Advanced

Exploring the properties of CVaR and Mean-Variance for portfolio optimization

Bengtsson, Peter LU (2010) NEKM01 20102
Department of Economics
Abstract (Swedish)
In this thesis some of the properties of Conditional Value at Risk and Mean-Variance for portfolio optimization are explored, from a particularly practical perspective. The portfolio optimizations are performed for data in two different time periods: 2006 and 2008. These periods were chosen to capture both positive and negative financial market episodes, with 2006 representing a period of generally good results, while 2008 was a period dominated by recession. The most important conclusion from this study is that there is a difference in how the two risk measures under evaluation here perform under different market conditions. For the settings imposed on this study, the MV portfolio is showing signs of state dependency. However, even if the... (More)
In this thesis some of the properties of Conditional Value at Risk and Mean-Variance for portfolio optimization are explored, from a particularly practical perspective. The portfolio optimizations are performed for data in two different time periods: 2006 and 2008. These periods were chosen to capture both positive and negative financial market episodes, with 2006 representing a period of generally good results, while 2008 was a period dominated by recession. The most important conclusion from this study is that there is a difference in how the two risk measures under evaluation here perform under different market conditions. For the settings imposed on this study, the MV portfolio is showing signs of state dependency. However, even if the indications of state dependency are clear under these circumstances, the results are not definitive. The finding is nonetheless interesting and should be further investigated. (Less)
Please use this url to cite or link to this publication:
author
Bengtsson, Peter LU
supervisor
organization
course
NEKM01 20102
year
type
H1 - Master's Degree (One Year)
subject
keywords
Portfolio Optimization, CVaR, Variance, MVP
language
English
id
1698950
date added to LUP
2010-11-26 10:35:13
date last changed
2010-11-26 10:35:13
@misc{1698950,
  abstract     = {In this thesis some of the properties of Conditional Value at Risk and Mean-Variance for portfolio optimization are explored, from a particularly practical perspective. The portfolio optimizations are performed for data in two different time periods: 2006 and 2008. These periods were chosen to capture both positive and negative financial market episodes, with 2006 representing a period of generally good results, while 2008 was a period dominated by recession. The most important conclusion from this study is that there is a difference in how the two risk measures under evaluation here perform under different market conditions. For the settings imposed on this study, the MV portfolio is showing signs of state dependency. However, even if the indications of state dependency are clear under these circumstances, the results are not definitive. The finding is nonetheless interesting and should be further investigated.},
  author       = {Bengtsson, Peter},
  keyword      = {Portfolio Optimization,CVaR,Variance,MVP},
  language     = {eng},
  note         = {Student Paper},
  title        = {Exploring the properties of CVaR and Mean-Variance for portfolio optimization},
  year         = {2010},
}