Analysis of investment in financial markets: Markowitz against Value at Risk historical approach
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Show full item recordcomunitat-uji-handle:10234/158176
comunitat-uji-handle2:10234/71324
comunitat-uji-handle3:10234/97664
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Title
Analysis of investment in financial markets: Markowitz against Value at Risk historical approachAuthor (s)
Tutor/Supervisor; University.Department
Barrachina Monfort, Alejandro José; Universitat Jaume I. Departament de Finances i Comptabilitat.Date
2019-06-13Publisher
Universitat Jaume IAbstract
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. [-]
Subject
Description
Treball Final de Grau en Finances i Comptabilitat. Codi: FC1049. Curs: 2018/2019
Type
info:eu-repo/semantics/bachelorThesisRights
info:eu-repo/semantics/openAccess
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