Jezik: | Slovenski jezik |
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Leto izida: | 2021 |
Tipologija: | 2.11 - Diplomsko delo |
Organizacija: | UL FMF - Fakulteta za matematiko in fiziko |
Založnik: | [M. Škerlep] |
UDK: | 519.8 |
COBISS: | 73965827 |
Št. ogledov: | 928 |
Št. prenosov: | 84 |
Ocena: | 0 (0 glasov) |
Metapodatki: |
Sekundarni jezik: | Angleški jezik |
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Sekundarni naslov: | Risk parity approach to portfolio construction |
Sekundarni povzetek: | 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. |
Sekundarne ključne besede: | optimal portfolio;risk parity;minimum variance;least squares;capital allocation;S&P 500 index;FAANG; |
Vrsta dela (COBISS): | Delo diplomskega seminarja/zaključno seminarsko delo/naloga |
Študijski program: | 0 |
Konec prepovedi (OpenAIRE): | 1970-01-01 |
Komentar na gradivo: | Univ. v Ljubljani, Fak. za matematiko in fiziko, Oddelek za matematiko, Finančna matematika - 1. stopnja |
Strani: | 36 str. |
ID: | 13261346 |