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Contribution Details
| Type | Master's Thesis |
| Scope | Discipline-based scholarship |
| Title | Heterogeneous Tail Multivariate Financial Asset Returns Modeling |
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| Institution | University of Zurich |
| Faculty | Faculty of Business, Economics and Informatics |
| Number of Pages | 61 |
| Date | 2022 |
| Abstract Text | A multivariate heterogeneous tail distribution for asset return modelling will be presented, together with several approaches to construct a portfolio, based solely on the estimated model. The focus lies on computational efficiency and feasibility of such portfolio constructions. As an optimization criteria, the left-tail risk measure of Expected Shortfall will be used, where the return-risk-ratio is being maximized, or — similar to Markowitz — risk under a predefined expected return is being minimized. A backtesting exercise of the proposed portfolio optimization will be conducted for the period of 2016-2020, showing that the proposed approaches have a promising return structure. |
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