Date of Award

2018

Publisher

North Dakota State University

Document Type

Master's Paper

Degree Awarded

Master of Science (MS)

Program

Statistics

Department

Statistics

College

Science and Mathematics

Faculty Advisor

Magel, Rhonda

Description

As behavioral finance is becoming more prevalent in academic area, a study is worth conducting to pinpoint investors’ preference through managing tail risk of asset portfolios. This study investigates investors’ investment behaviors by modeling their investment personalities based on tail risk management. We incorporate CVaR approach to model traditional and non-traditional investment behaviors by reshaping the tails of portfolio return. To be specific, we build model to maximize left-tail CVaR, minimize right-tail CVaR, minimize left-tail CVaR models, and a mixed model that maximize left-tail CVaR and minimize righttail CVaR simultaneously based on various group of rational and irrational investors. Our work incorporates empirical historical data and Monte Carlo simulation to compare these models with the classical Markowitz approach via different dimensions. We make contributions to fill the gap by making a more comprehensively study that incorporates investors’ psychological factors and exploring economic information regarding asset pricing puzzle and long-run risk.

Rights

NDSU Policy 190.6.2

Rights Link

https://www.ndsu.edu/fileadmin/policy/190.pdf

Handle Identifier

https://hdl.handle.net/10365/28684

Download

Share

COinS