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Contribution Details
| Type | Bachelor's Thesis |
| Scope | Discipline-based scholarship |
| Title | Jump Induced Tactical Portfolio Allocation |
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| Institution | University of Zurich |
| Faculty | Faculty of Business, Economics and Informatics |
| Number of Pages | 66 |
| Date | 2022 |
| Abstract Text | Unexpected and abnormal discontinuities in price evolution have been acknowledged as a substantial component of price time series generated on financial markets. This thesis aims to identify these extreme movements and define them as trigger points for tactically induced portfolio optimization. For this purpose, a high-frequency data set was examined for price jumps using different detection procedures. The categorized price jumps were set as points in time at which a portfolio underwent rebalancing processes. The findings indicate that price jumps are prevalent, but their occurrence does not qualify for determining rebalancing points in time. |
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