolstadt in 1472 by Duke ...

. 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 marke ...

and financial risk modeling as well as macroeconometrics. He is also a co-founder of the German-British

robo-advisor Robo-advisors or robo-advisers are financial advisers that provide personalized financial advice and investment management online with moderate to minimal human intervention. A robo-advisor provides digital financial advice that is personalised b ...

Scalable Capital.

Biography

Stefan Mittnik received a degree in business and engineering in 1981 from

Technische Universität Berlin (TU Berlin; also known as Berlin Institute of Technology and Technical University of Berlin, although officially the name should not be translated) is a public university, public research university located in Berlin, Germany. It was the first ...

in Germany. He continued his studies in the UK, earning an MA in development economics at the

University of Sussex The University of Sussex is a public university, public research university, research university located in Falmer, East Sussex, England. It lies mostly within the city boundaries of Brighton and Hove. Its large campus site is surrounded by the ...

, and the U.S., earning his Ph.D. in economics and applied mathematics from Washington University in St. Louis in 1987.

Research

Mittnik's main research contributions have been in

econometrics Econometrics is an 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, a time series is a series of data points indexed (or listed or graphed) in time order. Most commonly, a time series is a sequence taken at successive equally spaced points in time. Thus it is a sequence of discrete-time data. ...

finance Finance refers to monetary resources and to the study and Academic discipline, discipline of money, currency, assets and Liability (financial accounting), liabilities. As a subject of study, is a field of Business administration, Business Admin ...

, and

risk management Risk management is the identification, evaluation, and prioritization of risks, followed by the minimization, monitoring, and control of the impact or probability of those risks occurring. Risks can come from various sources (i.e, Threat (sec ...

. Influenced by

Benoit Mandelbrot Benoit B. Mandelbrot (20 November 1924 – 14 October 2010) was a Polish-born French-American mathematician and polymath with broad interests in the practical sciences, especially regarding what he labeled as "the art of roughness" of phy ...

, who was the first to criticize financial economists for relying on the

normal distribution In probability theory and 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 ...

and ignoring fat tails in asset returns,

, 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. It aimed to cover "a comprehensive range of areas, including business finance and investment, money and banking, marketing, security markets, business ...

, 196

/ref> he has developed methods for more realistic financial risk modeling,

portfolio optimization Portfolio optimization is the process of selecting an optimal portfolio (asset distribution), out of a set of considered portfolios, according to some objective. The objective typically maximizes factors such as expected return, and minimizes c ...

and

option pricing In finance, a price (premium) is paid or received for purchasing or selling options. The calculation of this premium will require sophisticated mathematics. Premium components This price can be split into two components: intrinsic value, and ...

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