Portfolio optimization: historical value at risk vs expected shortfall
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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: historical value at risk vs expected shortfallAutoria
Tutor/Supervisor; Universitat.Departament
Barrachina Monfort, Alejandro JoséData de publicació
2021Editor
Universitat Jaume IResum
The main objective of this thesis is to compare the weightings of different efficient portfolios
by using two different approaches to measure the risk: Historical Value at Risk (HVaR) and
Expected Shortfall (ES) ... [+]
The main objective of this thesis is to compare the weightings of different efficient portfolios
by using two different approaches to measure the risk: Historical Value at Risk (HVaR) and
Expected Shortfall (ES) both for confidence levels of 95 % and 90%. In addition, the results
of this study will be compared with the results obtained in previous works.
Based on the results obtained in the present study, we can surely confirm that: the weights
of the efficient portfolios evaluated by HVaR have a more erratic behavior than those
evaluated by ES; assets which expected return is higher have an upward trend in the
evolution of weightings; Es is more similar to Markowitz in trend weights than HVaR; the
similarity in the evolution of the weights according to Markowitz does not imply that they are
also similar according to HVaR. [-]
Paraules clau / Matèries
Descripció
Treball Final de Grau en Finances i Comptabilitat. Codi: FC1049. Curs acadèmic: 2020-2021
Tipus de document
info:eu-repo/semantics/bachelorThesisDrets d'accés
info:eu-repo/semantics/openAccess