My Master thesis is an analysis of risk measures in portfolio theory. Which importance and influence in the portfolio optimization do they have? Which are the most common risk measures and why do we use them? Since the financial crisis the factor risk is more and more in focus and thus also the utilization of risk measures. Building a portfolio and trying to optimize it was originally introduced by Markowitz (1952) and later on by Sharpe (1964). Diversification, keeping risk low and increasing your return is one of the well-known formulas. Is there a safe way of doing so? I will analyze the usage and impact of risk measures, inter alia for specific kinds of investors. As we know, not every person has the same way to define their risk-taking 4. Furthermore, we know that every investor act more or less frequently. Some follow the way of Warrent Buffent 5 and invest for the long horizon. On the other hand, there are the investors who trade daily or especially guided by news following upss and downs 6. As a more frequent investor you try to adapt your portfolio frequently to your optimization problem and thus have to deal with higher transaction costs. Analyzing the performance list of funds, what do you think which one of them is on the top of it in the short-term period. Diversification does everyone know, but in some cases there is almost a very specific concentration on a sector, market or certain share. For sure this will lead to some opportunities, especially in the short-term, but also yield to a lot of risks in the long-term. My Master thesis is composed of two parts. The first one is based on the paper of Ortobelli (2005). There I will discuss the static approach of the proper use of risk measures in portfolio theory. For that I will reproduce the empirical work of them using the more actual time period and an extended choice of risk measures. In the second part I will analyze the change of your portfolio weights over the time. Which problems will occur by constantly trying to improve and optimize your portfolio? Using the concentration rate as well as the turnover rate I will check for the effects on the changing portfolios.
La mia tesi analizza le misure di rischio nella teoria del portafoglio. Quale importanza e influenza hanno nella sua ottimizzazione? Quali sono le misure di rischio più comuni e con quali criteri vengono applicate. In seguito alla crisi finanziaria il fattore di rischio è sempre più presente così come gli strumenti che ne misurano la grandezza. Il concetto di creazione e ottimizzazione di un portafoglio azionario fu introdotta da Markowitz (1952) ed in seguito approfondita da Sharpe (1964). Ma la diversificazione, ovvero ridurre il rischio aumentando al contempo il ritorno atteso, è possibile? Ho analizzato l’uso e l’impatto di queste misure di rischio, considerando specifiche tipologie di investitori. Come sappiamo non ogni attore coinvolto ha lo stesso concetto di rischio 1. Tenendo inoltre presente che ogni investitore agisce con tempi e stili diversi. Alcuni seguono la via di Warren Buffet 2 e investono sul lungo termine, mentre altri investono con maggiore frequenza seguendo le notizie giorno per giorno 3. Così questa tipologia di investitori si troverà a modificare il proprio portafoglio essendo così soggetto a maggiori costi di transazione. Analizzando le performance dei fondi di investimento quali hanno i risultati migliori a breve termine. Concentrarsi su un particolare settore, un mercato o una certa azione porterà a breve delle opportunità ma sul lungo termine può risultare rischiosa sul lungo periodo. Il mio elaborato è composto da due parti la prima parte è basata su un articolo di Ortobelli (2005) con lo scopo di descrivere l?approccio statico per le misure del rischio nella teoria di portafoglio. Ho riprodotto il lavoro empirico di questo approccio, attualizzandolo e applicando una più ampia varietà di misure di rischio. Nella seconda parte ho cercato di analizzare i cambiamenti avvenuti sul portafoglio, quali problemi occorrono tentando di ottimizzarlo. Verificherò gli effetti sul portafoglio applicando il tasso di concentrazione e quello di ritorno.
Portfolio Optimization with Different Risk Measures
REIMRINGER, FABIAN
2016/2017
Abstract
My Master thesis is an analysis of risk measures in portfolio theory. Which importance and influence in the portfolio optimization do they have? Which are the most common risk measures and why do we use them? Since the financial crisis the factor risk is more and more in focus and thus also the utilization of risk measures. Building a portfolio and trying to optimize it was originally introduced by Markowitz (1952) and later on by Sharpe (1964). Diversification, keeping risk low and increasing your return is one of the well-known formulas. Is there a safe way of doing so? I will analyze the usage and impact of risk measures, inter alia for specific kinds of investors. As we know, not every person has the same way to define their risk-taking 4. Furthermore, we know that every investor act more or less frequently. Some follow the way of Warrent Buffent 5 and invest for the long horizon. On the other hand, there are the investors who trade daily or especially guided by news following upss and downs 6. As a more frequent investor you try to adapt your portfolio frequently to your optimization problem and thus have to deal with higher transaction costs. Analyzing the performance list of funds, what do you think which one of them is on the top of it in the short-term period. Diversification does everyone know, but in some cases there is almost a very specific concentration on a sector, market or certain share. For sure this will lead to some opportunities, especially in the short-term, but also yield to a lot of risks in the long-term. My Master thesis is composed of two parts. The first one is based on the paper of Ortobelli (2005). There I will discuss the static approach of the proper use of risk measures in portfolio theory. For that I will reproduce the empirical work of them using the more actual time period and an extended choice of risk measures. In the second part I will analyze the change of your portfolio weights over the time. Which problems will occur by constantly trying to improve and optimize your portfolio? Using the concentration rate as well as the turnover rate I will check for the effects on the changing portfolios.È consentito all'utente scaricare e condividere i documenti disponibili a testo pieno in UNITESI UNIPV nel rispetto della licenza Creative Commons del tipo CC BY NC ND.
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https://hdl.handle.net/20.500.14239/9839