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1
Mertens, Detlef. "Portfolio-Optimierung nach Markowitz /." Frankfurt am Main : Bankakademie-Verlag, 2004. http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&doc_number=012908193&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA.
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Gasser, Stephan, Margarethe Rammerstorfer, and Karl Weinmayer. "Markowitz Revisited: Social Portfolio Engineering." Elsevier, 2017. http://dx.doi.org/10.1016/j.ejor.2016.10.043.
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In recent years socially responsible investing has become an increasingly more
popular subject with both private and institutional investors. At the same time, a
number of scientific papers have been published on socially responsible investments
(SRIs), covering a broad range of topics, from what actually defines SRIs to the
financial performance of SRI funds in contrast to non-SRI funds. In this paper, we
revisit Markowitz' Portfolio Selection Theory and propose a modification allowing
to incorporate not only asset-specific return and risk but also a social responsibility
measure into the investment decision making process. Together with a risk-free asset,
this results in a three-dimensional capital allocation plane that allows investors to
custom-tailor their asset allocations and incorporate all personal preferences regarding
return, risk and social responsibility. We apply the model to a set of over 6,231
international stocks and find that investors opting to maximize the social impact
of their investments do indeed face a statistically significant decrease in expected
returns. However, the social responsibility/risk-optimal portfolio yields a statistically
significant higher social responsibility rating than the return/risk-optimal portfolio.
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Ziemann, Volker. "Allocation d'actifs au-delà de Markowitz." Aix-Marseille 3, 2007. http://www.theses.fr/2007AIX32042.
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Cette th`ese a pour objet de r´ehabiliter la th´eorie de gestion de portefeuille bas´ee sur l’arbitrage entre le gain attendu d’un investissement et le risque associ´e. Selon le mod`ele fondateur de ce domaine de recherche acad´emique, propos´e par Harry Markowitz dans les ann´ees 1950, le gain attendu et le risque sont repr´esent´es par la moyenne et l’´ecart-type empiriques de l’actif. Cette m´ethodologie soul`eve deux probl`emes principaux empˆechant le mod`ele d’ˆetre appliqu´e en pratique: i) dans le cadre de maximisation d’utilit´e la moyenne et l’´ecart-type ne d´eterminent le couple gain-risque que sous des hypoth`eses tr`es fortes et tr`es peu r´ealistes et ii) l’incertitude vis-`a-vis des param`etres et la non-stationnarit´e de ceux-ci. La th`ese s’organise en cinq chapitres, une introduction et quatre articles acad´emiques. Les deux premiers articles discutent l’allocation optimale d’un investisseur lorsque l’on relˆache simultan´ement l’hypoth`ese d’une fonction d’utilit´e quadratique et celle de la normalit´e des rendements d’actif. La fonction objectif d´epend alors des moments d’ordre sup´erieur ce qui fait de l’estimation des param`etres un enjeu consid´erable. Dans ce contexte, nous proposons deux mod`eles statistiques et discutons l’arbitrage qu’il y a entre le risque d’estimation et le risque de sp´ecification en presence des moments d’ordre sup´erieurs. Alors que les deux premiers articles prennent la normalit´e dans les rendements des actifs comme donn´ee, le troisi`eme article ´etudie les b´en´efices d’une allocation lorsque l’individu force la distribution du portefeuille final `a ˆetre asym´etrique en introduisant des produits d´eriv´es dans l’univers d’actifs. Nous montrons ´egalement que l’asym´etrie, et donc un troisi`eme moment non nul, est plus articuli`erement importante en pr´esence d’un passif. Enfin, dans le dernier article, nous tenons compte explicitement de la pr´esence d’un passif et d´erivons des allocation optimales dans un cadre dynamique. Nous montrons ainsi que la dynamique du passif a un impact significatif sur la d´ecision de l’investisseur et sur sa richesseThis thesis intends to reconcile the modern portfolio theory with its original framework based on the arbitrage between risk and expected return. According to the seminal work by Harry Markowitz more than 50 years ago, expected return and risk associated with an asset may be modeled as the average return and the standard deviation of the return respectively. This methodology reveals two major problems that prevent the modeled from being applied in practice: i) in the maximum expected utility framework, it is only under rather stringent assumptions that the mean return and the standard eviation determine the trade-off between expected return and risk and ii) the uncertainty and the non-stationarity related to the involved parameters. The thesis is organized in five chapters. After an introduction the first two papers assess optimal allocation decisions when the hypotheses of gaussian returns and quadratic utility function are relaxed simultaneously. Then, the objective function depends on higher moments and co-moments which increases the challenge of parameter estimation. In this context, we propose two statistical models and discuss the trade-off between estimation and pecification risk. Whereas the first two papers take the deviation from gaussian returns as exogenous, the third chapter assesses the benefits of endogenously introducing asymmetry to the portfolio return distribution. We further assess the implications of such instruments when the investor’s capital structure is enhanced by the presence of liabilities. Finally, the last paper accounts explicitly for the presence of liabilities and derives optimal asset allocation decisions in a dynamic framework. We show that the dynamics of the liabilities drive the investor’s allocation decision and impact her expected utility of terminal wealth
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Whiting, Cameron. "Markowitz and Marriage: Finding the Optimal Risky Spouse." Scholarship @ Claremont, 2015. http://scholarship.claremont.edu/cmc_theses/1019.
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This paper examines data for 12,868 individuals from the National Longitudinal Survey of Youth (NLSY79) from 1979 through 2010 to explore certain financial incentives of marriage. In particular, this paper focuses on identifying the combination of occupations that decreases idiosyncratic income volatility to the greatest extent. For the sake of this paper, marriage is defined as the combination of two separate assets into a single portfolio. With such, I derive the efficient frontier for each occupation and gender. In the process, reward-to-volatility and mean-variance utility maximization techniques are introduced. Ultimately, applying modern portfolio theory to the marriage market allows one to examine the economic incentives of marriage in a way that has not previously been done. On the whole, the analysis confirms previous literature on marriage dynamics, while offering a new framework for analysis.
5
Cheng, Chao. "Improving the Markowitz Model using the Notion of Entropy." Thesis, Uppsala University, Department of Mathematics, 2006. http://urn.kb.se/resolve?urn=urn:nbn:se:uu:diva-121226.
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Momanyi, Erick. "The Mathematical Formulation and Practical Implementation of Markowitz 2.0." Thesis, Mälardalens högskola, Akademin för utbildning, kultur och kommunikation, 2017. http://urn.kb.se/resolve?urn=urn:nbn:se:mdh:diva-34690.
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Standard Deviation is a commonly used risk measures in risk management and portfolio optimization. Optimal portfolios have normally been computed using standard deviation as the measure of choice for risk. However, ever since the Great Recession, it has come up short in capturing tail risk leading practitioners and investors alike to look for alternative measures such as Value-at-Risk (VaR) and conditional Value-at-Risk (CVaR). Further, given that it is a coherent risk measure and that it allows for a simplification of the portfolio optimization process, CVaR is preferable to VaR. This thesis analyzes the financial model referred to as Markowitz 2.0 which adopts CVaRas the risk measure of choice. Tapping into the extensive literature on portfolio optimization using CVaR and VaR, we give historical context to the model and make a mathematical formulation of the model. Moreover, we present a practical implementation of the model using data drawn from the Dow Jones Industrial Average, generate optimal portfolios and draw the efficient frontier. The results obtained are compared with those obtained through the Mean-Variance optimization framework.
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Matías, Flores Teófilo, Basurco María Elena Huapaya, and Ochoa Francisco R. Rasmussen. "Aplicación en el mercado peruano : teoría de portafolio de Markowitz." Universidad Peruana de Ciencias Aplicadas - UPC. Escuela de Postgrado, 2009. http://hdl.handle.net/10757/273630.
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El presente trabajo brinda al inversionista una herramienta adicional para el análisis de su portafolio de inversión a través del estudio de la Teoría de Portafolio de Markowitz, se realizará una aplicación en el mercado peruano habiendo escogido el índice Nacional INCA como portafolio de inversión ya que este nuevo índice nos muestra la cartera de las empresas más líquidas y que a partir del mes de diciembre será lanzado el Certificado de Participación INCATRACK dirigido a aquellos inversionistas con inversiones desde S/1000 y que su negociación será como cualquier otra acción en rueda de bolsa y tiene como objetivo replicar el rendimiento del índice Nacional INCA
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Freml, Josef. "Modelování individuálních investičních rizik." Master's thesis, Vysoké učení technické v Brně. Ústav soudního inženýrství, 2017. http://www.nusl.cz/ntk/nusl-318571.
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This diploma thesis deals with modeling of individual investment risks. The first part is devoted to the approach of the basic concepts in the area of investment risks, assets, portfolio and its components. The basic principles of optimization, stochastic programming including the problems of modern theory of the portfolio are presented. The analysis of the current situation is divided into two parts, where the first part contains analysis of the investor profile. In the second part, the selection and analysis of assets suitable for combination in the portfolio are made. The practical part is focused on the creation of the Markowitz model of optimal portfolio of determined assets. The model works with real data and is programmed through the GAMS mathematical program.
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DeWeese, Jackson Paul. "Markowitz-style Quartic Optimization for the Improvement of Leveraged ETF Trading." Digital WPI, 2013. https://digitalcommons.wpi.edu/etd-theses/305.
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This paper seeks to unconventionally maximize the volatility of a portfolio through a quartic optimization based on Markowitz’s modern portfolio theory, which generally seeks to do exactly the opposite. It shows that through this method, a daily leveraged exchange traded fund (ETF) strategy investigated by Posterro can be significantly improved upon in terms of its Sharpe ratio. The original strategy seeks to use a combination of momentum trading and tracking error in leveraged ETFs to trade during the last half an hour of the trading day, but it suffers in a low volatility market. By maximizing the volatility to take better advantage of tracking error and momentum, this problem is addressed by both increasing the mean daily return and significantly decreasing the variance of the strategy’s daily returns. GARCH forecasting is also implemented to assist in the maximization of the daily portfolios’ variances, though this does not prove to make a statistically significant difference in the strategy’s performance.
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Eismann, Eismann. "Markowitz vs Black--Litterman: A Comparison of Two Portfolio Optimisation Models." Thesis, Mälardalens högskola, Akademin för utbildning, kultur och kommunikation, 2018. http://urn.kb.se/resolve?urn=urn:nbn:se:mdh:diva-39411.
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Modern portfolio theory first gained its ground among researchers and academics, but has become increasingly popular among practitioners. This paper examines the two popular portfolio optimization models, Markowitz mean-variance model and Black-Litterman formula and compares their results on real data. In second chapter mean-variance model is derived step-by-step using Lagrange multipliers and matrices, whereas in third chapter Black-Litterman formula is proved by two different methods - by Maximum Likelihood method and Theil's model. Two portfolio optimization models are used on real data, monthly data from November 2007 to November 2017. In order to build the two models, Microsoft Excel is used. Swedish 30-day Treasury Bill is taken as risk-free asset and SIXPRX as a benchmark. Detailed results are presented in Chapter 4. In Black-Litterman model two different views are implemented to see if the model outperforms Markowitz mean-variance model. All in all there is a significant difference in the outcomes, Black-Litterman portfolio performs better than mean-variance portfolio.
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McLeod, Warren. "Enhancements to the Markowitz mean-variance optimisation process of asset allocation." Master's thesis, University of Cape Town, 1998. http://hdl.handle.net/11427/9687.
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Includes bibliographical references.[The focus of this thesis is on the practical application of portfolio selection. It is a field that receives much attention, no more so than after the world market crashes (i.e. October 1997) which highlighted the importance of risk management. Consequently there is a need to examine the current tools in current use to create our portfolios and to look at ways in which they could be improved. The Bayesians have certainly contributed in this area, and more noticeably in the 1990's. We shall examine their contributions quite extensively in this thesis.
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Fretel, Celis Ibeth Liliana. "Aplicación del modelo de Markowitz en el mercado de acciones peruano." Bachelor's thesis, Universidad Nacional Mayor de San Marcos, 2018. https://hdl.handle.net/20.500.12672/10636.
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Manifiesta que el objetivo la importancia de la diversificación del portafolio, la cual los riesgos pueden minimizarse si el importe total que se quiere invertir se divide entre un conjunto de acciones. En el lenguaje coloquial se dice que no se debe poner todos los huevos en una sola canasta. La idea es que el inversionista que compra acciones de una sola empresa; en caso esta empresa quiebre o se devalúe; el inversionista lo perderá todo, su riesgo habrá aumentado y su rentabilidad habrá disminuido. En el caso de que el inversionista compre acciones de diferentes empresas, su rentabilidad dependerá de la rentabilidad de las demás acciones y el riesgo sería mínimo. Esto indica que los resultados son más favorables al invertir en un conjunto de acciones que invirtiendo en uno solo. Por ello, para su mejor representación utilizaremos el Modelo de Markowitz donde se optimizará el portafolio; a fin, de analizar el porcentaje que se le asignará a cada acción perteneciente al portafolio. Por otro lado, se tiene el Modelo de Valoración de Activos Financieros (CAPM), este modelo resuelve problemas financieros; el cual propone informar al máximo al inversor sobre el riesgo y la rentabilidad proponiendo determinar el precio de equilibrio de los activos. Se basa en la medida del riesgo sistemático de la rentabilidad esperada y del tipo de interés.Trabajo de suficiencia profesional
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Marques, Felipe Tumenas. "Otimização de carteiras com lotes de compra e custos de transação, uma abordagem por algoritmos genéticos." Universidade de São Paulo, 2007. http://www.teses.usp.br/teses/disponiveis/18/18140/tde-10122007-214030/.
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Um dos problemas fundamentais em finanças é a escolha de ativos para investimento. O primeiro método para solucionar este problema foi desenvolvido por Markowitz em 1952 com a análise de como a variância dos retornos de um ativo impacta no risco do portifólio no qual o mesmo está inserido. Apesar da importância de sua contribuição, o método desenvolvido para a otimização de carteiras não leva em consideração características como a existência de lotes de compra para os ativos e a existência de custos de transação. Este trabalho apresenta uma abordagem alternativa para o problema de otimização de carteiras utilizando algoritmos genéticos. Para tanto são utilizados três algoritmos, o algoritmo genético simples, o algoritmo genético multiobjetivo (Multi Objective Genetic Algorithm - MOGA) e o algoritmo genético de ordenação não dominante (Non Dominated Sorting Genetic Algorithm - NSGA II). O desempenho apresentado pelos algoritmos genéticos neste trabalho mostram a perspectiva para a solução desse problema tão importante e complexo, obtendo-se soluções de alta qualidade e com menor esforço computacional.One of the basic problems in finance is the choice of assets for investment. The first method to solve this problem was developed by Markowitz in 1952 with the analysis of how the variance of the returns of an asset impacts in the portfolio risk in which the same is inserted. Despite the importance of its contribution, the method developed for the portfolio optimization does not consider characteristics as the existence of round lots and transaction costs. This work presents an alternative approach for the portfolio optimization problem using genetic algorithms. For that three algorithms are used, the simple genetic algorithm, the multi objective genetic algorithm (MOGA) and the non dominated sorting genetic algorithm (NSGA II). The performance presented for the genetic algorithms in this work shows the perspective for the solution of this so important and complex problem, getting solutions of high quality and with lesser computational effort.
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Fernandes, Cristiano Mateus Cunha. "The efficiency in Markowitz, minimum-variance and naïve portfolios applied to smi." Master's thesis, Instituto Superior de Economia e Gestão, 2015. http://hdl.handle.net/10400.5/8199.
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Mestrado em FinançasEsta dissertação tem como objectivo analisar vários modelos de gestão de carteiras, tendo em consideração gestão activa e passiva e o seu impacto na escolha eficiente de uma carteira ótima composta por activos do índice bolsista Suiço - SMI. A minha escolha recaíu sobre a Suiça por várias razões. Em primeiro lugar, seria interessante perceber o comportamento de um mercado europeu que não utilizasse a moeda única. Outra das razões foi por este mercado incorpora algumas grandes empresas multinacionais, tais como a Nestlé e a Swatch. A análise histórica das carteiras teve em conta o modelo Markowitz (média-variância), modelo Mínima-Variância e o modelo Naïve (pesos iguais). O horizonte temporal utilizado neste estudo foi de 10 anos, considerando o período de Janeiro de 2004 a Dezembro de 2013. Os dados foram retirados da base de dados académica Datastream. Para calcular o peso a investir em cada ativo, foram utilizados os sistemas de ?janelas de dados? a 1 e 2 anos. Por fim, será possível observer se, para 12 meses, existem ou não diferenças significativas entre os modelos de gestão de carteiras estudados nesta dissertação. Será também possível analisar se, para rendibilidades e rácios de Sharpe mais elevados, a carteira ótima é a melhor opção.
This study aims to analyze various models of portfolio management, underlying the active and passive management and its impact on the efficient choice of an optimal portfolio composed by assets from Swiss shares index - SMI. I chose Swiss market for a couple of reasons. First of all, it would be interesting to analyze the behavior of an European market that doesn't belong to Euro. Another reason was the fact of this market have some big international companies such as Nestlé and Swatch. Historical portfolio analysis took into account the Markowitz model (mean-variance), the Minimum Variance model and the Naïve model (equal weights). The time horizon used in this dissertation was 10 years and considers the period between January, 2004 and December, 2013. The data were obtained from academic database Datastream. To compute the weight to invest in each asset, ?data window system' for 1 and 2 years will be used. To conclude, we will be able to see if, for 12 months, there are or not significant differences between the types of portfolio management treated throughout the dissertation. Further on, we may consider if for higher returns and Sharpe Ratio, the optimal portfolio is the best option.
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Taylor, Fred C. "An Explanation of "Keynes Meets Markowitz: The Trade-Off Between Familiarity and Diversification"." Scholarship @ Claremont, 2016. http://scholarship.claremont.edu/cmc_theses/1422.
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This paper explains the mathematics behind the model for portfolio selection presented by Boyle et al. in their 2012 paper, Keynes Meet Markowitz: The Trade-Off Between Familiarity and Diversification. First, I unpack the theoretical background of portfolio selection, as developed by Harry Markowitz and William Sharpe. Second, I explain the model proposed by Boyle et al. and also connect their work to their theoretical forefathers. Lastly, I replicate some of the results of their paper and comment on the significance of their model.
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MEJIA, MARTINEZ AURORA. "CONSTRUCCIÓN DE UN PORTAFOLIO CON RIESGO MENOR AL RIESGO DE MERCADO UTILIZANDO LA METODOLOGÍA DE MARKOWITZ." Tesis de Licenciatura, UNIVERSIDAD AUTONOMA DEL ESTADO DE MEXICO, 2013. http://hdl.handle.net/20.500.11799/68031.
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Ya sabemos que existen diversas opciones de inversión, y que los portafolios de
inversión ayudan a disminuir en gran medida el riesgo de pérdida en una inversión,
ahora lo que necesitamos saber es como medir el riesgo del portafolio, y para ello
existen diversos modelos establecidos que nos permiten evaluar los portafolios, para
que la inversión a realizar se haga con decisiones fundamentadas con bases
probabilísticas.
De acuerdo a lo anterior, es de donde surge el interés en realizar este estudio, cuyo
objetivo general es la construcción de un portafolio que minimice el riesgo de la
inversión y maximice el rendimiento utilizando acciones de empresas que cotizan
actualmente en la Bolsa Mexicana de Valores y forman parte del IPC.
Además se plantean los objetivos particulares siguientes:
• Conocer el funcionamiento del Mercado Financiero Mexicano, para así poder
crear el portafolio de inversión.
• Identificar los tipos de activos financieros que pueden conformar el portafolio
de inversión.
• Analizar el riesgo y el rendimiento de los activos financieros, que integrarán el
portafolio de inversión, para decidir en cuales es conveniente invertir.
• Conocer la Teoría de Markowitz y la Teoría del Portafolio.
• Analizar la importancia de diversificar una inversión haciendo uso de un
portafolio.
En la búsqueda de cumplir con dichos objetivos, se plante la siguiente hipótesis:
Es posible reducir el riesgo de una inversión mediante un ejercicio de optimización
basada en la teoría de portafolio.
La presente tesis está integrada por tres capítulos.
En el capítulo uno se da a conocer la definición del Sistema Financiero Mexicano, así
como una descripción de la integración del mismo, sus funciones, historia y el Mercado
de Valores.
Es en el capítulo dos en donde se verán las teorías que se utilizaran para la creación
de un portafolio de inversión dando mayor importancia a la Teoría del Portafolio de
Markowitz.
Y finalmente, en el capítulo tres se expondrán los supuestos que se habrán de utilizar
como estrategias para la elección de los activos financieros, se realizara el portafolio
eficiente y se analizarán los resultados cuantitativos. Tomando en cuenta dichos
resultados se darán las conclusiones del presente trabajo.
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Louivion, Simon, and Edward Sikorski. "A Three-Pronged Sustainability-Oriented Markowitz Model : Disruption in the fund selection process?" Thesis, KTH, Skolan för industriell teknik och management (ITM), 2019. http://urn.kb.se/resolve?urn=urn:nbn:se:kth:diva-264122.
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Since the term ESG was coined in 2005, the growth of sustainable investments has outpaced the overall asset management industry. A lot of research has been done with regards to the link between sustainability and financial performance, despite the fact that there is a lack of transparency in sustainability of listed companies. This thesis breaks down the word sustainability into two di↵erent categories, and in turn eleven di↵erent parameters. The result is the term Q score which represents a company’s sustainability. The purpose is to increase transparency in the fund selection process for asset managers. Further, a multiobjective optimization problem is solved to analyze the relationships between return, risk and sustainability. The main subject is that accommodating sustainability as a third parameter in addition to return and risk modifies the fund selection process. The result indicates that the relationships between sustainability, return and risk follow the ecient market hypothesis, implying that an investor would have to sacrifice risk and return in order to achieve higher sustainability. With that said, the results indicated that the sacrifice is relatively small, and that there are a number of sustainable portfolios that perform well. Moving on, the reporting of ESG company data is still lacking. For this reason, this master thesis acts as a precursor for any future development within the field.Sedan termen ESG utvecklades år 2005, har tillväxten av hållbara investeringar vuxit snabbare än den generella förvaltningsindustrin. Mycket forskning har gjorts kring hållbarhet kopplat till finansiell avkastning, men trots detta saknas det fortfarande en transparens rådande hållbarhet av noterade bolag. Detta examensarbete bryter ned termen hållbarhet till två kategorier, vilket i sin tur bryts ner till elva kvantifierbara parametrar. Resultatet blir ett så kallat Q score, som är ett värde på ett företags hållbarhet. Syftet med arbetet är att öka transparensen av fonders hållbarhetsarbete. Vidare löses ett optimeringsproblem med tre parametrar för att undersöka förållandena mellan avkastning, risk och hållbarhet. Resultatet indikerar att dessa förhållanden följer hypotesen om effektiva marknader, vilket innebär att en investerare måste offra avkastning och risk för att uppnå en mer hållbar portfölj. Med det sagt, indikererar resultatet att en investerare inte behöver offra mycket inom avkastning för att uppnå en hållbar portfölj. Vidare kvarstår det mycket arbete inom rapporteringen av ESG data på företagsnivå. Av detta skäl anses detta examensarbete vara en föregångare innan datan utvecklas vidare.
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Olsson, Stefan, Tommy Persson, and Linnea Bergh. "Is the Swede’s pension portfolio within the PPM system diversified?" Thesis, Jönköping University, Jönköping International Business School, 2005. http://urn.kb.se/resolve?urn=urn:nbn:se:hj:diva-213.
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Sammanfattning Introduktion: Sverige har en lång tradition av olika pensions system, så tidigt som 1914 blev det första sy-stemet implementerat. Systemet har blivit förändrat åtskilliga gånger och 1998 infördes Premie Pensions (PPM) systemet. PPM är en blandning av ett distributionsbaserat system och ett fondbaserat system. 16 procent av en individs inkomst är bundet till det distribu-tionsbaserade systemet för att kunna finansiera dagens pensioner. 2,5 procent av en indi-vids inkomst är låst till det fondbaserade systemet och kan investeras av individen i olika fonder. PPM systemet har blivit utsatt för mycket kritik eftersom tidigare studier påvisat att flertalet svenskar inte gör aktiva fondval samt att de har otillräcklig kunskap. Diversifiering förklaras bäst genom talesättet; att inte placera alla ägg i samma korg. Diver-sifiering är ett mått på hur väl en investerare lyckats sprida risken i sin portfölj genom att fördela tillgångarna i olika sorters värdepapper. Syfte: Syftet med denna uppsats är att studera huruvida svenskens pensionsportfölj inom PPM är diversifierad. Detta syfte valdes för att ingen tidigare studie med ett likadant syfte genomförts samt där-för att risken med att inneha en dåligt diversifierad portfölj kan vara stor. Metodval: En kvantitativ ansats har använts i denna uppsats då syftet med den är att dra slutsatser ba-serat på en stor urvalsgrupp. Andrahandsdata emottaget från PPM har uteslutande använts för att genomföra den empiriska studien. För att underlätta studien har en viss begränsning av information gjorts. I studien har ett urval av 100 individer samt 50 fonder använts. En avgränsning är att endast fonddata för de tre senaste åren använts. Trots dessa tillkorta-kommanden hävdar författarna att en hög validitet och reliabilitet har uppnåtts i uppsatsen. Slutsats: Efter att ha jämfört individernas portföljer mot efficient frontier, har åtskilliga resultat uppdagats som påvisar samma slutsats; att svenskens pensionsportfölj inom PPM är dåligt diversifie-rad. Handlingsplan för ansvariga: Att genomföra vidare studier med syfte att få mer kunskap om varför portföljerna är dåligt diversifierade samt implementera dessa resultat av studien i praktiken.
Introduction: Sweden has a long tradition of pension systems, as early as 1914 was the first system implemented. The system has been changed a number of times and in 1998 was the Premium pension authority (PPM) system introduced. PPM is a mixture of a distribution-based system and fund-based system. 16 per cent of an individual’s income is devoted to the distribution-based system for financing today’s pensions. 2.5 per cent of an individual’s income is looked in the fund-based system and can be invested by the individual in different funds. The PPM system has been a target for much criticism since earlier studies has shown that the Swedes do not make an active choice nor have the demanded knowledge. Diversification is best explained through the saying; not to place all your eggs in the same basket. Diversification is a measure of how well an investor has succeeded to spread the risk of the portfolio by allocating assets in different securities. Purpose: The purpose of this thesis is to study whether the Swedish inhabitant’s pension portfolios within the PPM system are diversified. This purpose has been chosen because no studies have been made with an identical aim and also that the risk with holding a poorly diversified portfolio is grave. Methodology: A quantitative approach has been chosen since the aim of the thesis is to draw conclusions based on large sample numbers. Solitary secondary data, received from PPM, has been used to conduct the empirical study. To simplify the study limitations of information have been made; in the study samples of 100 individuals and 50 funds have been used. A Delimitation of the study is that only fund data for the last three years has been used. Despite the scarcities of the thesis the authors claim that the thesis has high validity and reliability. Conclusions: When benchmarking the individual portfolios against the efficient frontier a number of results were revealed and they all ended up in the same conclusion that the Swede’s pension portfolio within the PPM system is insufficient diversified. Implication for management of the PPM system To conduct further studies with the aim to get knowledge; why the investments are poorly diversified and find ways to transform the suggestions of the study into practice.
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Pereira, Junior Marcio Guedes. "Redução do risco em um portfólio internacional: uma aplicação prática do modelo de Markowitz." reponame:Repositório Institucional do FGV, 1995. http://hdl.handle.net/10438/5008.
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Made available in DSpace on 2010-04-20T20:15:20Z (GMT). No. of bitstreams: 0
Previous issue date: 1995-07-04T00:00:00ZApresenta os conceitos básicos da teória dos portfólios, o Modelo de Markowitz e a operacionalização do Modelo de Markowitz.
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Martins, Luís Pedro Rosa. "A eficiência nas Carteiras de Markowitz, Variância Mínima e Naïve aplicada ao índice italiano." Master's thesis, Instituto Superior de Economia e Gestão, 2014. http://hdl.handle.net/10400.5/8198.
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Mestrado em FinançasO objectivo deste trabalho é verificar as possíveis vantagens da gestão activa face à gestão passiva de uma carteira de acções com a mesma composição do índice de acções italiano FTSE MIB. A gestão passiva baseia-se no método Naïve (1/N), onde a composição da carteira inclui todos os activos do indice com proporções iguais. A gestão activa baseia-se no método de Markowitz que tem como objectivo maximizar a rendibilidade tendo definido um determinado nível de risco, ou minimizar o risco tendo em conta um nível de rendibilidade esperada. Também é utilizado o método da variância mínima que consiste em minimizar o risco independentemente da rendibilidade. Nesta abordagem as proporções a investir em cada activo são revistas mensalmente tendo em conta a evolução do mercado. Para as determinar são consideradas ?janelas? de dados de 1 e 2 anos. O segundo objectivo deste trabalho é determinar o efeito dos custos de intermediação financeira no desempenho da carteira. São utilizados os títulos que compõem o índice FTSE MIB, representativo do mercado italiano desde Janeiro de 2004 até Dezembro de 2013. Os resultados mostram a superioridade da gestão activa face à passiva, sendo a carteira de Markowitz a que obteve melhor desempenho. A carteira de variância mínima obteve resultados inferiores à de Markowtiz, mantendo resultados superiores à Naïve quando se utilizam "janelas" de 2 anos. Os custos de intermediação têm impacto nas carteiras estudadas, não pondo em causa no entanto, o desempenho superior da gestão activa
The purpose of this paper is to determine to possible advantages of an actively managed portfolio over a passively managed portfolio, both of which are composed by the stocks on the FTSE MIB. The passive management approach is based on the Naïve method (1/N), where the portfolio includes all the stocks on the index with the same proportions. Active management is based on the Markowitz model whose objective is to maximize the return give a set risk level or, minimize the risk given an expected return. The minimum variance model is also used, whose goal is to minimize the risk independent of the return. On this approach the weights of each asset in the portfolio are revised monthly, based on the market evolution. In order for these to be determined, "windows" of 1 and 2 years were used. The second objective of this thesis is to determine the effect of the transaction costs on the portfolio' performance. The data used are the assets included on FTSE MIB index, which is representative of the Italian stock market, between January 2004 and December 2013. The results show the superiority of active management in relation to passive, Markowitz's method being the one with the best performance. The minimum variance portfolio showed inferior results compared to Markowitz, while showing a better performance than the Naïve portfolio when using 2 year windows. Although transaction costs impact the portfolios significantly, active management still has superior results.
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Nunes, David João de Arede. "A eficiência nas Carteira Markowitz, Variância Mínima e Naïve aplicada ao índice AEX - 25." Master's thesis, Instituto Superior de Economia e Gestão, 2013. http://hdl.handle.net/10400.5/11258.
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Mestrado em FinançasEste estudo tem como finalidade analisar vários modelos de gestão de carteiras, que estão na base da gestão activa e passiva e qual o impacto dos mesmos na escolha eficiente de uma carteira óptima constituída por títulos que fazem parte do principal índice accionista Holandês - AEX 25. A análise histórica das carteiras teve em conta o modelo de Markowitz (média-variância), o modelo de Variância Mínima e o modelo Naïve (pesos iguais). O horizonte temporal utilizado nesta dissertação foi de 10 anos e considera o período entre Janeiro de 2002 e Dezembro de 2012. Os dados foram obtidos da base de dados académica Datastream, de onde se extraíram os preços de fecho dos títulos utilizados. Os pesos a investir em cada activo, foram calculados mensalmente e para tal foi utilizado o método da "janelas de dados" a 1 e 2 anos. As conclusões apontam que para o horizonte temporal de 12 meses não se observa grande diferença entre os vários modelos estudados na tese. No entanto, podemos considerar que para mais rendibilidade e maior índice de Sharpe a carteira óptima foi aquela que se apresentou como melhor opção.
The main point of this study is to analyse some models underlying the active and passive portfolio management and what would be its impact on the efficient choice of a certain optimal portfolio constituted by stocks which are integrated in Dutch reference index - AEX-25. For the historical analysis were considered two of the principal models used in this type of management, the mean-variance model of Markowitz the minimum variance and naïve (homogeneous weights) models. We are considering, in this thesis, a 10-year investment horizon which will mediate in between January 2002 and December 2002. The data were obtained with Datastream, an academic data-base,where we could extract the closing price of the securities used. To determine that aforementioned weight we'll use the "window system" for 1 up to 2 years. To conclude, we will be able to see that for 12 months there are no significant differences between the types of portfolio management treated throughout the dissertation. Moreover, we may consider that for higher returns and sharp ratio, the optimal portfolio is the best option.
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Vu, Anh Tuan Eric. "La modélisation du risque en immobilier d'entreprise." Thesis, Paris 9, 2014. http://www.theses.fr/2014PA090016.
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L’immobilier est un actif récalcitrant, hétérogène et illiquide, ces incertitudes constituent l`appréhension du risque en immobilier d`entreprise. Nous suggérons que le risque peut être évaluer à travers une somme de mesure de risque : en premier lieu dans une approche globale de la volatilité, ce que peut nous proposer une analyse de portefeuille, puis dans une approche plus fine, que peut nous donner la prime de risque d`un marché bureau. Notre travail doctoral se propose d’adapter les outils hérités du monde financier à l’évaluation du risque dans les principaux marchés de bureau Européen. Notre thèse sera rédigée en anglais et la question de recherche s`articulera autour de trois grands axes que nous illustrons sous forme d’articlesThe real estate asset class is tangible, heterogeneous and illiquid. It gives a specific investment universe that needs to be understood by investors, because the uncertainties created by this universe compose the risk of real estate investment. We suggest modelling risks across a sum of risk unit appraisal, on one hand, in constructing portfolio analysis, and on the other hand, through the office market risk premium modelling. Our doctoral study proposes to adapt financial theorems to risk modelling in the main European office markets. Our thesis will be written in Englishand its body will be articulated around three axes whereby those will be illustrated under the form of article
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Karlsson, Lars, and Tom Dahlqvist. "SVENSKA SMÅSPARARES BEHOV AV RISKHANTERING : EN KVANTITATIV STUDIE FÖR STOCKHOLMSBÖRSEN." Thesis, Umeå universitet, Företagsekonomi, 2013. http://urn.kb.se/resolve?urn=urn:nbn:se:umu:diva-73677.
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Svenska privatpersoner har blivit mer aktiva på börsen och därför harallt fler börjat intressera sig för finansiella instrument. I media har vi kunna observera att vid flertalet tillfällen har småsparare sammanlagt förlorat stora summor pengar ofta förenatmed stort risktagande. Problematiken kring stora förluster är, förutom det monetära bortfallet, att återhämtningstiden för kapitalet ökar kraftigt. Ytterligare ett problem försmåspararna är att de rekommendationerna som utfärdas har relativt lågträffsäkerhet och att småspararna inte tar hänsyn till detta. Det finns även en problematik kring tillfället att köpaen aktie, där slutsatsen är att det är svårt att köpa och sälja aktier vid rätt tillfälle även för professionella investerare. Vilket leder till vårt resonemang om att småsparare bör fokusera på sin riskhantering snarare än sin handelsstrategi. Vi menar att en portfölj med lågträffsäkerhet som begränsar sina förluster kan prestera bättre än en strategi med högträffsäkerhet men som misslyckas med att begränsa sina förluster. Är det möjligt för en investerare att få bättre riskjusterad avkastning med den alternativa riskhanteringen jämfört med Markowitz optimala portfölj och en likaviktad portfölj gentemot marknadsindex, vid följandet av analytikers rekommendationer?
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Bjärnbo, Oliver, and Amir Kheirollah. "A Quantitative Risk Optimization of Markowitz Model : An Empirical Investigation on Swedish Large Cap List." Thesis, Mälardalen University, Department of Mathematics and Physics, 2007. http://urn.kb.se/resolve?urn=urn:nbn:se:mdh:diva-333.
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This paper is an empirical study on Harry Markowitz work on Modern Portfolio Theory. The model introduced by him assumes the normality of assets’ return. We examined the OMX Large Cap List1 by mathematical and statistical methods for normality of assets’ returns. We studied the effect of the parameters, Skewness and Kurtosis for different time series data. We tried to figure it out which data series is better to construct a portfolio and how these extra parameters can make us better informed in our investments.
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Wong, Chi Kin. "Using Markowitz portfolio theory to combine technical trading rules in the Hong Kong stock market." HKBU Institutional Repository, 2002. http://repository.hkbu.edu.hk/etd_ra/433.
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McArthur, Gregory D. "Comparative Analysis of Ledoit's Covariance Matrix and Comparative Adjustment Liability Model (CALM) Within the Markowitz Framework." Digital WPI, 2014. https://digitalcommons.wpi.edu/etd-theses/1194.
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Estimation of the covariance matrix of asset returns is a key component of portfolio optimization. Inherent in any estimation technique is the capacity to inaccurately reflect current market conditions. Typical of Markowitz portfolio optimization theory, which we use as the basis for our analysis, is to assume that asset returns are stationary. This assumption inevitably causes an optimized portfolio to fail during a market crash since estimates of covariance matrices of asset returns no longer reflect current conditions. We use the market crash of 2008 to exemplify this fact. A current industry-standard benchmark for estimation is the Ledoit covariance matrix, which attempts to adjust a portfolio’s aggressiveness during varying market conditions. We test this technique against the CALM (Covariance Adjustment for Liability Management Method), which incorporates forward-looking signals for market volatility to reduce portfolio variance, and assess under certain criteria how well each model performs during recent market crash. We show that CALM should be preferred against the sample convariance matrix and Ledoit covariance matrix under some reasonable weight constraints.
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Andersson, Aron, and Shabnam Mirkhani. "Portfolio Performance Optimization Using Multivariate Time Series Volatilities Processed With Deep Layering LSTM Neurons and Markowitz." Thesis, KTH, Matematisk statistik, 2020. http://urn.kb.se/resolve?urn=urn:nbn:se:kth:diva-273617.
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The stock market is a non-linear field, but many of the best-known portfolio optimization algorithms are based on linear models. In recent years, the rapid development of machine learning has produced flexible models capable of complex pattern recognition. In this paper, we propose two different methods of portfolio optimization; one based on the development of a multivariate time-dependent neural network,thelongshort-termmemory(LSTM),capable of finding lon gshort-term price trends. The other is the linear Markowitz model, where we add an exponential moving average to the input price data to capture underlying trends. The input data to our neural network are daily prices, volumes and market indicators such as the volatility index (VIX).The output variables are the prices predicted for each asset the following day, which are then further processed to produce metrics such as expected returns, volatilities and prediction error to design a portfolio allocation that optimizes a custom utility function like the Sharpe Ratio. The LSTM model produced a portfolio with a return and risk that was close to the actual market conditions for the date in question, but with a high error value, indicating that our LSTM model is insufficient as a sole forecasting tool. However,the ability to predict upward and downward trends was somewhat better than expected and therefore we conclude that multiple neural network can be used as indicators, each responsible for some specific aspect of what is to be analysed, to draw a conclusion from the result. The findings also suggest that the input data should be more thoroughly considered, as the prediction accuracy is enhanced by the choice of variables and the external information used for training.Aktiemarknaden är en icke-linjär marknad, men många av de mest kända portföljoptimerings algoritmerna är baserad på linjära modeller. Under de senaste åren har den snabba utvecklingen inom maskininlärning skapat flexibla modeller som kan extrahera information ur komplexa mönster. I det här examensarbetet föreslår vi två sätt att optimera en portfölj, ett där ett neuralt nätverk utvecklas med avseende på multivariata tidsserier och ett annat där vi använder den linjära Markowitz modellen, där vi även lägger ett exponentiellt rörligt medelvärde på prisdatan. Ingångsdatan till vårt neurala nätverk är de dagliga slutpriserna, volymerna och marknadsindikatorer som t.ex. volatilitetsindexet VIX. Utgångsvariablerna kommer vara de predikterade priserna för nästa dag, som sedan bearbetas ytterligare för att producera mätvärden såsom förväntad avkastning, volatilitet och Sharpe ratio. LSTM-modellen producerar en portfölj med avkastning och risk som ligger närmre de verkliga marknadsförhållandena, men däremot gav resultatet ett högt felvärde och det visar att vår LSTM-modell är otillräckligt för att använda som ensamt predikteringssverktyg. Med det sagt så gav det ändå en bättre prediktion när det gäller trender än vad vi antog den skulle göra. Vår slutsats är därför att man bör använda flera neurala nätverk som indikatorer, där var och en är ansvarig för någon specifikt aspekt man vill analysera, och baserat på dessa dra en slutsats. Vårt resultat tyder också på att inmatningsdatan bör övervägas mera noggrant, eftersom predikteringsnoggrannheten.
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Dantas, Allan Leão. "Otimização multiperíodo por média-variância sem posições a descoberto em ativos de risco." Universidade de São Paulo, 2006. http://www.teses.usp.br/teses/disponiveis/3/3139/tde-13122006-174247/.
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Inicialmente neste trabalho são apresentados os conceitos básicos de média e variância e como estes se aplicam na caracterização de um ativo ou carteira de investimento. Posteriormente são apresentadas as estratégias ótimas de investimento para o modelo de Markowitz sem posições a descoberto em ativos de risco, e sem tal restrição. Ainda neste trabalho é apresentada uma breve revisão do modelo de tempo contínuo para o problema de média-variância sem posições a descoberto em ativos de risco, e como objetivo principal do mesmo é proposto um modelo em tempo discreto multiperíodo a partir do modelo de tempo contínuo, o qual é implementado computacionalmente para o mercado de capitais brasileiro. O resultado obtido é comparado com a estratégia de período único do modelo de Markowitz sem posições a descoberto em ativos de risco, sendo este modelo aplicado sequencialmente no horizonte de tempo considerado para o modelo multiperíodo.Initially in this work are presented the basics concepts of mean and variance and how they are applied to quantify an asset or a portfolio. After this we present the optimal investment strategy of the Markowitz no-shorting constraints mean-variance portfolio selection in single period and the Markowitz optimal investment strategy without such constrain. Following this, we present a short review of the continuous-time dynamic model for the mean-variance portfolio selection with no-shorting constraints in risky assets problem. As the main objective of this work we propose a discrete time multiperiod model based on the continuous-time portfolio selection with no-shorting constraints in risky assets, that is applied to the Brazilian financial market. This result is compared with the investment strategy of the Markowitz no-shorting constraints mean-variance portfolio selection in single period applied sequentially in the multiperiod case.
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Tuomela, Sanna, and Daniela Perez. "Kryptovalutor som en investeringsmöjlighet." Thesis, Linköpings universitet, Institutionen för ekonomisk och industriell utveckling, 2020. http://urn.kb.se/resolve?urn=urn:nbn:se:liu:diva-176310.
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I denna uppsats undersöker vi kryptovalutor ur ett ekonomiskt och finansiellt perspektiv. Vi skapar en optimal portfölj av de 28 största kryptovalutorna enligt marknadsvärdet den 3 mars 2020 genom av att använda oss av Markowitz (1952) portföljvalsteori. Den optimala portföljen jämförs med en marknadsportfölj som är skapad av de 100 största kryptovalutorna enligt marknadsvärdet, för att bilda oss en uppfattning om kryptovalutamarknaden och hur man kan utnyttja kryptovalutor i investeringssyfte. CAPM används för att kunna se relationen mellan risk och avkastning mellan den optimala portföljen och marknadsportföljen. Vi kommer även att undersöka om CAPM ger samma resultat som Markowitz portföljvalsteori. Den optimala portföljen jämförs dessutom med den svenska aktiemarknaden för att undersöka om den optimala kryptovalutaportföljen påverkas av trender på den svenska aktiemarknaden.This thesis studies cryptocurrencies from an economic and financial perspective. The research is carried out by constructing an optimal portfolio of the 28 biggest cryptocurrencies according to market capital on the 3rd of March 2020 by using Markowitz (1952) portfolio optimization theory. The optimal portfolio is then compared to the market portfolio, which is constructed of the hundred largest cryptocurrencies according to market capital, to study the cryptocurrency market. CAPM is also used to find out the risk-return relationship and to see if CAPM gives us the same optimal portfolio as Markowitz portfolio optimization theory. The optimal portfolio is also compared to the Swedish stock market index, OMXS30, to study if the optimal portfolio is affected by trends in the Swedish stock market.
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Pembleton, Christopher James. "Creating Revenue Diversification Among Nonprofits." ScholarWorks, 2018. https://scholarworks.waldenu.edu/dissertations/5245.
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Creating revenue diversification forces nonprofit leaders to create innovative programs and services, build resilience against adverse conditions, and establish a sustainable future. The problem is that some nonprofit managers lack strategies for developing a diversified financial portfolio to achieve sustainability. The purpose of this single-case study was to explore the revenue diversification strategies used by 3 leaders of a nonprofit organization in the eastern region of the United States through the conceptual lens of Markowitz's modern portfolio theory and Thaler's behavioral finance theory. Data were collected using purposeful sampling, semistructured interviews, and analysis of organizational documents, social media platforms, and online databases. Four categories were used to organize the data: process strengths, process opportunities, results strengths, and results opportunities. The key themes that emerged from process strengths and results strengths were utilizing volunteers, collaborating with local partners, developing diverse revenue streams, strong fiscal management, program innovation, and evaluating the market. The key themes that emerged from process opportunities and results opportunities were the lack of written processes and procedures, the lack of process improvement strategies and performance measurement outcomes, the lack of knowledge about donor attrition and retention, and high turnover in the executive director position. Organizational leaders who focus on diversifying revenue streams can serve the mission instead of chasing funding streams that have become more competitive. The social change implication of these findings is that nonprofit leaders could create sustainability through diverse revenue streams, ensuring long-term employment, and sustaining positive social impacts.
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DOMINGUEZ, MONDRAGON ADRIANA. "MODELO DE MARKOWITZ Y SIMULACIÓN MONTE CARLO APLICADOS A UN PORTAFOLIO DE INVERSIÓN CON ACCIONES DEL IPC. 2013-2015." Tesis de Licenciatura, UNIVERSIDAD AUTONOMA DEL ESTADO DE MEXICO, 2015. http://hdl.handle.net/20.500.11799/68032.
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El presente trabajo está conformado por cinco capítulos los cuales describiremos a continuación:
El capítulo I Modelo de Markowitz para teoría de portafolios, en el que hablaremos de cómo surge y cuál es el proceso para lograr la optimización del portafolio por medio de este Modelo determinístico.
El capítulo II Simulación Monte Carlo para el análisis de riesgo, en el cual haremos referencia de cómo funciona el modelo por medio del Programa anexo a Excel llamado Crystal Ball, además de las ventajas y desventajas de usarlo.
El capítulo III Investigación de Operaciones, donde analizaremos a profundidad como dividir nuestros problemas de toma de decisiones con base en los tipos de problemas que se nos presentan.
El Capítulo IV Mercado de Bursátil Mexicano en específico la Bolsa Mexicana de Valores (BMV), donde se analizará cómo está integrado, además de datos relevantes de la BMV.
Por último, el Capítulo V Aplicación de las Metodologías y Comparación de resultados para la optimización del portafolio.
También cuenta con conclusiones en las cuáles daremos respuesta a la hipótesis de nuestro proyecto, además de que se resaltarán las ventajas del mejor análisis de riesgo y las recomendaciones para la toma de decisiones acertada.
Para la presente investigación utilizamos los precios de cierre accionarios de emisoras que cotizan en la Bolsa Mexicana de Valores con el periodo de 1 de enero de 2013 a 31 de julio de 2015, siendo 673 datos.
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RAMOS, ALVAREZ SAMUEL ALBERTO. "Contraste entre un portafolio de inversión basado en la Teoría de Portafolios de Markowitz y Algoritmos Genéticos. Caso: Emisoras que conforman el IPC de la BMV entre 2008 y 2012." Tesis de Licenciatura, UNIVERSIDAD AUTONOMA DEL ESTADO DE MEXICO, 2014. http://hdl.handle.net/20.500.11799/68097.
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El trabajo se estructuró de manera en la que queden claros los objetivos particulares del trabajo de tesis.
En el primer capítulo se describe el marco teórico, en el cual se señalan los fundamentos de la Teoría de portafolios, así como descripciones de los principales exponentes de esta teoría. También se hace una recopilación de diferentes estudios que involucran a los Algoritmos Genéticos. Estos trabajos implementan los Algoritmos Genéticos para resolver diferentes problemas, la mayoría de estos con temas financieros.
En el segundo capítulo se realiza una revisión a la Teoría de Portafolios. Desde un punto de vista teórico, se expone la manera en que se construye un portafolio de inversión mediante esta teoría, así como los conceptos que fundamentan dicha teoría. Es necesario mencionar que este capítulo es bastante teórico, se explican valores como esperanza matemática, varianza, tanto para una variable como para más de dos.
En el tercer capítulo de describe la teoría de Algoritmos Genéticos, esta teoría es nueva dentro de los estudios realizados anteriormente presentados dentro de la UAEM, por lo que se profundiza en la teoría y se explica de la manera más clara posible para su completo entendimiento. Este capítulo se basa en suficiente bibliografía para poder describir la teoría de la mejor manera posible, ya que, como no se ha estudiado este tema, es importante que se estudie de manera completa.
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Štolc, Zdeněk. "Finanční optimalizace." Master's thesis, Vysoká škola ekonomická v Praze, 2009. http://www.nusl.cz/ntk/nusl-15686.
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This thesis is focused on a theoretical explanation of some models for the optimization stock portfolios with different risk measure. The theory of the nonlinear programming is detailed developed and also basic Markowitz`s model with another optimization models as Konno -- Yamazaki`s model, Roy`s model, semivariance approach and Value at Risk approach, which are based on alternative risk measure. For all models the assumptions of their applications are highlighted and the comparation of these models is made too. Analytical part is concerned in the construction of the effecient portfolios according to the described models is made on the historical market prices of 13 companies traded on Prague Stock Exchange in SPAD.
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Jansson, Nils-Henrik, and Madelene Winberg. "Aktiv eller inte aktiv i PPM – Får du betalt för din risk? En teoriprövande analys genom Markowitz moderna portföljteori." Thesis, Linköpings universitet, Nationalekonomi, 2016. http://urn.kb.se/resolve?urn=urn:nbn:se:liu:diva-125609.
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I och med pensionsreformen vid sekelskiftet lades ett större ansvar på den individuelle pensionsspararen då man nu själv ska besluta hur en del av den allmänna pensionen ska placeras. Syftet med denna uppsats är att analysera huruvida det hade varit möjligt för en pensionssparare att uppnå en högre riskjusterad avkastning för sin premiepension genom att göra ett aktivt val i form av en egen sammansatt portfölj, än att låta staten förvalta pensionen i förvalsalternativet AP7 Såfa. Analysen är baserad på Harry Markowitz etablerade moderna portföljteori där han uppmärksammade hur sparare genom diversifiering kan reducera risken i sin placering genom att välja tillgångar som inte fullt samvarierar. Genom användning av tillgänglig data för tidsperioden 2000 – 2014 över de fonder som finns valbara i PPM-systemet har vi beräknat de optimala portföljer med samma risknivå som förvalsalternativet. Därefter har dessa jämförts med försvarsalternativet med avseende på risk och avkastning. Dessutom har tre teoretiska portföljer satts samman över en period på tio år, som placerats som dessa optimala portföljer och omallokerats efter Markowitz rekommendation att se över sitt sparande en gång om året. Analysen visar att det har gått att uppnå en högre riskjusterad avkastning genom att själv göra ett aktivt val av portfölj i sitt sparande. Problemet ligger i att det är svårt att identifiera dessa portföljer i förtid. De tre teoretiska portföljerna har samtliga presterat väsentligt mycket sämre än vad förvalsalternativet har gjort under samma tidsperiod. Resultatet visar att förvalsalternativet inte är fullt riskjusterat, man har alltså inte fullt fått betalt för den risk man tagit i sitt sparande. Vi drar ändå slutsatsen att förvalsalternativet är ett fullgott alternativ.The Swedish premium pension reform at the turn of the century resulted in a greater responsibility for the individual saver. The decision concerning how the premium pension should be invested now lies with the investor. The purpose of this thesis is to analyze whether it had been profitable for a saver to achieve a higher risk-adjusted return for its premium pension money contributions by making an active choice by a self-composed portfolio, rather than to allow the State to invest the capital in the Seventh AP Fund (AP7 Såfa) which is the default option. The analysis is based on Harry Markowitz’s established Modern Portfolio Theory by which he drew attention to how investors through diversification can reduce risk in its investment by choosing assets that are not fully correlated. By using the available data of the funds that were selectable in the Swedish Premium Pension system by the time period 2000 – 2014, we have calculated the optimized portfolios with the same risk level as the default option. Subsequently, a comparison of these optimized portfolios and the default option are made in terms of risk and return. Furthermore, three theoretical portfolios are put together over a period of ten years and are invested as these optimized portfolios and reallocated after Markowitz's recommendation to review their savings once a year. The analysis shows that it has been possible to achieve higher risk-adjusted returns by making an active choice of portfolio. The problem though is that it is difficult to identify these portfolios in advance. The three theoretical portfolios have all generated a lower return than the default option did during the same period. The result shows that the default option is not fully risk-adjusted. Nonetheless, we conclude that the default fund is a good alternative.
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Córdova, Ayala Diego Alonso. "Modelo de markowitz con metodología EWMA para construir un portafolio diversificado en acciones en la bolsa de valores de Lima." Bachelor's thesis, Universidad Nacional Mayor de San Marcos, 2015. https://hdl.handle.net/20.500.12672/4672.
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Para la toma de decisiones al invertir en el mercado bursátil, un inversionista debe contemplar no solo la rentabilidad que espera obtener de su inversión sino también el riesgo asociado a ésta, como consecuencia de ello, el panorama será integral y el inversionista se encontrará lo más informado posible. En esta investigación se presenta un modelo de optimización para la asignación estratégica de activos sobre la base de la rentabilidad y riesgo históricos, modelo de Markowitz, que se acompaña de la metodología EWMA o promedio móvil ponderado exponencialmente para la medición de la volatilidad dada la heterocedasticidad de la varianza que está presente en las series financieras actuales. El objetivo de construir portafolios diversificados en acciones en la Bolsa de Valores de Lima es proporcionar alternativas de rentabilidad esperadas minimizando el riesgo no sistemático, cumpliendo con el principio de diversificación eficiente, para que se tome la decisión de invertir según el portafolio que se adecue al perfil del inversionista. Los resultados son favorables y validadas las hipótesis se concluye que por el modelo de optimización propuesto se construyen portafolios eficientes y diversificados en acciones, con menor riesgo y mayor rentabilidad que los índices bursátiles de la Bolsa de Valores de Lima. PALABRAS CLAVE: BOLSA DE VALORES, DIVERSIFICACION, EWMA, H. MARKOWITZ, FRONTERA EFICIENTE, RAR.--- For making decisions to invest in the stock market, an investor must consider not only the returns expected from their investment but also the risk associated with it. As a consequence of that, the outlook will be integral and he will be informed as possible. In this research is presented an optimizing model for strategic asset allocation based on the historical risk and returns, Markowitz’s model, complemented by EWMA or exponentially weighted moving average methodology for measuring volatility given the heteroscedasticity of the variance that is present in the current financial series. The aim of building diversified portfolios in shares on the Lima Stock Exchange is to provide alternatives of expected returns minimizing unsystematic risk, accomplish with the efficient diversification principle, so the decision to invest is according to the portfolio that fits the investor profile. Favorable results and validated hypotheses conclude that the model of optimization proposed can build efficient and diversified portfolios in shares with lower risk and higher returns than stock indices of Lima Stock Exchange. KEYWORDS: STOCK EXCHANGE, DIVERSIFICATION, EWMA, H. MARKOWITZ, EFFICIENT FRONTIER, RAR.
Tesis
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Zhang, Yafei. "Comparative Analysis of Ledoit's Covariance Matrix and Comparative Adjustment Liability Management (CALM) Model Within the Markowitz Framework." Digital WPI, 2014. https://digitalcommons.wpi.edu/etd-theses/790.
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Estimation of the covariance matrix of asset returns is a key component of portfolio optimization. Inherent in any estimation technique is the capacity to inaccurately reflect current market conditions. Typical of Markowitz portfolio optimization theory, which we use as the basis for our analysis, is to assume that asset returns are stationary. This assumption inevitably causes an optimized portfolio to fail during a market crash since estimates of covariance matrices of asset returns no longer re ect current conditions. We use the market crash of 2008 to exemplify this fact. A current industry standard benchmark for estimation is the Ledoit covariance matrix, which attempts to adjust a portfolio's aggressiveness during varying market conditions. We test this technique against the CALM (Covariance Adjustment for Liability Management Method), which incorporates forward-looking signals for market volatility to reduce portfolio variance, and assess under certain criteria how well each model performs during recent market crash. We show that CALM should be preferred against the sample convariance matrix and Ledoit covariance matrix under some reasonable weight constraints.
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Fan, Kevin, and Rasmus Larsson. "Portföljoptimering med courtageavgifter." Thesis, KTH, Optimeringslära och systemteori, 2014. http://urn.kb.se/resolve?urn=urn:nbn:se:kth:diva-146748.
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Ever since it was first introduced in an article in the Journal of Finance 1952, Harry Markowitz’ mean - variance model for portfolio selection has become one of the best known models in finance. The model was one of the first in the world to deal with portfolio optimization mathematically and have directly or indirectly inspired the rest of the world to develop new portfolio optimization methods. Although the model is one of the greatest contributions to modern portfolio theory, critics claim that it may have practical difficulties. Partly because the Markowitz model is based on various assumptions which do not necessarily coincide with the reality. The assumptions which are based on the financial markets and investor behavior contain the simplification that there are no transaction costs associated with financial trading. However, in reality, all financial products are subject to transaction costs such as brokerage fees and taxes. To determine whether this simplification leads to inaccurate results or not, we derive an extension of the mean-variance optimization model which includes brokerage fees occurred under the construction of an investment portfolio. We then compare our extension of the Markowitz model, including transaction costs, with the standard model. The results indicate that brokerage fees have a negligible effect on the standard model if the investor's budget is relatively large. Hence the assumption that no brokerage fees occur when trading financial securities seems to be an acceptable simplification if the budget is relatively high. Finally, we suggest that brokerage fees are negligible if the creation of the portfolio and hence the transactions only occurs once. However if an investor is active and rebalances his portfolio often, the brokerage fees could be of great importance.Harry Markowitz portföljoptimeringsmodell har sedan den publicerades år 1952 i en artikel i the journal of Finance, blivit en av de mest använda modellerna inom finansvärlden. Modellen var en av dem första i världen att hantera portföljoptimering matematiskt och har direkt eller indirekt inspirerat omvärlden att utveckla nya portföljoptimeringsmetoder. Men trots att Markowitz modell är ett av de största bidragen till dagens portföljoptimeringsteori har kritiker hävdat att den kan ha praktiska svårigheter. Detta delvis på grund av att modellen bygger på olika antaganden som inte nödvändigtvis stämmer överens med verkligheten. Antagandena, som är baserad på den finansiella marknaden och individers investeringsbeteende, leder till förenklingen att transaktionskostnader inte förekommer i samband med finansiell handel. Men i verkligheten förekommer transaktions-kostnader som courtageavgifter och skatter nästintill alltid vid handel av finansiella produkter som t.ex. värdepapper. För att avgöra om modellen påvisar felaktiga resultat på grund av bortfallet av courtageavgifter härleds en utvidgning av Markowitz modell som inkluderar courtageavgifter. Utvidgningen av Markowitz modell jämförs sedan med originalmodellen. Resultaten tyder på att courtageavgifter har en försumbar effekt på originalmodellen om investeraren har en stor investeringsbudget. Slutsatsen är därför att, förenklingen att inga courtageavgifter förekommer är en acceptabel förenkling om investeringsbudgeten är stor. Det föreslås slutligen att courtageavgiften är försumbar om transaktionen av aktier endast sker en gång. Men om en investerare är aktiv och ombalanserar sin portfölj flitigt, kan courtageavgifterna vara av stor betydelse.
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Islam, Abu Hena Md Mamnul, and Md Faisal. "Investment Diversification : A study on six European Countries." Thesis, Umeå universitet, Handelshögskolan vid Umeå universitet (USBE), 2011. http://urn.kb.se/resolve?urn=urn:nbn:se:umu:diva-54671.
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"It is the part of a wise man to keep himself today for tomorrow, and not venture all his eggs in one basket." - Don Quixote (Part I, Book III, Chapter 9) by Miguel de Cervantes Saavedra [1547-1616] This research aimed to investigate whether it is possible for investors to diversify their investment and reduce the risk of investment by investing in the selected European countries. Stock market cointegration and international diversification is a widely accepted topic among the scholars and academics in recent years. This current study is motivated from the significant amount of interesting studies in this field. A combination of not perfectly positively correlated instruments gives the investor an opportunity to gain from portfolio diversification. Similarly, Investors can attain diversification benefit if one country’s stock market is not cointegrated with other country’s stock market. Six European countries and a time frame of ten years (January, 2001 to December, 2010) have been taken into consideration for the purpose of this research. The countries are UK, Denmark, Germany, Spain, Poland, and Czech Republic. The time period of the study is divided into two sub period to observe the recent crisis effect on these selected countries. A quantitative approach is adopted in the research. We used an econometric model for this research which is Johansen and Juselius multivariate cointegration approach. The evidence from the study suggest that although cointegration exists among the selected countries in some extent, investors can still get some diversification opportunity by investing in the emerging countries (Czech Republic and Poland). This study is unique in the sense that in our research, we wanted to fill the research gap by combining new and old EU member countries with the latest time period of study and also considered the recent crisis effect. This study has a number of implications on portfolio managers, policy makers, and academic scholars.
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CONTRERAS, MERCADO AZUCENA, and MARTINEZ ANA YELLI SANCHEZ. "CONSTRUCCIÓN DE UN PORTAFOLIO DE INVERSIÓN QUE MINIMICE EL RIESGO DE LA INVERSIÓN Y MAXIMICE EL RENDIMIENTO HACIENDO COMPARACIÓN ENTRE LOS MODELOS MARKOWITZ Y MONTECARLO." Tesis de Licenciatura, UNIVERSIDAD AUTONOMA DEL ESTADO DE MEXICO, 2016. http://hdl.handle.net/20.500.11799/94331.
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El objetivo del presente trabajo es proponer una metodología objetiva para la selección de portafolios en el corto plazo que solucione las necesidades de los inversionistas, proponiendo los diferentes movimientos diarios de acciones necesarios para obtener una buena rentabilidad.
El trabajo consta de una introducción donde se da a conocer de manera general la estructura de la tesis. Posteriormente en el Capítulo 1, se abordará el tema del Sistema Financiero Mexicano, generalidades, operaciones, Sistema Bursátil, Bolsa Mexicana de Valores, Mercado de Valores, Mercado Financiero y su función, Intermediarios Financieros e Instituciones Financieras, Factores determinantes de los Activos y Tasas de Interés, Mercado de Instrumentos Derivados, Mercado de Futuros Financieros, Mercado de Opciones, Organismos Reguladores del Sistema Financiero Mexicano, así como el Índice de Precios y Cotizaciones; entre otros.
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Naidoo, Lushan. "A Markowitz mean-variance analysis of hedge fund investments for multi-asset class portfolio holders in South Africa." Master's thesis, University of Cape Town, 2015. http://hdl.handle.net/11427/28981.
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This research aims to provide insight into the hedge fund industry in South Africa. The focus is on retirement funds and the use of hedge funds in a multi-asset class portfolio. Diversification is an important tool for portfolio managers who make use of correlation to achieve higher risk-adjusted returns for investors. As such this paper tests whether higher risk-adjusted returns can be achieved in well diversified multi-asset class portfolios if hedge funds are included. To test for the optimal risk-adjusted returns that can be achieved, mean-variance, mean-semi variance and Omega portfolios were created. The results suggest that portfolios that include hedge fund investments outperformed those that exclude it using mean-variance, mean-semi variance and Omega analysis. Furthermore it was found that portfolios that included Pure Hedge Funds outperformed those that included Fund of Hedge Funds. The evidence suggests that hedge fund investments should be included in a well-diversified South African multi-asset class portfolio, with Pure Hedge Funds being preferred to Fund of Hedge Funds.
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Castro, Lucas Ferreira de. "EstratÃgia de composiÃÃo de carteira Ãtima de fundos de investimento para os regimes prÃprios de previdÃncia social com base na seleÃÃo de portfÃlio de Markowitz." Universidade Federal do CearÃ, 2014. http://www.teses.ufc.br/tde_busca/arquivo.php?codArquivo=13673.
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nÃo hÃEste trabalho propÃe uma estratÃgia de alocaÃÃo Ãtima dos ativos dos RPPS exclusivamente em fundos de investimentos, respeitando-se os limites impostos pela ResoluÃÃo CMN n. 3.922 de 25 de novembro de 2010. Esta pesquisa foi motivada a partir de um cenÃrio com tendÃncia de estagnaÃÃo das taxas de juros (SELIC), frente ao aumento da expectativa de vida dos brasileiros, impondo aos RPPS metas atuarias desafiadoras, que talvez possam nÃo ser cumpridas por gestÃo passiva, alocando os recursos de forma conservadora em renda fixa. TambÃm pretende-se, com este trabalho, apresentar uma alternativa para a polÃtica de investimentos, especialmente para os pequenos municÃpios que possuem RPPS, haja vista a escassez de capital humano para gerir os recursos nesses municÃpios. A partir da base de dados de fundos de investimento da empresa Quantum, foram selecionados quarenta fundos de investimentos de renda fixa e variÃvel com melhor desempenho no Ãndice Information Ratio nos Ãltimos 12 meses. Em seguida, elaborou-se a matriz de covariÃncia desses fundos para formar uma carteira Ãtima a partir da minimizaÃÃo da variÃncia da carteira in sample, conforme proposto por Markowitz na sua Teoria de SeleÃÃo de PortfÃlio. Este processo à refeito a cada trÃs meses com base nas cotaÃÃes histÃricas diÃrias compreendidas entre o perÃodo de janeiro de 2008 a outubro de 2013. Os resultados demonstram que a rentabilidade acumulada da carteira formada pela estratÃgia proposta supera vis a vis os benchmarks SELIC, IBOVESPA, IMA Geral, IMA-B e IPCA+6% no perÃodo de janeiro de 2009 a dezembro de 2013, destacando-se o cumprimento da meta atuarial (IPCA+6%) em quatro dos cinco exercÃcios analisados, resultando num percentual acumulado de 20,30% a mais do que a meta atuarial. Conclui-se que a estratÃgia mostra-se consistente e pode ser adaptada aos RPPS, de acordo com suas caracterÃsticas e polÃticas de investimentos.
This paper proposes an optimal asset allocation strategy of RPPS exclusively in investment funds, respecting the limits imposed by CMN Resolution no. 3.922 of November 25, 2010. This resarch is motivated from the trend of a scenario of low interest rates (SELIC) against the increase in life expectancy by requiring actuarial RPPS challenging targets, which perhaps can not be hit with a passive management, allocating resources conservatively in fixed income. Also intended with this paper to presente na alternative to the policy of investiments, especially for small municipalities that have RPPS, given the scarcity of human capital to manage the resourses in these cities. From the database of investment fund Quantum, thirty investment funds in fixed income and variable were selected with better performance in the Information Ratio index in last 12 months. Then builds up the covariance matrix these funds, to form an optimal portfolio from the minimization of the variance in the portfolio sample, as proposed by Markowitz in his Theory of Portfolio Selection. This process is redone every three months based on the daily historical quotes between the period January 2008 to October 2013. The results demonstrate that cumulative profitability of the portfolio formed by the proposed strategy outperforms the benchmarks SELIC, Bovespa Index, IMA Geral, IMA-B and IPCA+6% from January 2009 to December 2013, emphasizing compliance with the actuarial target (IPCA+6%) in all years, resulting in a cumulative percentage of 20.30% more than the acturaial target. The conclusion shows that the strategy is consistente and can be adapted to RPPS according to their characteristics and investment policies.
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Lima, Junior Melquiades Pereira de. "Modelo de covari?ncia bayesiana para sele??o de protf?lios de investimentos." Universidade Federal do Rio Grande do Norte, 2011. http://repositorio.ufrn.br:8080/jspui/handle/123456789/15024.
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Previous issue date: 2011-12-21The portfolio theory is a field of study devoted to investigate the decision-making by investors of resources. The purpose of this process is to reduce risk through diversification and thus guarantee a return. Nevertheless, the classical Mean-Variance has been criticized regarding its parameters and it is observed that the use of variance and covariance has sensitivity to the market and parameter estimation. In order to reduce the estimation errors, the Bayesian models have more flexibility in modeling, capable of insert quantitative and qualitative parameters about the behavior of the market as a way of reducing errors. Observing this, the present study aimed to formulate a new matrix model using Bayesian inference as a way to replace the covariance in the MV model, called MCB - Covariance Bayesian model. To evaluate the model, some hypotheses were analyzed using the method ex post facto and sensitivity analysis. The benchmarks used as reference were: (1) the classical Mean Variance, (2) the Bovespa index's market, and (3) in addition 94 investment funds. The returns earned during the period May 2002 to December 2009 demonstrated the superiority of MCB in relation to the classical model MV and the Bovespa Index, but taking a little more diversifiable risk that the MV. The robust analysis of the model, considering the time horizon, found returns near the Bovespa index, taking less risk than the market. Finally, in relation to the index of Mao, the model showed satisfactory, return and risk, especially in longer maturities. Some considerations were made, as well as suggestions for further work
A teoria de portf?lio ? um campo de estudos que se dedica a investigar a tomada de decis?o por investidores de recursos. O prop?sito desse processo ? a redu??o do risco por meio da diversifica??o e, portanto, a garantia de determinado retorno. Apesar disso, o modelo cl?ssico de M?dia-Vari?ncia cont?m cr?ticas quanto a sua parametriza??o, observa-se que o uso da vari?ncia e covari?ncias possui sensibilidade ao mercado e ? estima??o de par?metros. Como forma de redu??o dos erros de estima??o, os modelos bayesianos possuem mais flexibilidade na modelagem, com a possibilidade de inserir par?metros quantitativos e qualitativos sobre o comportamento do mercado como forma de redu??o de erros. Observando isso, o presente trabalho teve como objetivo formular um novo modelo de matriz por meio do teorema de Bayes, como forma de substitui??o da covari?ncia no modelo M-V, denominado de MCB - Modelo de Covari?ncia Bayesiana. Para avalia??o do modelo, algumas hip?teses s?o formuladas por meio do m?todo ex post facto e por an?lise de sensibilidade. Os benchmarks utilizados como refer?ncia foram: (1) o modelo cl?ssico de M?dia Vari?ncia; (2) o ?ndice de mercado da Bovespa; e, (3) 94 Fundos de Investimento. Os retornos acumulados durante o per?odo de maio de 2002 a dezembro de 2009 demonstraram superioridade do MCB em rela??o ao modelo cl?ssico M-V e o ?ndice Bovespa, por?m assumindo um pouco mais de risco diversific?vel que o M-V. A an?lise robusta do modelo, considerando o horizonte de tempo, constatou retornos pr?ximos ao Ibovespa, considerando menor risco que o mercado. Por ?ltimo, em rela??o ao ?ndice de Mao, o modelo se demonstrou satisfat?rio, em retorno e risco, principalmente em prazos mais longos. Por fim, algumas considera??es s?o realizadas, bem como sugest?es de futuros trabalhos
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Miguel, Franklin Kelly. "Aplicação da teoria de portfólio de Markowitz para a geração de energia elétrica proveniente de empreendimentos eólicos no Brasil." Universidade de São Paulo, 2016. http://www.teses.usp.br/teses/disponiveis/3/3143/tde-23012017-143349/.
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A geração hidrelétrica é dependente da afluência, no entanto, é possível minimizar a variação da energia natural afluente por meio dos reservatórios. Por sua vez, a geração eólica tem como desvantagem a volatilidade devido a sua dependência em relação ao vento. Nesse sentido, uma carteira otimizada de projetos eólicos possibilita a redução da volatidade da energia gerada pelo conjunto, na medida em que aproveita as complementariedades do vento. No Brasil, os Estados da Bahia, Rio Grande do Norte, Ceará, Rio Grande do Sul e Piauí concentram 90% da capacidade instalada das usinas eólicas em operação, em construção ou contratada, com uma previsão da fonte atingir 11,6% de participação na matriz elétrica. A pesquisa tem como objetivo desenvolver uma metodologia de apoio baseada na teoria de portifólio de Markowitz que poderá ser utilizada pelo órgão de planejamento energético brasileiro para a definição da quantidade de energia a ser contratada por fonte e local, por meio de leilões de energia regionais e por fonte, com o objetivo de se obter uma carteira otimizada de empreendimentos, que reduza a volatilidade. O método também pode servir de apoio ao investidor para se obter um portfólio de usinas que minimize o risco de exposição financeira no mercado de curto prazo. Nenhum estudo aplicando a teoria de portifólio de Markowitz em usinas eólicas do Brasil foi encontrado na literatura. Os resultados obtidos demonstram que a carteira formada pelas usinas eólicas existentes não está na fronteira eficiente e poderia ser otimizada com aumento da expectativa de geração ou redução do risco. No mesmo sentido, a otimização da carteira também reduziu o risco de exposição ao mercado de curto prazo.Even though the hydroelectric generation is highly dependent on the river flows, it is possible to minimize the volatility of the energy generation in a given period using the storage capacity of the reservoirs. In contrast, to minimize the volatility of the wind generation is burdensome due to its dependency on wind. Accordingly, an optimized portfolio of wind projects all together allows the reduction of the volatility of the energy generation for the complementarity of wind from different locations. In Brazil, the states of Bahia, Rio Grande do Norte, Ceara, Rio Grande do Sul and Piauí concentrate 90% of the installed capacity of wind power plants in operation, under construction or contracted with a font forecast to reach 11.6% share the electric matrix. The Thesis aims to develop a support methodology based in portfolio theory of Markowitz that can be used by the Brazilian-planning agency in future, to define the amount of energy to be contracted by source and location, through regional and source energy auctions, to obtain an optimized portfolio projects, with reduced volatility. The methodology can also serve to support the investor to obtain a portfolio of plants that minimize the risk of financial exposure to short-term market. No study applying Markowitz\'s portfolio theory in wind farms of Brazil was found in the literature. The results show that the portfolio of the existing wind farms is not on the efficient frontier and could be optimized with increased expectation of generating or reducing the risk. Similarly, the optimization of the portfolio also reduced the risk of exposure to short-term market.
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Vita, Marco. "Un modello di asset allocation strategica." Bachelor's thesis, Alma Mater Studiorum - Università di Bologna, 2015. http://amslaurea.unibo.it/8487/.
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La tesi affronta il problema di Finanza Matematica dell'asset allocation strategica che consiste nel processo di ripartizione ottimale delle risorse tra diverse attività finanziarie presenti su un mercato. Sulla base della teoria di Harry Markowitz, attraverso passaggi matematici rigorosi si costruisce un portafoglio che risponde a dei requisiti di efficienza in termini di rapporto rischio-rendimento. Vengono inoltre forniti esempi di applicazione elaborati attraverso il software Mathematica.
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Anane, Asomani Kwadwo. "Sustainability for Portfolio Optimization." Thesis, Mälardalens högskola, Akademin för utbildning, kultur och kommunikation, 2019. http://urn.kb.se/resolve?urn=urn:nbn:se:mdh:diva-44560.
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The 2007-2008 financial crash and the looming climate change and global warming have heightened interest in sustainable investment. But whether the shift is as a result of the financial crash or a desire to preserve the environment, a sustainable investment might be desirable. However, to maintain this interest and to motivate investors in indulging in sustainability, there is the need to show the possibility of yielding positive returns. The main objective of the thesis is to investigate whether the sustainable investment can lead to higher returns. The thesis focuses primarily on incorporating sustainability into Markowitz portfolio optimization. It looks into the essence of sustainability and its impact on companies by comparing different concepts. The analysis is based on the 30 constituent stocks from the Dow Jones industrial average or simply the Dow. The constituents stocks of the Dow, from 2007-12-31 to 2018-12-31 are investigated. The thesis compares the cumulative return of the Dow with the sustainable stocks in the Dow based on their environmental, social and governance (ESG) rating. The results are then compared with the Dow Jones Industrial Average denoted by the symbol (^DJI) which is considered as the benchmark for my analysis. The constituent stocks are then optimized based on the Markowitz mean-variance framework and a conclusion is drawn from the constituent stocks, ESG, environmental, governance and social asset results. It was realized that the portfolio returns for stocks selected based on their environmental and governance ratings were the highest performers. This could be due to the fact that most investors base their investment selection on the environmental and governance performance of companies and the demand for stocks in that category could have gone up over the period, contributing significantly to their performance.
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HERNANDEZ, ORTEGA LINDA JOSELINNE. "Elaboración de un portafolio de inversión conformado por las divisas más representativas del mercado y de acciones de empresas en países emergentes del 2016 a 2018." Tesis de Licenciatura, UNIVERSIDAD AUTONOMA DEL ESTADO DE MEXICO, 2019. http://hdl.handle.net/20.500.11799/105297.
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El presente trabajo comprende la investigación del concepto de portafolio de
inversión, de los mercados de divisas y de los mercados de acciones, su impacto
económico y el funcionamiento que tienen dentro de la economía, con el propósito
de poder elaborar un portafolio de inversión que esté integrado por acciones
emitidas por empresas de países emergentes y por las divisas operadas en el
mercado FOREX, utilizando la metodología de Markowitz para obtener las
ponderaciones de los activos en el caso de la minimización del riesgo y la
maximización del rendimiento.
En el primer capítulo se hará referencia a las teorías planteadas para la
elaboración de los portafolios de inversión, sirviendo como base para su
comprensión y mejor entendimiento. Las definiciones planteadas servirán para
brindar una introducción a las bases de los activos que conforman el portafolio,
para posteriormente analizar de una manera más profunda en el segundo capitulo
al mercado de divisas y al de acciones, comprendiendo su importancia económica
y el impacto que han tenido ambos mercados con sus operaciones a nivel global.
En el tercer capítulo del trabajo, se procederá a la elaboración del portafolio de
inversión, con el objeto de comprobar la hipótesis y responder a la pregunta de
investigación. Se analiza a detalle la selección de los activos, una breve
descripción de cada uno de ellos y su comportamiento en los países respectivos
de su emisión, justificando la selección de estos para el portafolio y concluyendo
con la conformación del portafolio, calculando sus posibles riesgos, agregando las
ponderaciones calculadas para cada activo y justificando la conformación de este.
47
Xiao, Zhifu. "A Comparative Analysis of an Interior-point Method and a Sequential Quadratic Programming Method for the Markowitz Portfolio Management Problem." Oberlin College Honors Theses / OhioLINK, 2016. http://rave.ohiolink.edu/etdc/view?acc_num=oberlin1463008420.
Full text
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Uwais, Syed Muhammad. "Integration of expert system and analytic hierarchical process for the selection and evaluation of R&D projects in the pharmaceutical industry." Ohio : Ohio University, 1995. http://www.ohiolink.edu/etd/view.cgi?ohiou1178823422.
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Soares, Hugo Miguel Abrantes. "Estratégias de "momentum" baseadas em optimizaçõesdo retorno em função do risco." Master's thesis, Instituto Superior de Economia e Gestão, 2012. http://hdl.handle.net/10400.5/4532.
Full textAbstract:
Mestrado em Decisão Económica e EmpresarialO presente trabalho pretendeu estender o conceito de momentum - usualmente definido considerando apenas rentabilidades - para a inclusão do factor risco, e testar estratégias que utilizassem este conceito na determinação da composição de uma carteira de investimento . Definiu-se como carteira "vencedora" (carteira com momentum) a que optimizasse a relação risco-retorno segundo a formulação original de Markowitz (Markowitz, Portfolio Selection, 1952); e as estratégias em estudo consistem em investir por determinado período de tempo futuro numa carteira identificada como "vencedora" para determinado período de tempo passado. Foram considerados diferentes horizontes temporais, tanto para a optimização, como para a manutenção do investimento, e foram considerados diferentes perfis de risco para as optimizações. Como objecto de estudo foi seleccionado um conjunto de índices diverso, cujo comportamento pudesse ser facilmente replicável por fundos de investimento e/ou ETFs (exchange traded funds).
This study aimed to extend the concept of momentum - usually defined exclusively considering data on returns - to include the concept of risk; and it aimed to test investment strategies that made use of this concept in the determination of a portfolio composition. A "winning portfolio" (or the portfolio w'th momentum) was defined as the portfolio that maximized the return considering the risk, according to the original Markowitz formulation (Markowitz, Portfolio Selection, 1952); and the strategies to test consist on investing for a determined subsequent period in a portfolio equal to the "winning portfolio" identified for a determined past period. Different time horizons were considered for both optimization and investment maintenance, and different risk aversion profiles were considered for the optimizations. The study focused on a diverse set of indices, assessable for investment through mutual funds and/or ETFs (exchange traded funds).
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SALGADO, MERCADO MARIA GUADALUPE. "CÁLCULO DEL VALOR EN RIESGO (VAR) PARA UN PORTAFOLIO DE FONDOS DE INVERSIÓN DE RENTA VARIABLE OPTIMIZADO CON LA METODOLOGÍA DE MARKOWITZ." Tesis de Licenciatura, UNIVERSIDAD AUTONOMA DEL ESTADO DE MEXICO, 2013. http://hdl.handle.net/20.500.11799/68093.
Full textAbstract:
La estructura empleada para la realización de este trabajo consta de tres capítulos.
El Capítulo 1, brinda un panorama del Sistema Financiero Mexicano, se estudian los
dos sectores por los que está constituido, el Sector Bancario y el Sector Bursátil,
adicionalmente se especificaran los organismos encargados de su buen
funcionamiento, se establecerá la clasificación de los Mercados Financieros y se
estudiara a los fondos de inversión como una alternativa de inversión.
Dentro del Capítulo 2, se analizará la Teoría de Portafolios de Inversión, iniciando con
una breve descripción de la Administración de Riesgos y continuado con el Riesgo, sus
tipos, componentes y la relación que existe con el rendimiento, la diversificación y
optimización de portafolios, la teoría de Markowitz, el Modelo de Valoración de Activos
de Capital (CAPM) y el Valor en Riesgo de un portafolio, incluyendo algunos métodos
para obtener el VaR.
4
Finalmente, en el capítulo 3 se iniciara con la construcción de dos portafolios de
inversión, el primero será un portafolio óptimo basado en la teoría de markowitz y el
segundo será un portafolio aleatorio; una vez concluida la construcción del portafolio se
obtendrá el VaR para cada uno de ellos para posteriormente compararlos y demostrar
que el nivel de riesgo al invertir en un Portafolio Óptimo es menor que el de un
Portafolio aleatorio.