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|Title||Heterogeneous Tail Multivariate Financial Asset Returns Modeling|
|Institution||University of Zurich|
|Faculty||Faculty of Business, Economics and Informatics|
|Number of Pages||61|
|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.|