Berlin 2018 – wissenschaftliches Programm

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SOE: Fachverband Physik sozio-ökonomischer Systeme

SOE 7: Poster

SOE 7.8: Poster

Montag, 12. März 2018, 17:00–20:00, Poster E

Multi-Objective Goal Programming Formulation of the Markowitz Portfolio including Diversification with respect to Tail Risks — •Daniel Christopher Merten — Jacobs University, Bremen, Deutschland

The paper aims at adding a tail risk diversification approach to the Markowitz problem, where the tail dependencies are computed using a mixture copula that contains Gaussian and Gumbel contributions whose parameters are estimated based on a maximum likelihood method. In addition, the empirical statistical distributions of the respective assets are reproduced by deploying an extensive set of marginal distributions such as generalized hyperbolic and generalized lambda distributions, while the latter turns out to be the more appropriate option in terms of computational efficiency. Finally, the performance of such an extended Markowitz portfolio is compared to a naive diversification benchmark portfolio.