Arbeitspapier
TEDAS - Tail Event Driven ASset Allocation
Portfolio 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.
- Sprache
-
Englisch
- Erschienen in
-
Series: SFB 649 Discussion Paper ; No. 2014-032
- Klassifikation
-
Wirtschaft
Mathematical and Quantitative Methods: General
Semiparametric and Nonparametric Methods: General
Econometric Modeling: General
Financial Econometrics
- Thema
-
Portfolio optimization
asset allocation
adaptive lasso
quantile regression
value-at-risk
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Härdle, Wolfgang Karl
Nasekin, Sergey
Lee, David Kuo Chuen
Fai, Phoon Kok
- Ereignis
-
Veröffentlichung
- (wer)
-
Humboldt University of Berlin, Collaborative Research Center 649 - Economic Risk
- (wo)
-
Berlin
- (wann)
-
2014
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:42 MEZ
Datenpartner
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Härdle, Wolfgang Karl
- Nasekin, Sergey
- Lee, David Kuo Chuen
- Fai, Phoon Kok
- Humboldt University of Berlin, Collaborative Research Center 649 - Economic Risk
Entstanden
- 2014
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