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國立臺灣大學計量理論與應用研究中心 - CRETA



CRETA Workshop on Advanced Econometrics 18


CRETA Workshop on Advanced Econometrics 18


CRETA is honored to invite Professor Marc Paolella from University of Zurich as a visitor on March 13. During his visit, Prof. Paolella will lecture on Portfolio Selection with Active Risk Monitoring CRETA Workshop on Advanced Econometrics 18. The workshop is due to take place on March 13 (Friday) at Raphael, GIS NTU Convention Center (集思台大會議中心拉斐爾廳 (台北市羅斯福路四段 85 號 B1)). All participants are welcomed! Please be sure to register your attendance online by noon, March 09 (Friday).

 *Date: March 13 (Friday), 14:00 pm – 16:30 pm

*Venue: Raphael, GIS NTU Convention Center

       集思台大會議中心拉斐爾廳 (台北市羅斯福路四段 85 B1)

*Topic:  Portfolio Selection with Active Risk Monitoring

 [Regirstration Fee]


其他參加者報名費為 NT$600

(當天將開放現場繳交台灣經濟計量學會 2015 年年度會費)

Lecture Overview 

The paper proposes a framework for large-scale portfolio optimization which accounts for all the major stylized facts of multivariate financial returns, including volatility clustering, dynamics in the dependency structure, asymmetry, heavy tails, and non-ellipticity. It introduces a so-called risk fear portfolio strategy which combines portfolio optimization with active risk monitoring. The former selects optimal portfolio weights. The later,  independently, initiates market exit in case of excessive risks. The strategy agrees with the stylized fact of stock market major sell-off s during the initial stage of market downturns. The advantages of the new framework are illustrated with an extensive empirical study. It leads to superior multivariate density and Value-at-Risk forecasting, and better portfolio performance. The proposed risk fear portfolio strategy outperforms various competing types of optimal portfolios, even in the presence of conservative transaction costs and frequent rebalancing. The risk monitoring of the optimal portfolio can serve as an early warning system against large market risks. In particular, the new strategy avoids all the losses during the 2008 financial crisis, and it profits from the subsequent market recovery.



 Professor Paolella is currently full professor of Department of Banking and Finance, University of Zurich. Professor Paolella’s research interests focus on Time Series Analysis, Computational Statistics, GARCH and Risk Prediction. His research articles have been published in several prestigious journals, such as Journal of Econometrics, Journal of Banking and Finance, Journal of Financial Econometrics, European Journal of Finance and Journal of the American Statistical Association

議  程:

March 13 (Friday ) Raphael, GIS NTU Convention Center (集思台大會議中心拉斐爾廳)

13:30-14:00: Registration

14:00-15:00: Lecture

15:00-15:20: Coffee Break

15:20-16:30: Lecture and Discussion