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Contribution Details

Type Master's Thesis
Scope Discipline-based scholarship
Title Heterogeneous Tail Multivariate Financial Asset Returns Modeling
Organization Unit
  • Fabian Sandmeier
  • Marc Paolella
  • English
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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