Asset Pricing

Instructor

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General description

The seminar "Asset Pricing" is only for Bachelor students. There will be a maximum number of participants. Students will form groups of two (or three in case of high demand). Students may provide grouping and topic preferences. Each group is assigned a topic. Practical tasks will concentrate on replicating existing academic papers using Excel (or R). Most of the data will be provided.

Language

The seminar language (seminar thesis, presentation, and discussion) is English.

Grading

- 50 %: seminar thesis (please follow the guidelines provided by the Institute of Finance, 15 to 20 pages for groups of two students; longer for groups of three / shorter for single students)

- 50 %: presentation (30 minutes)

- Grading of these two components is per group. Both components need to be passed, i.e., a fail grade in (at least) one of the two components will trigger a fail grade for the seminar overall. The presentations need to be send by e-mail to the instructor the day before the presentation.

Registration

Deadline for registration is 3rd February 2016, 6 p.m. Please send an e-mail to Patrick Launhardt and state your three preferred topics. You also might state whether you want to collaborate with a specific fellow student, otherwise we will align groups ourselves. If the amount of students exceeds our capabilities, there will be a waiting list. Registration is closed now!

All accepted participants have to register via LSF until 22nd of April!

Date & Time

Submission of Thesis until 3rd of June, 12 a.m. (noon)

Presentations will be held on the 9th of June, 10:15-12 a.m., room: Helmholtzstraße 22, 2.19.

Seminar topics

1) Minimum-Variance Strategies - Stock Market

Literature: On portfolio optimization: Imposing the right constraints, by P. Behr, A. Guettler, and F. Miebs, Journal of Banking and Finance, 37 (2013) 1232–1242 [consider only time-invariant portfolio weights; using only the 10 industry data mentioned in the paper]

2) Minimum-Variance Strategies - Different Markets

Minimum Variance Portfolios with weight constraints are often used to tackle the issue of estimation error in the portfolio optimization context. Students should investigate time-invariant asset weights for different assets such as the stocks, sovereign bonds, corporate bonds, alternative assets (such as volatility indices, private equity, hedge funds etc).

Literature: On portfolio optimization: Imposing the right constraints, by P. Behr, A. Guettler, and F. Miebs, Journal of Banking and Finance, 37 (2013) 1232–1242 [consider only time-invariant portfolio weights; students will be provided data for various asset classes]

3) Most Diversified Portfolio Criterion

This concept uses diversification directly as a criterion to form portfolio weights. Students should investigate time-invariant asset weights for different assets such as the stocks, sovereign bonds, corporate bonds, alternative assets (such as volatility indices, private equity, hedge funds etc).

Literature: Toward Maximum Diversification, Journal of Portfolio Management, Y. CHOUEIFATY, Y. COIGNARD, www.tobam.fr/wp-content/uploads/2014/12/TOBAM-JoPM-Maximum-Div-2008.pdf

4) Volatility Indices as an alternative Asset Class

Do volatility indices (such as the VIX index) provide a hedge for long equity positions? Time-invariant portfolio weights of volatility indices and equity portfolios should be investigated to find advantageous investment strategies.

Literature: Investment Strategies with VIX and VSTOXX Futures, S. Stanescu and R. Tunaru, unpublished working paper

5) Cat Bonds as an alternative Asset Class

Cat bonds are linked to natural hazards such as earthquakes or storms. Since these incidences should not be correlated with standard assets, cat bonds may be a suitable alternative asset.

Literature: Perez, Marcos Fabricio and Carayannopoulos, Peter, Diversification Through Catastrophe Bonds: Lessons from the Subprime Financial Crisis (December 27, 2013). [Students will be provided the Swiss Re Cat Bond indices]