{"id":197,"date":"2017-10-05T18:28:05","date_gmt":"2017-10-05T16:28:05","guid":{"rendered":"https:\/\/www.hsu-hh.de\/stochastik\/?page_id=197"},"modified":"2026-03-19T12:32:09","modified_gmt":"2026-03-19T11:32:09","slug":"univ-prof-dr-gabriel-frahm","status":"publish","type":"page","link":"https:\/\/www.hsu-hh.de\/stochastik\/univ-prof-dr-gabriel-frahm","title":{"rendered":"Univ.-Prof. Dr. Gabriel Frahm"},"content":{"rendered":"<div class=\"ansprechparter-container\">\n<div class=\"row ansprechpartner-item ansprechparter-header\">\n<div class=\"col-md-4 col-lg-3 col-xs-4 ansprechpartner-item floatright img-circle center-block\" style=\"margin-bottom: 30px\">\n<div class=\"img-responsive-wrapper\"><img loading=\"lazy\" decoding=\"async\" class=\"alignright wp-image-138\" src=\"https:\/\/www.hsu-hh.de\/stochastik\/wp-content\/uploads\/sites\/772\/2025\/09\/Gabriel.jpg\" alt=\"Prof. Dr. Gabiel Frahm\" width=\"200\" height=\"200\" \/><\/div>\n<\/div>\n<div class=\"col-md-12 col-lg-3 col-xs-12 ansprechpartner-item kontakt floatright\" style=\"margin-bottom: 30px\">\n<div class=\"row\">\n<div class=\"col-xs-12 col-sm-6 col-lg-12\">\n<div class=\"row\">\n<div class=\"col-xs-12 col-lg-4 row-text bold\">Raum:<\/div>\n<div class=\"col-xs-12 col-lg-8 row-text\">1396<\/div>\n<\/div>\n<\/div>\n<div class=\"col-xs-12 col-sm-6 col-lg-12\">\n<div class=\"row\">\n<div class=\"col-xs-12 col-lg-4 row-text bold\">Telefon:<\/div>\n<div class=\"col-xs-12 col-lg-8 row-text\">+49 (0)40 6541-2791<\/div>\n<\/div>\n<\/div>\n<div class=\"col-xs-12 col-sm-6 col-lg-12\">\n<div class=\"row\">\n<div class=\"col-xs-12 col-lg-4 row-text bold\">Fax:<\/div>\n<div class=\"col-xs-12 col-lg-8 row-text\">+49 (0)40 6541-2023<\/div>\n<\/div>\n<\/div>\n<div class=\"col-xs-12 col-sm-6 col-lg-12\">\n<div class=\"row\">\n<div class=\"col-xs-12 col-lg-4 row-text bold\">E-Mail:<\/div>\n<div class=\"col-xs-12 col-lg-8 row-text\"><a href=\"mailto:frahm@hsu-hh.de\" rel='nofollow'>frahm@hsu-hh.de<\/a><\/div>\n<\/div>\n<\/div>\n<\/div>\n<\/div>\n<div class=\"col-md-6 col-lg-3 col-xs-12 ansprechpartner-item anschrift floatright\">\n<div class=\"row-headline\">Besucheranschrift:<\/div>\n<div class=\"row-text\">Helmut-Schmidt-Universit\u00e4t<\/div>\n<div class=\"row-text\">Geb\u00e4ude H1<\/div>\n<div class=\"row-text\">Holstenhofweg 85<\/div>\n<div class=\"row-text\">22043 Hamburg<\/div>\n<\/div>\n<div class=\"col-md-6 col-lg-3 col-xs-12 ansprechpartner-item anschrift floatright\">\n<div class=\"row-headline\">Postanschrift:<\/div>\n<div class=\"row-text\">Helmut-Schmidt-Universit\u00e4t<\/div>\n<div class=\"row-text\">Fakult\u00e4t f\u00fcr Wirtschafts- und Sozialwissenschaften<\/div>\n<div class=\"row-text\">22008 Hamburg<\/div>\n<\/div>\n<\/div>\n<\/div>\n<div class=\"clearfix\"><\/div>\n<h2>Werdegang:<\/h2>\n<p>Gabriel Frahm absolvierte 1999 ein Studium der Betriebswirtschaftslehre und war als wissenschaftlicher Mitarbeiter sowie als\u00a0akademischer Rat auf Zeit an der Universit\u00e4t zu K\u00f6ln besch\u00e4ftigt. Dar\u00fcber\u00a0hinaus war er als Forscher in diversen Forschungseinrichtungen sowie im Gesch\u00e4ftsbereich Mathematik\/OR der WestLB\u00a0in D\u00fcsseldorf t\u00e4tig. Er promovierte sich 2004 im Bereich Statistik und erhielt 2009 die Venia Legendi in Statistik und \u00d6konometrie an der Universit\u00e4t zu K\u00f6ln. Seit 2012 ist er Inhaber des Lehrstuhls\u00a0f\u00fcr Angewandte Stochastik und Risikomanagement.<\/p>\n<h2>Forschungsschwerpunkte:<\/h2>\n<ul>\n<li>Kapitalmarkttheorie und Portfoliooptimierung<\/li>\n<li>Finanzmathematik und -\u00f6konometrie<\/li>\n<li>Spiel- und Entscheidungstheorie<\/li>\n<li>Copulas und Extremwerttheorie<\/li>\n<li>Robuste Kovarianzmatrizen<\/li>\n<li>Random Matrix Theory<\/li>\n<li>Missing-Data Analysis<\/li>\n<\/ul>\n<h2>Preise\/Auszeichnungen:<\/h2>\n<ul>\n<li>Sechs Publikationspreise der Universit\u00e4t zu K\u00f6ln.<\/li>\n<li>Beste Gesamtbeurteilung von den Studenten der Wirtschafts- und Sozialwissenschaftlichen Fakult\u00e4t der Universit\u00e4t zu K\u00f6ln unter allen Dozenten des Fachbereichs Statistik.<\/li>\n<\/ul>\n<h2>Pr\u00e4mierte Abschlussarbeiten:<\/h2>\n<ul>\n<li>Phillip Strohbach: \u201ePreisbildung und Bewertung unter dem realen Wahrscheinlichkeitsma\u00df\u201c, Masterarbeit, B\u00f6ttcher-Preis, 2022.<\/li>\n<li>Ferdinand Huber: \u201eAlternative Strategien des Growth-Optimal Portfolio\u201c, Masterarbeit, B\u00f6ttcher-Preis, 2019.<\/li>\n<li>Eric Thiele: \u201eMethoden zur Quantifizierung von Kreditrisiken\u201c, Bachelorarbeit, F\u00f6rderpreis des Kreises Mars &amp; Merkur, 2012.<\/li>\n<\/ul>\n<h2>Publikationen:<\/h2>\n<h3>Monografien:<\/h3>\n<ul>\n<li>Frahm, G. (2026): Rational Choice and Strategic Conflict: The Subjectivist Approach to Game and Decision Theory, 2nd edition, De Gruyter.<\/li>\n<li>Frahm, G. (2021): Enterprise Risk Management: Das Risikomanagement einer wertorientierten Unternehmenssteuerung, Springer.<\/li>\n<li>Frahm, G. (2019): Rational Choice and Strategic Conflict: The Subjectivistic Approach to Game and Decision Theory, De Gruyter.<\/li>\n<li>Frahm, G. (2008): Advanced Methods of Multivariate Financial Data Analysis, <a href=\"https:\/\/www.hsu-hh.de\/stochastik\/wp-content\/uploads\/sites\/772\/2018\/02\/Habilschrift.pdf\">Habilitationsschrift<\/a>, Universit\u00e4t zu K\u00f6ln.<\/li>\n<li>Frahm, G. (2004): Generalized Elliptical Distributions: Theory and Applications, <a href=\"https:\/\/www.hsu-hh.de\/stochastik\/wp-content\/uploads\/sites\/772\/2018\/02\/Dissertation.pdf\">Dissertation<\/a>, Universit\u00e4t zu K\u00f6ln.<\/li>\n<li>Frahm, G. (1999): Ermittlung des Value-at-Risk von Finanzportefeuilles mit Methoden der Extremwerttheorie, <a href=\"https:\/\/www.hsu-hh.de\/stochastik\/wp-content\/uploads\/sites\/772\/2018\/02\/Diplomarbeit.pdf\">Diplomarbeit<\/a>, Universit\u00e4t zu K\u00f6ln.<\/li>\n<\/ul>\n<h3>Software:<\/h3>\n<ul>\n<li>Riemer, K., Frahm, G., Nordhausen, K., and Radojicic, U. (2021): \u201eshapeNA, M-Estimation of Shape for Data with Missing Values\u201c, <i>The Comprehensive R Archive Network<\/i>, <a href=\"https:\/\/cran.r-project.org\/package=shapeNA\" rel='nofollow'>https:\/\/cran.r-project.org\/package=shapeNA<\/a>.<\/li>\n<\/ul>\n<h3>Aufs\u00e4tze:<\/h3>\n<ul>\n<li>Frahm, G. et al. (2025): \u201eBank Monitoring, Agency Costs, and Capital Structure Dynamics: European Evidence\u201c, <i> Review of Quantitative Finance and Accounting<\/i> <strong>65<\/strong>, 1643\u20131670.<\/li>\n<li>Frahm, G. und Hartmann, L. (2024): \u201eSome Notes on Savage&#8217;s Representation Theorem\u201c, <i>Theory and Decision<\/i>, DOI: 0.1007\/s11238-024-10003-1.<\/li>\n<li>Frahm, G. und Hartmann, L. (2023): \u201eErratum to &#8218;Savage&#8217;s P3 is Redundant&#8217;\u201c, <i>Econometrica<\/i> <b>91<\/b>, 33, DOI: 10.3982\/ECTA21641.<\/li>\n<li>Frahm, G., Gl\u00f6er, C. und K\u00fcster Simic, A. (2023): \u201eThe Interplay between Institutional Investors, Debt and Firm Value: Evidence from France, Germany and the UK\u201c, Multinational Finance Journal <strong>27<\/strong>, 3\u201349.<\/li>\n<li>Homburg, A. et al. (2023): \u201ePMF Forecasting for Count Processes: A Comprehensive Performance Analysis\u201c, Theory and Applications of Time Series Analysis and Forecasting (ITISE 2021), 79-90, Springer.<\/li>\n<li>Taskinen, S. et al. (2022): \u201eA Review of Tyler&#8217;s Shape Matrix and Its Extensions\u201c, <i>Robust and Multivariate Statistical Methods<\/i> (Festschrift zu Ehren von David E. Tyler), 23-41, Springer.<\/li>\n<li>Frahm, G. (2022): \u201ePower M-Estimators for Location and Scatter\u201c, <i>Robust and Multivariate Statistical Methods<\/i> (Festschrift zu Ehren von David E. Tyler), 157-177, Springer.<\/li>\n<li>Homburg, A. et al. (2021): \u201eAnalysis and Forecasting of Risk in Count Processes\u201c, <i>Journal of Risk and Financial Management<\/i> <b>14<\/b>, DOI: 10.3390\/jrfm14040182.<\/li>\n<li>Wei\u00df, C. et al. (2021): \u201eEfficient Accounting for Estimation Uncertainty in Coherent Forecasting of Count Processes\u201c, <i>Journal of Applied Statistics<\/i> <b>49<\/b>, 1957-1978.<\/li>\n<li>Homburg, A. et al. (2020): \u201eA Performance Analysis of Prediction Intervals for Count Time Series\u201c, <i>Journal of Forecasting<\/i> <b>40<\/b>, DOI: 10.1002\/for.2729.<\/li>\n<li>Frahm, G. (2020): \u201eStatistical Properties of Estimators for the Log-Optimal Portfolio\u201c, <i>Mathematical Methods of Operations Research<\/i> <b>92<\/b>, 1-32.<\/li>\n<li>Frahm, G., Nordhausen, K. und Oja, H. (2020): \u201eM-Estimation with Incomplete and Dependent Multivariate Data\u201c, <i>Journal of Multivariate Analysis<\/i> <b>176<\/b>, DOI: 10.1016\/j.jmva.2019.104569.<\/li>\n<li>Homburg, A. et al. (2019): \u201eEvaluating Approximate Point Forecasting of Count Processes\u201c, <i>Econometrics<\/i> <b>7<\/b>, Special Issue: \u201eDiscrete-Valued Time Series: Modelling, Estimation and Forecasting\u201c, DOI: 10.3390\/econometrics7030030.<\/li>\n<li>Frahm, G., Jonen, A. und Sch\u00fcssler, R. (2019): \u201eThe Fundamental Theorems of Asset Pricing and the Closed-End Fund Puzzle\u201c, <i>International Journal of Theoretical and Applied Finance<\/i> <b>22<\/b>, DOI: 10.1142\/S0219024919500250.<\/li>\n<li>Frahm, G. und Huber, F. (2019): \u201eThe Outperformance Probability of Mutual Funds\u201c, <i>Journal of Risk and Financial Management<\/i> <b>12<\/b>, Special Issue: \u201eRisk Analysis and Portfolio Modelling\u201c, DOI: 10.3390\/jrfm12030108.<\/li>\n<li>Frahm, G. (2018): \u201eArbitrage Pricing Theory in Ergodic Markets\u201c, <i>International Journal of Theoretical and Applied Finance<\/i> <b>21<\/b>, DOI: 10.1142\/S021902491850036X.<\/li>\n<li>Frahm, G. (2018): \u201eHow Often Is the Financial Market Going to Collapse?\u201c, <i>Quantitative Finance and Economics<\/i> <b>2<\/b>, 590-614.<\/li>\n<li>Frahm, G. (2018): \u201eCorrigendum to \u201cPricing and Valuation under the Real-World Measure\u201d\u201c, <i>International Journal of Theoretical and Applied Finance<\/i> <b>21<\/b>, DOI: 10.1142\/S0219024918920012.<\/li>\n<li>Frahm, G. (2018): \u201eAn Intersection-Union Test for the Sharpe Ratio\u201c, <i>Risks<\/i> <b>6<\/b>, Special Issue: \u201eRisk vs Performance Measures: Robustness, Elicitability and Time-Dependency\u201c, DOI: 10.3390\/risks6020040.<\/li>\n<li>Frahm, G. (2016): \u201ePricing and Valuation under the Real-World Measure\u201c, <i>International Journal of Theoretical and Applied Finance<\/i> <b>19<\/b>, DOI: 10.1142\/S0219024916500060.<\/li>\n<li>Frahm, G. und Jaekel, U. (2015): \u201eTyler&#8217;s M-Estimator in High-Dimensional Financial-Data Analysis\u201c, <i>Modern Nonparametric, Robust and Multivariate Methods<\/i> (Festschrift zu Ehren von Hannu Oja), 289-305, Springer.<\/li>\n<li>Frahm, G. (2015): \u201eA Theoretical Foundation of Portfolio Resampling\u201c, <i>Theory and Decision<\/i> <b>79<\/b>, 107-132.<\/li>\n<li>Dobric, J., Frahm, G. und Schmid, F. (2013): \u201eDependence of Stock Returns in Bull and Bear Markets\u201c, <i>Dependence Modeling<\/i> <b>1<\/b>, 94-110, DOI:10.2478\/demo-2013-0005.<\/li>\n<li>Frahm, G. und Wiechers, C. (2013): \u201eA Diversification Measure for Portfolios of Risky Assets\u201c, Advances in Financial Risk Management, 312-330, Palgrave Macmillan.<\/li>\n<li>Frahm, G., Wickern, T. und Wiechers, C. (2012): \u201eMultiple Tests for the Performance of Different Investment Strategies\u201c, <i>Advances in Statistical Analysis<\/i> <b>96<\/b>, 343-383.<\/li>\n<li>Frahm, G. und Glombek, K. (2012): \u201eSemicircle Law of Tyler&#8217;s M-Estimator for Scatter\u201c, <i>Statistics and Probability Letters<\/i> <b>82<\/b>, 959-964.<\/li>\n<li>Frahm, G. und Memmel, C. (2010): \u201eDominating Estimators for Minimum-Variance Portfolios\u201c, <i>Journal of Econometrics<\/i> <b>159<\/b>, 289-302.<\/li>\n<li>Frahm, G. und Jaekel, U. (2010): \u201eA Generalization of Tyler\u2019s M-Estimators to the Case of Incomplete Data\u201c, <i>Computational Statistics and Data Analysis<\/i> <b>54<\/b>, 374-393.<\/li>\n<li>Frahm, G. (2009): \u201eAsymptotic Distributions of Robust Shape Matrices and Scales\u201c, <i>Journal of Multivariate Analysis<\/i> <b>100<\/b>, 1329-1337.<\/li>\n<li>Bade, A., Frahm, G. und Jaekel, U. (2009): \u201eA General Approach to Bayesian Portfolio Optimization\u201c, <i>Mathematical Methods of Operations Research<\/i> <b>70<\/b>, 337-356.<\/li>\n<li>Frahm, G. (2008): \u201eLinear Statistical Inference for Global and Local Minimum Variance Portfolios\u201c, <i>Statistical Papers<\/i> <b>51<\/b>, 789-812.<\/li>\n<li>Frahm, G. (2006): \u201eOn the Extremal Dependence Coefficient of Multivariate Distributions\u201c, <i>Statistics and Probability Letters<\/i> <b>76<\/b>, 1470-1481.<\/li>\n<li>Frahm, G., Junker, M. und Schmidt, R. (2005): \u201eEstimating the Tail-Dependence Coefficient: Properties and Pitfalls\u201c, <i>Insurance: Mathematics and Economics<\/i> <b>37<\/b>, 80-100.<\/li>\n<li>Frahm, G., Junker, M. und Szimayer, A. (2003): \u201eElliptical Copulas: Applicability and Limitations\u201c, <i>Statistics and Probability Letters<\/i> <b>63<\/b>, 275-286.<\/li>\n<\/ul>\n<h2>Patent:<\/h2>\n<p>US-Patentanmeldung, Publ.-Nr.: US 2007\/0288397 A1 (13.12.2007), angemeldet von NEC Europe Ltd., Frahm, G. und Jaekel, U.: Methodology for Robust Portfolio Evaluation and Optimization Taking Account of Estimation Errors.<\/p>\n<h2>Hobbys:<\/h2>\n<ul>\n<li>Mathematik<\/li>\n<li>Musik<\/li>\n<li>Sport<\/li>\n<\/ul>\n","protected":false},"excerpt":{"rendered":"<p>Raum: 1396 Telefon: +49 (0)40 6541-2791 Fax: +49 (0)40 6541-2023 E-Mail: frahm@hsu-hh.de Besucheranschrift: Helmut-Schmidt-Universit\u00e4t Geb\u00e4ude H1 Holstenhofweg 85 22043 Hamburg Postanschrift: Helmut-Schmidt-Universit\u00e4t Fakult\u00e4t f\u00fcr Wirtschafts- und Sozialwissenschaften 22008 Hamburg Werdegang: [&hellip;]<\/p>\n","protected":false},"author":103,"featured_media":0,"parent":0,"menu_order":0,"comment_status":"closed","ping_status":"closed","template":"","meta":{"footnotes":""},"categories":[38],"tags":[],"class_list":["post-197","page","type-page","status-publish","hentry","category-team"],"_links":{"self":[{"href":"https:\/\/www.hsu-hh.de\/stochastik\/wp-json\/wp\/v2\/pages\/197","targetHints":{"allow":["GET"]}}],"collection":[{"href":"https:\/\/www.hsu-hh.de\/stochastik\/wp-json\/wp\/v2\/pages"}],"about":[{"href":"https:\/\/www.hsu-hh.de\/stochastik\/wp-json\/wp\/v2\/types\/page"}],"author":[{"embeddable":true,"href":"https:\/\/www.hsu-hh.de\/stochastik\/wp-json\/wp\/v2\/users\/103"}],"replies":[{"embeddable":true,"href":"https:\/\/www.hsu-hh.de\/stochastik\/wp-json\/wp\/v2\/comments?post=197"}],"version-history":[{"count":155,"href":"https:\/\/www.hsu-hh.de\/stochastik\/wp-json\/wp\/v2\/pages\/197\/revisions"}],"predecessor-version":[{"id":2676,"href":"https:\/\/www.hsu-hh.de\/stochastik\/wp-json\/wp\/v2\/pages\/197\/revisions\/2676"}],"wp:attachment":[{"href":"https:\/\/www.hsu-hh.de\/stochastik\/wp-json\/wp\/v2\/media?parent=197"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/www.hsu-hh.de\/stochastik\/wp-json\/wp\/v2\/categories?post=197"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/www.hsu-hh.de\/stochastik\/wp-json\/wp\/v2\/tags?post=197"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}