Portfolio optimization: Markowitz approach vs expected shortfall as risk measure.
![Thumbnail](/xmlui/bitstream/handle/10234/187227/TFM_San_F%c3%a9lix_Forner%2c_Pablo.pdf.jpg?sequence=5&isAllowed=y)
Visualitza/
Metadades
Mostra el registre complet de l'elementcomunitat-uji-handle:10234/158176
comunitat-uji-handle2:10234/71324
comunitat-uji-handle3:10234/97664
comunitat-uji-handle4:
TFG-TFMMetadades
Títol
Portfolio optimization: Markowitz approach vs expected shortfall as risk measure.Autoria
Tutor/Supervisor; Universitat.Departament
Barrachina Monfort, Alejandro José; Universitat Jaume I. Departament de Finances i ComptabilitatData de publicació
2019-07Editor
Universitat Jaume IResum
The objective of this study is to compare the optimal portfolios obtained under two risk measures. On the one hand, under the risk measure used by the Markowitz approach (1952, 1959). On the other hand, under the ... [+]
The objective of this study is to compare the optimal portfolios obtained under two risk measures. On the one hand, under the risk measure used by the Markowitz approach (1952, 1959). On the other hand, under the measure of risk through the Expected Shortfall. To create the optimal portfolios on which the study was based, the daily quotes of seven companies listed on the IBEX35 have been used in a period of time from January 2, 2012 to March 18, 2016. The conclusions we have obtained are that, regardless of the three levels of confidence considered for the Expected Shortfall, the weights of the assets analyzed in the corresponding optimal portfolios under the Expected Shortfall as a risk measure follow the same trend with respect to their weightings in the optimal portfolios in the sense of Markowitz (1952, 1959). [-]
Paraules clau / Matèries
Descripció
Treball Final de Grau en Finances i Comptabilitat. Codi: FC1049. Curs acadèmic: 2018/2019
Tipus de document
info:eu-repo/semantics/bachelorThesisDrets d'accés
info:eu-repo/semantics/openAccess
Apareix a les col.leccions
Els següents fitxers sobre la llicència estan associats a aquest element: