A1783
Title: Comparing asset universes with expected shortfall frontiers constructed via quantile regression
Authors: Johannes Bleher - University of Hohenheim (Germany) [presenting]
Thomas Dimpfl - University of Hohenheim (Germany)
Joachim Grammig - Eberhard Karls Universitaet Tuebingen (Germany)
Abstract: Quantile regression is utilized to craft mean-expected shortfall frontiers for the index universes of various fund-based private pension schemes, drawing parallels to the well-established mean-variance frontiers. Moving beyond the traditional scope of the literature, not only unconditional frontiers are constructed but also are innovated by formulating conditional mean-expected shortfall frontiers. The novel approach enables the integration of conditioning information, such as pricing factors. To achieve this, 1,961 time series are analyzed that represent the net asset value of all assets that German life insurance companies offer within fund-based private pension schemes. The findings underscore that the inclusion of conditioning information leads to markedly different implications for asset allocation, thereby highlighting the distinct nature of the conditional frontiers.
