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2014-06-13Buch DOI: 10.18452/4519
TEDAS - Tail EventDriven ASsetAllocation
dc.contributor.authorHärdle, Wolfgang Karl
dc.contributor.authorNasekin, Sergey
dc.contributor.authorChuen, David Lee Kuo
dc.contributor.authorFai, Phoon Kok
dc.date.accessioned2017-06-16T01:02:09Z
dc.date.available2017-06-16T01:02:09Z
dc.date.created2014-09-11
dc.date.issued2014-06-13
dc.date.submitted2014-06-13
dc.identifier.issn1860-5664
dc.identifier.urihttp://edoc.hu-berlin.de/18452/5171
dc.description.abstractPortfolio selection and risk management are very actively studied topics in quantitative finance and applied statistics. They are closely related to the dependency structure of portfolio assets or risk factors. The correlation structure across assets and opposite tail movements are essential to the asset allocation problem, since they determine the level of risk in a position. Correlation alone is not informative on the distributional details of the assets. By introducing TEDAS -Tail Event Driven ASset allocation, one studies the dependence between assets at different quantiles. In a hedging exercise, TEDAS uses adaptive Lasso based quantile regression in order to determine an active set of negative non-zero coefficients. Based on these active risk factors, an adjustment for intertemporal correlation is made. Finally, the asset allocation weights are determined via a Cornish-Fisher Value-at-Risk optimization. TEDAS is studied in simulation and a practical utility-based example using hedge fund indices.eng
dc.language.isoeng
dc.publisherHumboldt-Universität zu Berlin, Wirtschaftswissenschaftliche Fakultät
dc.rights.urihttp://rightsstatements.org/vocab/InC/1.0/
dc.subjectPortfolio optimizationeng
dc.subjectvalue-at-riskeng
dc.subjectquantile regressioneng
dc.subjectasset allocationeng
dc.subjectadaptive lassoeng
dc.subject.ddc310 Statistik
dc.subject.ddc330 Wirtschaft
dc.titleTEDAS - Tail EventDriven ASsetAllocation
dc.typebook
dc.identifier.urnurn:nbn:de:kobv:11-100220109
dc.identifier.doihttp://dx.doi.org/10.18452/4519
local.edoc.container-titleSonderforschungsbereich 649: Ökonomisches Risiko
local.edoc.pages31
local.edoc.type-nameBuch
local.edoc.container-typeseries
local.edoc.container-type-nameSchriftenreihe
local.edoc.container-volume2014
local.edoc.container-issue32
local.edoc.container-year2014
local.edoc.container-erstkatid2195055-6

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