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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:
author
Grunditz, David
supervisor
organization
year
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}},
  language     = {{swe}},
  note         = {{Student Paper}},
  title        = {{Portföljinvestering med daglig riskminimering}},
  year         = {{2009}},
}