Tail Event Driven Asset Allocation: Evidence from Equity and Mutual Funds Markets

• Main Authors: HARDLE, Wolfgang Karl, LEE, David K. C., NASEKIN, Sergey, NI, Xinwen, PETUKINA, Alla
• Format: text
• Language: English
• Published: Institutional Knowledge at Singapore Management University 2015
• Subjects: adaptive lasso; portfolio optimisation; quantile regression; Value-at-Risk; tail events; Finance and Financial Management; Portfolio and Security Analysis
• Online Access: https://ink.library.smu.edu.sg/lkcsb_research/4868; https://ink.library.smu.edu.sg/context/lkcsb_research/article/5867/viewcontent/TailEventDrivenAssetAllocation_2015.pdf
• Institution: Singapore Management University

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. Recently introduced TEDAS -Tail Event Driven ASse...