Alternative Methods of Estimating Investor´s Risk Appetite

Detta är en Master-uppsats från KTH/Matematisk statistik

Författare: Felix Kuritzén; [2019]

Nyckelord: Risk appetite; Riskaptit;

Sammanfattning: In this thesis three risk appetite indexes are derived and measured from the beginning of 2006 to the end of the first quarter in 2019. One of the risk appetite indexes relies on annualized returns and volatilities from risky and safe assets while the others relies on subjective and risk neutral probability distributions. The distributions are obtained from historical data on equity indexes and from a wide spectrum of option prices with one month until the options expires. All data is provided by Refinitiv through Öhman Fonder. The indexes studied throughout the thesis is provided by authors from financial institutions such as Bank of England, Bank of International Settlements and Credit Suisse First Boston. I conclude in this thesis that the Credit Suisse First Boston index and the Bank of International Settlements index generated the most intuitive result regarding expected response after major financial events. A principal component analysis demonstrated that the Credit Suisse First Boston index held most of the information in terms of explanation of variance. At last, the indexes was used as a trend-following strategy for asset allocation for switching between a safe versus a risky portfolio. A trend in the risk appetite was studied for 2 to 12 months back in time and resulted in that all of the risk appetite indexes studied throughout the thesis can be a helpful tool to asset allocation.  

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