Contributions published at Financial Engineering (Markus Leippold)

Asset Management spiele eine zentrale Rolle bei der Finanzierung der Realwirtschaft und der Vorsorgewerke sowie im Bereich Sustainable Finance, betonte Iwan Deplazes, der Präsident des Branchenverbandes Amas, am Asset Management Day.

L'industrie des fonds de placement suisse se porte comme un charme. Les capitaux venant de l’étranger augmentent, ainsi qu’il ressort de la «journée annuelle de l’asset management» tenue vendredi. Mais elle peine à obtenir un accès au marché européen et à démontrer son rôle positif envers le climat

Viele Investoren setzen mittlerweile auf nachhaltige Anlagen. Aber oft haben sie falsche Vorstellungen darüber, wie diese Investments ihre positive Wirkung erreichen.

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This paper injects factor structure into the estimation of time-varying, large-dimensional covariance matrices of stock returns. Existing factor models struggle to model the covariance matrix of residuals in the presence of time-varying conditional heteroskedasticity in large universes. Conversely, rotation-equivariant estimators of large-dimensional time-varying covariance matrices forsake directional information embedded in market-wide risk factors. We introduce a new covariance matrix estimator that blends factor structure with time-varying conditional heteroskedasticity of residuals in large dimensions up to 1000 stocks. It displays superior all-around performance on historical data against a variety of state-of-the-art competitors, including static factor models, exogenous factor models, sparsity-based models, and structure-free dynamic models. This new estimator can be used to deliver more efficient portfolio selection and detection of anomalies in the cross-section of stock returns.

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This thesis tries to explain whether cryptocurrencies form a new asset class and if the inclusion of cryptocurrencies enhances a portfolio of a globally oriented US Dollar investor. It is found that cryptocurrencies form a new asset class. A correlation analysis shows low correlation of cryptocurrencies and therefore indicates diversification benefits. Mean-variance spanning tests confirm the diversification benefit and the step-down procedure explains the cause (risk, return, or both). At last, a Markowitz-optimization shows the changes in risk, return, and weights of the minimum-variance and the tangency portfolio. Concluding that a small inclusion of cryptocurrencies enhances the portfolio.

I show that idiosyncratic volatility is the major part of the total volatility of a firm. The idiosyncratic volatility of stocks share a lot of co-movement amongst each other. Shocks to the common idiosyncratic volatility are priced, stocks in the lowest beta portfolio earn on average 4.10% more than the one in the highest beta portfolio. Furthermore, I show that these results are not driven by microstructure bias.

This paper investigates the influence of macroeconomic factors in the German stock market using the Arbitrage Pricing Theory (APT) model. We ran time-series regressions using a set of factors already present in past studies, expanding it with variables potentially relevant to the German market. Our procedure allows us to examine the robustness of the theory in the German stock market and to compare the results with those of other countries. Our findings suggest that there are several factors priced into the industry sorted portfolios, of which three are significant in almost all portfolios: risk premia, term structure, and market index.

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