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DTSTART;TZID=Europe/Helsinki:20230209T103000
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SUMMARY:Arthur Thomas (Université Paris Dauphine & CREST) "Bet on Bubble Asset ? an Optimal Portfolio Allocation Strategy"
DESCRIPTION:The Financial Econometrics Seminar: \nTime: 10:30 pm\nDate: 07th of February 2023\nRoom 3001 \nArthur Thomas (Université Paris Dauphine & CREST) “Bet on Bubble Asset ? an Optimal Portfolio Allocation Strategy” \nAbstract : \nWe discuss portfolio allocation when one asset exhibits phases of locally explosive behavior. We model the conditional distribution of such an asset through mixed causal-non-causal models which mimic well the speculative bubble behaviour. Relying on a Taylor-series-expansion of a CRRA utility function approach\, the optimal portfolio(s) is(are) located on the mean-variance-skewness-kurtosis efficient surface. We analytically derive these four conditional moments and show in a Monte-Carlo simulations exercise that incorporating them into a two-assets portfolio optimization problem leads to substantial improvement in the asset allocation strategy. All performance evaluation metrics support the higher out-of-sample performance of our investment strategies over standard benchmarks such as the mean-variance and equally-weighted portfolio. An empirical illustration using the Brent oil price as the speculative asset confirms these findings. \nJoint work : Gilles de Truchis\, Elena-Ivona Dumitrescu\, Sébastien Fries \nOrganizers:\n\nJean-Michel ZAKOIAN  (CREST) \nSponsors:\nCREST \n
URL:https://crest.science/event/arthur-thomas-crest-ensae-bet-on-bubble-asset-an-optimal-portfolio-allocation-strategy/
CATEGORIES:Finance-Insurance,Financial Econometrics
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