3404526: MasterPROJECT 3

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Semester:WS 12/13
Type:Lecture
Language:English
Scheduled in semester:3
Semester Hours per Week / Contact Hours:25.0 L / 19.0 h
Self-directed study time:131.0 h

Module coordination/Lecturers

Curricula

Master's degree programme in Banking and Financial Management (01.10.2008)

Modules

Description

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Covariance forecasting: A comparison of implied volatility and conditional heteroscedasticity models - Group 1

Background:

  • OLZ operates “smart indexing” approach
  • Academia and practice have shown that market capitalisation weighted portfolios are a bad approximation of the market portfolio
  • Alternative approaches have been introduced: minimum-variance, maximum-sharpe, equally-weighted and fundamental indexation
  • OLZ applies a minimum-variance optimisation as a proxy for the market portfolio
  • Advantage of only estimating variance/covariance of asset returns and not forecasting returns themselves

Lecture Goals

  • Students are expected to compare approaches for the estimation of variance/covariance of asset returns
  • Primary interest is on the quality of estimates derived from implied volatility
  • Above method should be compared to conditional heteroscedasticity models (e.g. ARCH, GARCH, etc.)
  • Approaches should be tested in an empirical portfolio setting
  • Data set applied is in-line with the interest and practice of OLZ & Partners

Qualifications

Comments

Expected group size: 3-4 students.

Dates

DatumZeitRaum
30.01.201313:00 - 15:00H4