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Portfolio Optimization: Constructing portfolios by combining investment strategies
Umeå University, Faculty of Science and Technology, Department of Mathematics and Mathematical Statistics.
2019 (English)Independent thesis Basic level (degree of Bachelor), 10 credits / 15 HE creditsStudent thesis
Abstract [sv]

I detta arbete tillämpas en metod för att erhålla en optimal kombination av portföljer som följer olika investeringsstrategier. Detta görs genom att använda en datamängd av historiska stängningspriset för olika typer av värdepapper. Resultatet blir ett urval av totalt 58 olika portföljer vars optimala kombinationer med avseende på riskbenägenhet utvärderas med tre olika riskmått. Det huvudsakliga resultatet presenterat i denna uppsats är den optimala kombinationen för era olika strategier beroende på riskbenägenhet. Portföljavkastning och risken är även utvärderad för sex olika investeringshorisonter, från ett år till totalt tretton år. Det visas att conditional value at risk jämförd med varians och mean absolute deviation resulterar i högre diversi ering. Det visas även att e ekter av tidsdiversi ering har stor negativ påverkan av risken i relation till avkastning.

Abstract [en]

In this work a method for nding the optimal portfolio diversi cation among a set of nite investment strategies is applied. This is done by implementing a simulation method for a data set of historical daily closing prices for di erent types of securities. This results in a total of 58 di erent portfolios for which the optimal combinations in regard to risk propensity is evaluated using three di erent risk measures. The main result of this thesis is the optimal combination of these strategies for several di erent risk propensities. The portfolio returns and risk is also evaluated for six di erent investment horizons, ranging from one year to a maximum thirteen years. It is shown that conditional value at risk compared to variance and mean absolute deviation o ers greater diversi cation. It is also shown that e ects of time diversi cation greatly reduces risk in relation to returns.

Place, publisher, year, edition, pages
2019.
National Category
Mathematics
Identifiers
URN: urn:nbn:se:umu:diva-164096OAI: oai:DiVA.org:umu-164096DiVA, id: diva2:1360766
Presentation
2019-09-05, MA346, Umeå, 16:15 (English)
Supervisors
Examiners
Available from: 2019-12-17 Created: 2019-10-14 Last updated: 2019-12-17Bibliographically approved

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CiteExportLink to record
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Citation style
  • apa
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Output format
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