### Portföljinvestering med daglig riskminimering

(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:
http://lup.lub.lu.se/student-papers/record/1436750

- author
- Grunditz, David
- supervisor
- organization
- year
- 2009
- type
- M2 - Bachelor Degree
- subject
- keywords
- 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
- Swedish
- id
- 1436750
- date added to LUP
- 2009-06-17 00:00:00
- date last changed
- 2010-08-03 10:52:33

@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}, }