VARIANTE DE OPTIMIZARE A PORTOFOLIILOR DE ACŢIUNI DIVERSIFICATE INTERNAȚIONAL ÎN CONDIȚII DE RESTRICȚII ALE POLITICII INVESTIȚIONALE
Comparing methods of optimizing internationaly diversified stock portfolios with investment policy restrains
Author(s): Francesca Dana Andreescu, Robert Ștefan SbîrceaSubject(s): Financial Markets, Public Finances
Published by: Editura Mustang
Keywords: Principal Component Analysis; hierarchical cluster; Markowitz Model; Shape Rate; Single Index Model; EGARCH; VaR; CVaR; Backtesting; Regression
Summary/Abstract: The scope of the paper is to compare alternatives to maximizing the returns of internationally diversified stock portfolios having restrains and limitations set by the investment policy, as it is usually the case with portfolios held by institutional investors such as pension funds or undertakings for collective investment in transferable securities. In the portfolio analysis, the financial instruments will be described and grouped using the Principal Component Analysis (PCA) and the hierarchic cluster by Ward method, carrying out a comparison between the optimized portfolio that accept short-selling and another portfolio that do not accept, considering the Sharpe rate. The volatility of the selected portfolio will be measured by EGARCH (1,1). Also, other measures of risk will be applied, such as VaR, we will assess the impact of the volatility regimes on the risk of the portfolio.
Journal: Revista de Studii Financiare
- Issue Year: 2/2017
- Issue No: 2
- Page Range: 40-55
- Page Count: 16
- Language: Romanian
