Portföljinvestering med daglig riskminimering

Detta är en Kandidat-uppsats från Lunds universitet/Nationalekonomiska institutionen

Sammanfattning: The purpose of this thesis is to investigate if it is meaningful to use a portfolio strategy that minimizes the portfolio risk every day, when the investment horizon is 10 years. To minimize the portfolio risk a EWMA (Exponentially Weighted Moving Average) method is used to calculate the conditional variance-covariance matrix. This matrix is used to calculate the portfolio weight that minimizes the risk constraint to a target return. To evaluate this strategy a second strategy is used as a benchmark strategy. This strategy does not change the portfolio weight during the investment period. The method to evaluate the performance of the strategies is to compare their Sharpe-ratios on a yearly basis. The evaluation shows that the risk minimizing strategy has a higher Sharpe-ratio than the benchmark strategy, and that this risk minimizing strategy handles a changing market environment in a more satisfying way. The conclusion is that it is better to choose the risk minimizing strategy over a strategy that does not minimize the risk.

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