1. 4106 Advanced Investment Management Tactical Asset Allocation 2 session 6
Andrei Simonov
Tactical Asset Allocation
11/28/2018

2. Agenda Statistical properties of volatility.
Persistence
Clustering
Fat tails
Is covariance matrix constant?
Predictive methodologies
Macroecon variables
Modelling volatility process: GARCH process and related methodologies
Volume
Chaos
Skewness
Tactical Asset Allocation
11/28/2018

3. Co-skewness
Describe the probability of the assets to run-up or crash together.
Examples: ”Asian flu” of 98,” crashes in Eastern Europe after Russian Default.
Can be partially explained by the flows.
Important: Try to avoid assets with +’ve co-skewness
Difficult to measure.
Tactical Asset Allocation
11/28/2018