In case you are interested in my professional alter ego, I will update my publication list, conference contributions and working papers on this page.
JOURNAL CONTRIBUTIONS
B. Scherer, S. Kessler and J. Harries (2020), Value by Design, Journal of Portfolio Management, forthcoming
B. Scherer (2019), Alternative Risk Premia: Contagion and Portfolio Choice, under submission
B. Scherer and M. Apel (2019), Timing of ARP strategies via business cycle models, Journal of Alternative Investments (forthcoming).
B. Scherer and J. Joenvää Joenväärärä (2019), Frictional diversification costs: Evidence from a panel of fund of hedge fund holdings, Journal of Empirical Finance, 52(1): 92-111.
B. Scherer and N. Baltas (2018), Tail Risk in the Cross Section of Alternative Risk Premia, Journal of Portfolio Management, 45(2): 93-104.
B. Scherer (2018), Are You Rich Enough for A Family Office? The Journal of
Wealth Management, 20(4): 29-32.
B. Scherer and M. Faloon (2017), Individualization of Robo-Advice, The Journal of
Wealth Management, Summer 2017, 20(1): 30-36.
B. Scherer and J. Joenvää Joenväärärä (2017), A Note on the Valuation of Asset Management Firms, Journal of Financial Markets and Portfolio Management, 31(2): 181-199.
B. Scherer (2017), Algorithmic Portfolio Choice: Lessons From Panel Survey Data, A Note on the Valuation of Asset Management Firms, Journal of Financial Markets and Portfolio Management, 31(1): 49-67.
B. Scherer (2013), Synchronize Your Data, Or Get Out Of Step With Your Risks, Journal of Derivatives, 20(3): 75–84.
B. Scherer (2013), Frictional Costs of Diversification, Journal of Portfolio Management, 39(3): 7–9.
B. Scherer (2013), Optimal Number of Hedge Funds in A Fund of Funds, Journal of Hedge Funds and Derivatives, 19(2): 86-98.
B. Scherer and S. Kessler (2013), Momentum and Macroeconomic State Variables, Journal of Financial Markets and Portfolio Management, 27(2): 335–363.
B. Scherer (2012), Risk Parity in US Futures Markets, Journal of Asset Management 13(5): 155–161.
Bernd Scherer (2012), Greed Can be Dangerous to Your Sharpe, Journal of Asset Management, 13(6): 369-372.
B. Scherer (2011), Buy Side Risk Management, Journal of Asset Management, 12(2): 225-234.
B.. Scherer and S. Satchell (2011), Managing the Risk of Hedge Fund Outflows, Journal of Alternative Investments, 14(2): 18-23.
B. Scherer (2011), A Note on the Performance of the Minimum Variance Portfolio, Journal of Empirical Finance, 18(4): 652-660.
B. Scherer (2011), Market Risks in Asset Management Companies, Quantitative Finance, 12(10): 1547-1556.
B. Scherer and S. Kessler (2010), Hedge Fund Return Sensitivity to Global Liquidity, Journal of Financial Markets, 14(2): 301-322.
B. Scherer (2010), Macroeconomic Risk Management for Oil Stabilization Funds in GCC Countries, Banques & Marchés, 109: 56-60.
B. Scherer (2010), A Note on Asset Management and Market Risk, Financial Markets and Portfolio Management, 24(3): 309-320.
B. Scherer, S. Kessler and D. Judice (2010), Price Reversals in Global Equity Markets, Journal of Asset Management, 11(3): 332-345.
B. Scherer (2010), Should Asset Managers Hedge Their Fees At Risk?,
Journal of Applied Corporate Finance, 22(4): 96-102.
B. Scherer and S. Satchell (2010), Fairness in Trading – A Microeconomic Interpretation, Journal of Trading, 5(1): 40–47.
B. Scherer (2010), Portfolio Choice for Oil Based Sovereign Wealth Funds, Journal of Alternative Investments, 13(3): 24-34.
Hong J., Knight J., Satchell S. and B. Scherer (2010), Using Approximate Results For Validating Value-at-Risk, Journal of Risk Model Validation, 4(3): 1-8.
B. Scherer and S. Kessler (2009), Varying Risk Premia in International Bond
Markets, Journal of Banking and Finance, 33(8): 1351-1376.
B. Scherer (2009), A Note on Portfolio Choice For Sovereign Wealth Funds, Financial Markets and Portfolio Management, 23(3): 315-327.
B. Scherer and A. Gintschel (2008), Optimal Asset Allocation For
Sovereign Wealth Funds, Journal of Asset Management, 9(3): 215-238
B. Scherer (2007), Can Robust Optimization Build Better Portfolios?, Journal
of Asset Management, 7(3): 374-387.
B. Scherer, X. Xu (2007), Performance Based Fees and Risk Shifting with
Knockout Barrier, Journal of Investment Management, 5(3): 1–18.
B. Scherer, X. Xu (2007), The Impact of Constraints on Value Added,
Journal of Portfolio Management, 31(2): 45-54.
B. Scherer, Colm O-Cinneide and Xiaodong Xu (2006), Ensuring Fairness
When Pooling Trades, Journal of Portfolio Management, 32(4): 33-43.
B. Scherer (2006), Resampled Efficiency: Out of Sample Evidence, Journal
of Asset Management, 7(3): 170–178.
B. Scherer (2005). Theorie der Unternehmung versus Portfoliotheorie, in:
Zeitschrift für betriebliche Altersvorsorge, 60(1): 150-152
B. Scherer (2004), An Alternative Route To Performance Hypothesis
Testing, Journal of Asset Management, 5(1): 5-12.
B. Scherer (2004), Hedging of Corporate Pension Liabilities, Risk, 17(1):
86-90.
B. Scherer (2004), Resampled Efficiency and Portfolio Choice, Financial Markets and Portfoliomanagement, 18(3): 382-97.
B. Scherer (2004), Absicherung von Pensionsverbindlichkeiten, Deutsches Risk, 44-48.
B. Scherer and Thomas E. (2003), Cost Averaging: An Expensive Strategy for Maximizing Terminal Wealth, Financial Markets and Portfoliomanagement, 17(2): 186-193.
B. Scherer (2002), Harmonie durch Seperation, Deutsches Risk, 52-56.
B. Scherer (2002), Portfolio Resampling: Review and Critique, Financial
Analysts Journal, v45 (6): 98-108.
B. Scherer (2001), Core Satellite Investing: Harmony Through Seperation, Risk, 14(1): 21-25.
B. Scherer (2001), A Note on Tracking Error Funding Assumptions, Journal of Asset Management, 2(2): 235-240.
B. Scherer (2000), Preparing the Best Risk Budget, Risk, 13: 30-33.
B. Scherer (1999), Cost Averaging – Fact or Fiction, Journal of Wealth Management, 1(3): 18-21.
Ebertz T. and B. Scherer (1998), A Simple Model for Lifetime Asset Allocation, Journal of Wealth Management, 1(2): 27-30
B. Scherer (1994), Adverse Selektion in Versicherungsmärkten, WIST, 20 (4):201-205.
B. Scherer (1994), Timing deutscher Investmentfonds, Journal of Economics and Statistics, 213(2) : 187-208.
BOOK CONTRIBUTIONS
B. Scherer (2015), Volatility scaling and the Samuelson puzzle, in: Risk Based and Factor Investing, Wiley
B. Scherer (2014), Divorce Risk And Optimal Asset Allocation, in: S. Satchell (ed), Quantitative Private Wealth Management, Risk Books
B. Scherer (2012), Asset Management Incentives, in: B. Scherer and K. Winston (eds), Handbook of Quantitative Asset Management, Oxford University Press
B. Scherer (2010), The Theory of SAA for Sovereign Wealth Funds, in: Berkelaar A., Coche J. and K. Nyholm (eds), Central Bank Reserves and Sovereign Wealth Management
B. Scherer (2010), Porfolio Choice For Sovereign Wealth Funds, in: Berkelaar A., Coche J. and K. Nyholm (eds), Central Bank Reserves and Sovereign Wealth Management
B. Scherer (2009), Value at Risk Based Stop Loss Strategies, in: Gregoriou G. et al, Handbook of Value at Risk, p. 187-204, McGraw Hill
B. Scherer (2009), More Than You Ever Wanted To Know About Conditional Value at Risk – Optimization, in: S. Satchell (ed), Optimizing the Optimizers, Elsevier
B. Scherer (2008), Currency Overlays, in: Fabozzi et al., Handbook of Finance, v2, p.177-186
B. Scherer (2008), The Crack Spread, in: Gregoriou G. et al, Encyclopedia of Alternative Investments, Chapman & Hall
B. Scherer (2008), Trend Follower, in: Gregoriou G. et al, Encyclopedia of Alternative Investments, Chapman & Hall
B. Scherer (2008), Hedge Fund Replication, in: Gregoriou G. et al, Encyclopedia of Alternative Investments, Chapman & Hall
B. Scherer (2008), Weather Premium, in: Gregoriou G. et al, Encyclopedia of Alternative Investments, Chapman & Hall
B. Scherer (2008), Statistical Arbitrage, in: Gregoriou G. et al, Encyclopedia of Alternative Investments, Chapman & Hall
B. Scherer and Li He (2007), Commodities as an Asset Class, in: Fabozzi et al., Handbook of Commodities Investing, chapter 10, p.241-265
B. Scherer and A. Gintschel (2005), Erfolgskriterien Makro Hedge Fonds, Handbuch Hedge Fonds, p. 403-419, Uhlenbruch Verlag,
B. Scherer (2005), Commodities as an Asset Class: Testing for Mean Variance Spanning under Arbitrary Constraints, in: An Investor’s Guide to Commodities, Deutsche Bank, p. 35-42
B. Scherer and A. Gintschel (2004), Currency Reserve Management by Dual Benchmark Optimization, in: F. Diebold et al, Risk Management For Central Bank Foreign Reserves, p.137-150, European Central Bank
B. Scherer and T. Jasper (2003), Approximating Corporate Liabilities, in: B. Scherer, ALM Tools, p. 91-103, Risk: London
B. Scherer (2003), Rethinking Asset Management: Lessons from the Pension Crises, in: Boom and Bust, EAMA, London
B. Scherer (2002), Time Variable Investment Opportunities, in: Kleeberg/Rehkugler, Handbuch Portfoliomanagement, 2nd edition, Uhlenbruch Verlag,
B. Scherer (2002), Das Markowitz Kalkül und seine Erweiterungen, in: Investmentmodelle für das Asset Liability Modelling von Versicherungsunternehmen, Verlag Versicherungswirtschaft, Karlsruhe
B. Scherer (2002), Überlegungen zum Aufbau einer Datenbank zur Modellierung der Marktrisiken von Versicherungsanlagen, in: Investmentmodelle für das Asset Liability Modelling von Versicherungsunternehmen, Verlag Versicherungswirtschaft, Karlsruhe
B. Scherer (2002), Das Konzept der Resampled Efficiency, in: Handbuch Asset Allokation, p. 319-336, Uhlenbruch Verlag B. Scherer (2002), Der Core Satellite Ansatz, in: J. Coche and O. Stotz, Asset Allocation, Deutscher Wirtschaftsdienst, p. 83-101
B. Scherer (2000), Einfluss der Investmentrichtlinien auf die Performance von Spezialfonds, in: Kleeberg/Rehkugler, Handbuch Spezialfonds, Uhlenbruch Verlag, Bad Soden
Ebertz T. and B. Scherer (1998), Das Rahmenwerk des aktiven Portfoliomanagements, in: Kleeberg/Rehkugler, Handbuch Portfoliomanagement, Uhlenbruch Verlag, Bad Soden
Books
Martin D., Phillips T. and B. Scherer (2019), Portfolio Theory, Springer New York, forthcoming
B. Scherer, (2015), Portfolio Construction and Risk Budgeting, 5th edition, Risk: London
B. Scherer, K. Winston (2012), Handbook of Quantitative Fund Management, Oxford University Press
B. Scherer (2010), Portfolio Construction and Risk Budgeting, 4th edition, Risk: London
B. Scherer, (2008), Portfolio Management, Risk: London
B. Scherer (2006), Portfolio Construction and Risk Budgeting, 3rd edition, Risk: London
B. Scherer (2005), Liability Hedging and Portfolio Choice, Risk: London
B. Scherer and D. Martin (2005), Portfolio Optimization using Nuopt for S-plus, Springer: New York
B. Scherer (2003, Editor), ALM Tools, Risk: London
B. Scherer (2004), Portfolio Construction and Risk Budgeting, 2nd edition, Risk: London
B. Scherer (2002), Portfolio Construction and Risk Budgeting, Risk: London
SELECTED PRESS CONTRIBUTIONS
B. Scherer (2019), Hipster versus Quant: Anwendbarkeit maschinellen Lernens im Asset Management, https://www.ai-frankfurt.de/hipster-versus-quandt
B. Scherer, Börsenzeitung (19th of October 2019), Allokationen auch bei Negativzinsen beibehalten.
B. Scherer und Nick Baltsas, Börsenzeitung (17th of April 2019), Wie marktneutral sind Risikoprämien?
B. Scherer, Börsenzeitung (1st of September 2018), FAANG-fragen für die Vermögensverwaltung.
B. Scherer, Börsenzeitung (6th of March 2018), Jenseits von Beta.
B. Scherer, Financial Times (20th of May 2012), What Quants Can Learn From the AXA Rosenberg Case.
B. Scherer, Financial Times (15th of March, 2010), Take the risks you have control over.
INTERVIEWS
B. Scherer (26th of March 2013), Der Staat zwingt zum Kauf seiner Anleihen, in: Handelsblatt
B. Scherer, Shadow Assets (25th of July 2011), Pension and Investment
B. Scherer, Fees at Risk, Pension and Investment (1st of November 2010, p1)
B. Scherer, Handelsblatt (16th of June, 2010), Schützt Euer Geld vor dem Staat, in: Handelsblatt
B. Scherer, CFA Society (8th of February 2010), Asset Management for Sovereign Wealth Funds
B. Scherer, CFA Society (4th of November 2010), Fees at Risk
B. Scherer, Portfolio Construction, in: Wilmott, August 2007
B. Scherer, Verzahnung von Assets und Liabilities, Portfolio Institutionell, April 2006
B. Scherer, Gebühren haben Signalwirkung, Portfolio Institutionell, Mai 2005
BOOK REVIEWS
Rebonato R. (2015), Bayesian Nest and Asset Allocation, in: Quantitative Finance
Roncalli T. (2013), Introduction to Risk Parity and Budgeting, in: Quantitative Finance
Golub B. und L. Tilman (2000), Risk Management: Approaches for Fixed Income Markets, Wiley, in: Risk, January 2002
CONFERENCE CONTRIBUTIONS
London Quant Group, Cambridge (11th of September, 2019), Value by Design
Quantminds Vienna (14th of May 2019), Dispersion in Equity Value Strategies
Deutsche Bank, Frankfurt (28th of March 2019), Dispersion in Equity Strategies
Goldman Sachs, New York (24th of April 2018), Portfolio Construction of ARP’s, Panellist
Deutsche Bank Zurich (7th of December 2017), Challenges in multi-asset investments, Panellist
Imperial College London (9th of November 2017), Conference on Factor Investing, Discussant
World Bank, Washington (9th to 10th of November, 2016), Workshop on Sovereign Wealth Funds, Discussant
Chicago Quant Alliance, Chicago (11th of September 2014), Frictional Diversification Costs
London Quant Group, Oxford (8th of September 2014): Asset Allocation and Divorce Risk
16th Jahrestagung Portfolio Management in Frankfurt (4th of June 2013),The Ten Biggest Myth in Asset Management
Key Note Speaker zum Fakultätstag der Universität Augsburg (5. Juli 2013), Auswirkungen der Finanzkrise auf wirtschaftliche und ökonomische Freiheit.
Morningstar Conference in Wien (15. März 2012), Keynote Speaker: Mythen im Asset Management.
FMA Conference in Istanbul (8. Juni 2012), Liquidity Risk
Annual Conference on the Advances in in the Analysis of Hedge Fund Strategies at the Imperial College, London (12th of December,2012), Discussant
64th Annual CFA Conference in Edingburgh (10th of May 2011,), Fees at Risk
25th London Quant Group Conference in Oxford (14th of September 2011) The Ten Biggest Myth in Asset Management
EDHEC Risk Alternative Investment Days in London (8th of June 2010), Fat Tails and the BLACK/LITTERMAN – Model (joint work with Doug Martin and Jarrod Wilcox)
13te Jahrestagung Portfolio Management in Frankfurt (8th of June 2010), What Practitioners Need to Know About Risk Measures
13te Jahrestagung Portfolio Management in Frankfurt (9th of June 2010), Panel Discussion with Andrew Lo and Bill Fung, The Future of Asset Management
State Street European Quant Forum in London (17th of June 2010), Fees at Risk
Sovereign Wealth Fund Meeting in Baku (8th of July 2010), Resource Based Sovereign Wealth Funds
Northfield Annual Research Conference, Colorado Springs (1st of September 2010), Explaining the Minimum Variance Portfolio
Citi Global Quant Conference, Barcelona (16th of September 2010), Explaining the Minimum Variance Portfolio
London Quant Group Conference, Cambridge (14th of September 2010), Explaining the Minimum Variance Portfolio
World Commodities, London (6th of October 2010), Commodities for Pension Funds
Q Group Meeting in Scotsdale (18th of October 2010), Asset Management for Sovereign Wealth Funds
1tes DVFA Risk Management Symposium in Frankfurt (23. November 2010), Fees at Risk
5th Imperial College Hedge Fund Conference, London (9th of December 2010), Macro Momentum
IMF Conference in Washington DC, 19th February 2009, Theory of AA for Sovereign Wealth Funds.
Northfields Annual Research Conference, 3rd of June 2009 in Venice, Fairness in Trading
EFMA Conference in Milan, 24th of June 2009, Should Asset Managers Hedge Their Fees at Risk?
Northfields Annual Research Conference, 3rd of June 2009 in Venice, Fairness in Trading
London Quant Group Conference in Cambridge, “Who should hedge fees at risk?”; 15th of September 2009 Joint BIS/ECB/World Bank Public Investors Conference on Strategic Asset Allocation for Central Banks & Sovereign Wealth Funds, 24th November 2008 in Frankfurt, Theory of Optimal Asset Allocation for Sovereign Wealth Funds.
Santa Fe Institute Forum on Risk, 16th October 2008 in New York, The Evolution of Risk Measures – Theoretical Review and Application to the Credit Crunch.
2nd Conference Advances in the Analysis of Hedge Fund Strategies, Imperial College, 13th December 2007 in London, Making Money from Macro Finance (joint paper with Stephan Kessler).
Annual Conference of the Society of Actuaries, New York, 21. März 2006, How Different is Robust Optimization?
Financial Engineering Conference, University of Florida, 23. März 2006, How Different is Robust Optimization?
CFR Kolloquium Asset Management, 27. Januar 2006 in Cologne, Fundierung von Pensionszusagen (mit A. Gintschel).
8te Jahrestagung Portfoliomanagement, 7. Juni 2005 in Frankfurt Performance Based Fees And Incentives.
Risk Europe, 1. November 2005 in London, Liability Benchmarks and Credit Risk.
Society of Quantitative Analysts, 11. November 2005 in New York, Multiple Account Optimization.
European Investment Review and CFS, 20. März, 2003 in Frankfurt, Financial Economists View on Pension Fund Asset Allocation.
6te Jahrestagung Portfoliomanagement 12. May, 2003 in Frankfurt, Fair Value: A Financial Economists View.
Risk Europe, 23-24 April 2002 in Paris, Estimation Error And Portfolio Choice.
European Investment Review, 30. September, 2002 in London, Portfolio Resampling.
TEACHING
Universität Augsburg (2003, 2004), Lehrbeauftragter
Vorlesung: Fixed Income (Deutsch)
WHU Koblenz (2005, 2006), Lehrbeauftragter
Vorlesung: Asset Management (Englisch)
Birkbeck College London (2007, 2008), Honorary Visiting Professor
Vorlesung: Quantitative Asset Management (Englisch)
EDHEC Business School Nice (2010-2012), Professor of Finance
Vorlesungen für Master und Executive Studenten in London, Nizza und Singapur (Englisch)
Quantitative Asset Management, Research Methods, International Finance, Market Risk Management, Financial Management, Asset Pricing, Statistical Methods for Finance
WU Wien (2012-2015), Visiting Professor
Vorlesung: International Finance (Englisch)
Schumpeter School of Business – Universität Wuppertal (2018- ), Lehrbeauftragter
Doktorandenseminar: Empirical Asset Pricing