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Portföljinvestering med daglig riskminimering

Grunditz, David (2009)
Department of Economics
Abstract
The purpose of this thesis is to investigate if it is meaningful to use a portfolio strategy that minimizes the portfolio risk every day, when the investment horizon is 10 years.
To minimize the portfolio risk a EWMA (Exponentially Weighted Moving Average) method is used to calculate the conditional variance-covariance matrix. This matrix is used to calculate the portfolio weight that minimizes the risk constraint to a target return.
To evaluate this strategy a second strategy is used as a benchmark strategy. This strategy does not change the portfolio weight during the investment period. The method to evaluate the performance of the strategies is to compare their Sharpe-ratios on a yearly basis.
The evaluation shows that the risk... (More)
The purpose of this thesis is to investigate if it is meaningful to use a portfolio strategy that minimizes the portfolio risk every day, when the investment horizon is 10 years.
To minimize the portfolio risk a EWMA (Exponentially Weighted Moving Average) method is used to calculate the conditional variance-covariance matrix. This matrix is used to calculate the portfolio weight that minimizes the risk constraint to a target return.
To evaluate this strategy a second strategy is used as a benchmark strategy. This strategy does not change the portfolio weight during the investment period. The method to evaluate the performance of the strategies is to compare their Sharpe-ratios on a yearly basis.
The evaluation shows that the risk minimizing strategy has a higher Sharpe-ratio than the benchmark strategy, and that this risk minimizing strategy handles a changing market environment in a more satisfying way.
The conclusion is that it is better to choose the risk minimizing strategy over a strategy that does not minimize the risk. (Less)
Please use this url to cite or link to this publication:
@misc{1436750,
  abstract     = {The purpose of this thesis is to investigate if it is meaningful to use a portfolio strategy that minimizes the portfolio risk every day, when the investment horizon is 10 years.
To minimize the portfolio risk a EWMA (Exponentially Weighted Moving Average) method is used to calculate the conditional variance-covariance matrix. This matrix is used to calculate the portfolio weight that minimizes the risk constraint to a target return.
To evaluate this strategy a second strategy is used as a benchmark strategy. This strategy does not change the portfolio weight during the investment period. The method to evaluate the performance of the strategies is to compare their Sharpe-ratios on a yearly basis.
The evaluation shows that the risk minimizing strategy has a higher Sharpe-ratio than the benchmark strategy, and that this risk minimizing strategy handles a changing market environment in a more satisfying way.
The conclusion is that it is better to choose the risk minimizing strategy over a strategy that does not minimize the risk.},
  author       = {Grunditz, David},
  keyword      = {EWMA,Portföljstrategi,mean-variance portfölj,varians-kovariansmatris,prediktion,Economics, econometrics, economic theory, economic systems, economic policy,Nationalekonomi, ekonometri, ekonomisk teori, ekonomiska system, ekonomisk politik},
  language     = {swe},
  note         = {Student Paper},
  title        = {Portföljinvestering med daglig riskminimering},
  year         = {2009},
}