Pariteta tveganja v portfeljih vrednostnih papirjev

delo diplomskega seminarja

Matej Škerlep (Author), Janez Bernik (Mentor), Aljoša Valentinčič (Co-mentor)

Abstract

V želji vlagateljev po čim boljši naložbeni strategiji obstaja veliko različnih metod sestave optimalnega portfelja. Med manj znanimi so strategije, ki se primarno osredotočajo na razporeditev tveganja med finančnimi instrumenti. Mednje spada tudi pariteta tveganja, pri kateri želimo, da so relativni doprinosi k volatilnosti celotnega portfelja enaki za vse vrednostne papirje. V delu diplomskega seminarja je matematično formuliran pogoj za pariteto tveganja in njegova variacija z metodo najmanjših kvadratov. V nadaljevanju s pomočjo algoritmov implementiranih v programskem jeziku R analiziramo učinkovitost metode na delnicah indeksa S&P 500 ter rezultate primerjamo z Markowitzevim in enakomerno uteženim portfeljem. Podrobneje se osredotočimo tudi na padec finančnih trgov spomladi leta 2020 zaradi pandemije koronavirusa.

Keywords

finančna matematika;optimalen portfelj;pariteta tveganja;minimizacija variance;metoda najmanjših kvadratov;alokacija kapitala;

Data

Language:	Slovenian
Year of publishing:	2021
Typology:	2.11 - Undergraduate Thesis
Organization:	UL FMF - Faculty of Mathematics and Physics
Publisher:	[M. Škerlep]
UDC:	519.8
COBISS:	73965827
Views:	928
Downloads:	84
Average score:	0 (0 votes)
Metadata:

Other data

Secondary language:	English
Secondary title:	Risk parity approach to portfolio construction
Secondary abstract:	There exist many different asset management strategies which aim to find an optimal portfolio. Less known are strategies that primarily focus on risk allocation among financial instruments. One of these is the risk parity approach, where we seek to find a portfolio in which the relative risk contributions of all assets are equal. We derive the condition for risk parity and look at its modification using the method of least squares. Afterwards, we present algorithms implemented in the programming language R and analyse the efficiency of the risk parity approach on stocks included in the S&P 500 index. Further, the results are compared to the Markowitz model and equally-weighted portfolio. Part of the analyses is focused on the market crash in the spring of 2020 due to the Covid pandemic.
Secondary keywords:	optimal portfolio;risk parity;minimum variance;least squares;capital allocation;S&P 500 index;FAANG;
Type (COBISS):	Final seminar paper
Study programme:	0
Embargo end date (OpenAIRE):	1970-01-01
Thesis comment:	Univ. v Ljubljani, Fak. za matematiko in fiziko, Oddelek za matematiko, Finančna matematika - 1. stopnja
Pages:	36 str.
ID:	13261346