Bakgrund och problemformulering: Investmentbolag är ett bolag vars affärsidé är att äga andra bolag. De har en betydande roll i samhället genom att bidra med kapital och att hjälpa driva etablerade företag framåt. I tidigare forskningssammanhang har andra liknande typer av bolag varit i fokus vilket orsakar ett gap i forskningen kring investmentbolag och riskhantering. Det här blir särskilt intressant att studera då investmentbolag har blivit en allt mer vanlig investering samtidigt som de beskrivs ha liknande riskspridning som en aktiefond. För att få en bredare förståelse om hur det skiljer sig mellan olika bolag och länder jämförs svenska investmentbolag med brittiska samt amerikanska investmentbolag.   Syfte: Syftet med denna uppsats är att analysera om investmentbolagens portföljer är effektiva.   Metod: Utgångspunkten i studien är den moderna portföljvalsteorin som utgår ifrån Markowitz tankar och menar att en effektiv portfölj inte enbart består av en lång rad med aktier. Det är i stället korrelationen mellan tillgångarna som är viktiga att ha i åtanke och den optimala portföljen är den mest effektiva samt har den högsta sharpekvoten. För att besvara studiens syfte jämförs den optimala portföljen men den faktiska portföljen och de bolag som har det minsta avståndet anses vara effektivast i sin riskhantering och vice versa.    Resultat: Resultaten visar att det finns förbättringar att göra för de allra flesta investmentbolag och det är ytterst få som håller en portfölj som är lika effektiv som den optimala portföljen. Det finns även skillnader mellan hur de olika investmentbolagen hanterar risker i portföljen och vilka typer av bolag som de investerar i, vilket främst är de brittiska investmentbolagen som främst skiljer sig från mängden. / Background and problematization: An investment company is a firm which business idea is to own other companies. It has a significant role in the society by contributing with capital and help already established companies forward. Within a research context other kind of companies with similar business ideas has been in focus which causes a gap in the research area regarding investment companies and risk management. This is especially interesting to study because investment companies have become a more common investment, meanwhile investment companies are described to have a similar risk diversification as an equity fund. To get a broader understanding on how it differs between different companies and countries a comparison is made between Swedish, British and American investment companies.   Purpose: The purpose of this paper is to analyze if investment companies manage an efficient portfolio.    Method: The main theory of this study is the modern portfolio theory which is based on Markowitz´s ideas of an efficient portfolio that does not only contain a long list of assets but instead consider the correlation between assets. According to this theory the optimal portfolio is the most efficient and has the highest sharperatio. To be able to achieve the purpose of this study the optimal portfolio will be compared to the investment companies’ actual portfolio. The companies with the smallest difference between these portfolios will be considered the most efficient regarding risk management and vice-versa.   Conclusion: The results show that there are room for improvements for most investment companies and there are extremely few that holds a portfolio that is as effective as the optimal portfolio. There are also differences between the companies regarding how they manage their portfolio risk and which types of companies they invest in. The British investment companies are those who stands out in this study.

In this thesis, an optimal investment problem is studied for an investor who can only invest in a financial market modelled by an Itô-Lévy process; with one risk free (bond) and one risky (stock) investment possibility. We present the dynamic programming method and the associated Hamilton-Jacobi-Bellman (HJB) equation to explicitly solve this problem. It is shown that with purification and simplification to the standard jump diffusion process, closed form solutions for the optimal investment strategy and for the value function are attainable. It is also shown that, an explicit solution can be obtained via a finite training of a neural network using Stochastic gradient descent (SGD) for a specific case.

This thesis aims to investigate the benefits of international diversification from a Swedish perspective. It presents a comparative study of the performance of different portfolios based on their degree of international diversification with a focus on Swedish investors frame of reference. Such a study is motivated by the contradictory literature about portfolio diversification and information portfolio theory that advocate for a more concentrated portfolio. It focuses solely on comparing portfolios constituted with major indices of a representative sample including countries from different parts of the world. The different scales of those portfolios start from a divided part of the Swedish economy to end with a global portfolio. We observed that international diversification can outperform the domestic portfolios when considering risk and return. In addition, we observed that the best performing portfolios over the periods are systematically concentrated on emerging countries and that the high return of those emerging countries is often not associated with a correspondingly high standard deviation as it should be expected. The best levers of performance that we identified as a result of this comparative study are, first, the strategy consisting in focusing on the most concentrated portfolios in order to maximize the return and then trying to time the market, thanks to a specialized information collection strategy, but this bear a high undiversifiable risk. Or second, adopting an intentionally diversified portfolio and collecting information about the most promising emerging markets that will be then over weighted in the portfolio to lower the risk and higher the return. Lastly, the study recommend that home-biased investors should change their behavior and consider international investments when building a portfolio.

An optimal dividend problem with investment opportunities, taking into consideration a source of strategic risk is being considered, as well as the effect of market frictions on the decision process of the financial entities. It concerns the problem of determining an optimal control of the dividend under debt constraints and investment opportunities in an economy with business cycles. It is assumed that the company is to be allowed to accept or reject investment opportunities arriving at random times with random sizes, by changing its outstanding indebtedness, which would impact its capital structure and risk profile. This work mainly focuses on the strategic risk faced by the companies; and, in particular, it focuses on the manager's problem of setting appropriate priorities to deploy the limited resources available. This component is taken into account by introducing frictions in the capital structure modification process. The problem is formulated as a bi-dimensional singular control problem under regime switching in presence of jumps. An explicit condition is obtained in order to ensure that the value function is finite. A viscosity solution approach is used to get qualitative descriptions of the solution. Moreover, a lending scheme for a system of interconnected banks with probabilistic constraints of failure is being considered. The problem arises from the fact that financial institutions cannot possibly carry enough capital to withstand counterparty failures or systemic risk. In such situations, the central bank or the government becomes effectively the risk manager of last resort or, in extreme cases, the lender of last resort. If, on the one hand, the health of the whole financial system depends on government intervention, on the other hand, guaranteeing a high probability of salvage may result in increasing the moral hazard of the banks in the financial network. A closed form solution for an optimal control problem related to interbank lending schemes has been derived, subject to terminal probability constraints on the failure of banks which are interconnected through a financial network. The derived solution applies to real bank networks by obtaining a general solution when the aforementioned probability constraints are assumed for all the banks. We also present a direct method to compute the systemic relevance parameter for each bank within the network. Finally, a possible computation technique for the Default Risk Charge under to regulatory risk measurement processes is being considered. We focus on the Default Risk Charge measure as an effective alternative to the Incremental Risk Charge one, proposing its implementation by a quasi exhaustive-heuristic algorithm to determine the minimum capital requested to a bank facing the market risk associated to portfolios based on assets emitted by several financial agents. While most of the banks use the Monte Carlo simulation approach and the empirical quantile to estimate this risk measure, we provide new computational approaches, exhaustive or heuristic, currently becoming feasible, because of both new regulation and the high speed - low cost technology available nowadays.

本研究顯著地發展時間轉換Lévy過程在最適投資組合的運用性。在連續Lévy過程模型設定下，槓桿效果直接地產生跨期波動度不對稱避險需求，而波動度回饋效果則透過槓桿效果間接地發生影響。另外，關於無窮跳躍Lévy過程模型設定部分，槓桿效果仍扮演重要的影響角色，而波動度回饋效果僅在短期投資決策中發生作用。最後，在本研究所提出之一般化隨機波動度不對稱資產報酬動態模型下，得出在無窮跳躍的資產動態模型設定下，擴散項仍為重要的決定項。 / This study significantly extends the applicability of time-changed Lévy processes to the portfolio optimization. The leverage effect directly induces the intertemporal asymmetric volatility hedging demand, while the volatility feedback effect exerts a minor influence via the leverage effect under the pure-continuous time-changed Lévy process. Furthermore, the leverage effect still plays a major role while the volatility feedback effect just works over the short-term investment horizon under the infinite-jump Lévy process. Based on the proposed general stochastic asymmetric volatility asset return model, we conclude that the diffusion term is an essential determinant of financial modeling for index dynamics given infinite-activity jump structure.

No description available.