Global Network Risk
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Global Network Risk
Global Network Risk
-
- 0 Rating
- 0 Reviews
- 8 Students Enrolled
Requirements
- Excellent level MVA knowledge
General Overview
Description
Portfolio performance depends on interactions inside the network of assets. In
high dimensions, these interactions are rare and sparse, therefore an inherent and
indispensable portfolio risk, network risk, is difficult to quantify. Here a portfolio
risk decomposition method is proposed that leads to analytical solutions that provide
insights into the accounts for network and idiosyncratic risks. The technical platform
is based on Dantzig-type estimator for covariance matrix and eigenvector centrality,
which helps reduce estimation error in high-dimensional cases for portfolio optimiza-
tion. Empirical results show that the network portfolio approach outperforms existing
methods out-of-sample on a real dataset and demonstrate the solidity and reliability
of our network portfolio and estimation methods from a practical perspective.
Keywords: Network risk, Dantzig-type estimator, Portfolio optimization, High dimensions,
Network portfolio
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Meet the instructors !
Wolfgang Karl HÄRDLE attained his Dr. rer. nat. in Mathematics at Universität Heidelberg in 1982 and in 1988 his habilitation at Universität Bonn. He is Ladislaus von Bortkiewicz Professor of Statistics at Humboldt-Universität zu Berlin and the director of the Sino German Graduate School (洪堡大学 + 厦门大学) IRTG1792 on “High dimensional non stationary time series analysis”. He directs IDA Institute for Digital Assets,
University of Economic Studies, Bucharest, RO. His research focuses on data analytics, dimension reduction and quantitative finance. He has published over 30 books and more than 300 papers in top statistical, econometrics and finance journals. He is highly ranked and cited on Google Scholar, REPEC and SSRN. He has professional experience in financial engineering, S.M.A.R.T. (Specific, Measurable, Achievable, Relevant, Timely) data analytics, machine learning and cryptocurrency markets. He has created the www.quantlet.com platform, a cryptocurrency index, CRIX www.royalton-crix.com He is 玉山学者 （Yushan Scholar), web page hu.berlin/wkh
Courses in ML applied to finance; network theory; eXplainable AI in finance
