Analysis of investment in financial markets: Markowitz against Value at Risk historical approach
Metadatos
Mostrar el registro completo del ítemcomunitat-uji-handle:10234/158176
comunitat-uji-handle2:10234/71324
comunitat-uji-handle3:10234/97664
comunitat-uji-handle4:
TFG-TFMMetadatos
Título
Analysis of investment in financial markets: Markowitz against Value at Risk historical approachAutoría
Tutor/Supervisor; Universidad.Departamento
Barrachina Monfort, Alejandro José; Universitat Jaume I. Departament de Finances i Comptabilitat.Fecha de publicación
2019-06-13Editor
Universitat Jaume IResumen
This study compares three approaches to portfolio optimization, the approach suggested
by Markowitz (1952), and the approach based on employing the historical approach to
Value at Risk (VaR), at both the 90% and 95% ... [+]
This study compares three approaches to portfolio optimization, the approach suggested
by Markowitz (1952), and the approach based on employing the historical approach to
Value at Risk (VaR), at both the 90% and 95% levels of confidence, as risk measure. To
fulfill this purpose, real data of stock prices for seven different companies that have been
listed on the Ibex 35 were used to empirically obtain optimal portfolios according to these
three approaches. To do it, the program used was Excel, with special relevance to the
tool Solver, obtaining optimal portfolios for eight different levels of expected returns.
Although the behaviour of the asset’s weights in the different portfolios that minimize risk
measured by VaR is quite erratic, in general portfolios that minimize risk measured by
95% VaR are more similar to the ones obtained under Markowitz’s (1952) approach than
portfolios that minimize risk measured by 90% VaR. [-]
Palabras clave / Materias
Descripción
Treball Final de Grau en Finances i Comptabilitat. Codi: FC1049. Curs: 2018/2019
Tipo de documento
info:eu-repo/semantics/bachelorThesisDerechos de acceso
info:eu-repo/semantics/openAccess
Aparece en las colecciones
El ítem tiene asociados los siguientes ficheros de licencia: