Depuis quelques années, la recherche financière s'inscrit dans une nouvelle dynamique. La nécessité de mieux modéliser le comportement des rendements des actifs financiers et les risques sur les marchés pousse les chercheurs à trouver des mesures de risque plus adéquates. Ce travail de recherche se situe dans cette évolution, ayant admis les caractéristiques des séries financières par des faits stylisés tels que la non normalité des rendements. A travers cette thèse nous essayons de montrer l'importance d'intégrer des mesures de risque qui tiennent compte de la non normalité dans le processus d'évaluation et d'allocation des actifs financiers sur le marché français. Cette thèse propose trois chapitres correspondant chacun à un article de recherche académique. Le premier article propose de revisiter les modèles d'évaluation en prenant en compte des moments d'ordres supérieurs dans un cadre de downside risk. Les résultats indiquent que les downside co-moments d'ordres supérieurs sont déterminants dans l'explication des variations des rendements en coupe transversale. Le second chapitre propose de mettre en relation la rentabilité financière et le risque mesuré par la VaR ou la CVaR. Nous trouvons que la VaR présente un pouvoir explicatif plus élevé que celui de la CVaR et que l'approche normale est plus intéressante que l'approche basée sur l'expansion de Cornish-Fisher (1937). Ces deux résultats contredisent les prédictions théoriques mais nous avons pu démontrer qu'ils sont inhérents au marché français. Le troisième chapitre propose une autre piste, nous revisitons le modèle moyenne-CVaR dans un cadre dynamique et en présence des coûts de transaction / This dissertation is part of an ongoing researches looking for an adequate model that apprehend the behavior of financial asset returns. Through this research, we propose to analyze the relevance of risk measures that take into account the non-normality in the asset pricing and portfolio allocation models on the French market. This dissertation is comprised of three articles. The first one proposes to revisit the asset pricing model taking into account the higher-order moments in a downside framework. The results indicate that the downside higher order co-moments are relevant in explaining the cross sectional variations of returns. The second paper examines the relation between expected returns and the VaR or CVaR. A cross sectional analysis provides evidence that VaR is superior measure of risk when compared to the CVaR. We find also that the normal estimation approach gives better results than the approach based on the expansion of Cornish-Fisher (1937). Both results contradict the theoretical predictions but we proved that they are inherent to the French market. In the third paper, we review the mean-CVaR model in a dynamic framework and we take into account the transaction costs. The results indicate that the asset allocation model that takes into account the non-normality can improve the performance of the portfolio comparing to the mean-variance model, in terms of the average return and the return-to CVaR ratio. Through these three studies, we think that it is possible to modify the risk management framework to apprehend in a better way the risk of loss associated to the non-normality problem

This thesis consists of three essays in behavioral finance: One for the Gain, Three for the Loss is a study of loss aversion in portfolio choice. Using historical returns, I find that the pain of a loss must be greater than three times the pleasure of a gain for investors to hold finitely leveraged portfolios. For lower rates of loss aversion, in particular those proposed in the earlier experimental literature, portfolio allocation to risky assets is infinite. All Guts, No Glory: Trading and Diversification among Online Investors explores the cross-sectional portfolio performance of 16,831 investors at an online discount brokerage firm. Investors hold undiversified portfolios, show a strong preference for risk, and trade aggressively. I show that investors with high portfolio turnover underperform their benchmarks. The degree of diversification, a proxy for investor skill, has a separate and distinct positive effect on performance. Equity Mutual Fund Flows and Stock Returns in Sweden uses time series methods to characterize the relation between unexpected flows to equity mutual funds and returns on the Swedish stock market. I find that concurrent unexpected flows and returns are strongly positively correlated. Unexpected flows have a distinct effect on returns even when other risk factors are considered. / Diss. Stockholm : Handelshögsk., 2004

[pt] Este trabalho propõe um modelo de previsão de matrizes de covariância realizada de altíssima dimensão, com aplicação para os componentes do índice S e P 500. Para lidar com o altíssimo número de parâmetros (maldição da dimensionalidade), propõe-se a decomposição da matriz de covariância de retornos por meio do uso de um modelo de fatores padrão (e.g. tamanho, valor, investimento) e uso de restrições setoriais na matriz de covariância residual. O modelo restrito é estimado usando uma especificação de vetores auto regressivos heterogêneos (VHAR) estimados com LASSO (Least Absolute Shrinkage and Selection Operator). O uso da metodologia proposta melhora a precisão de previsão em relação a benchmarks padrões e leva a melhores estimativas de portfólios de menor variância. / [en] We propose a model to forecast very large realized covariance matrices of returns, applying it to the constituents of the S and P 500 on a daily basis. To deal with the curse of dimensionality, we decompose the return covariance matrix using standard firm-level factors (e.g. size, value, profitability) and use sectoral restrictions in the residual covariance matrix. This restricted model is then estimated using Vector Heterogeneous Autoregressive (VHAR) models estimated with the Least Absolute Shrinkage and Selection Operator (LASSO). Our methodology improves forecasting precision relative to standard benchmarks and leads to better estimates of the minimum variance portfolios.

Submitted by Pablo F. Oliveira (pablo.perque@gmail.com) on 2012-02-29T12:36:59Z No. of bitstreams: 1 Dissertacao - Pablo Frisanco Oliveira -final.pdf: 1039827 bytes, checksum: 63d8e3ff3c6593d9ef449829e78e77c1 (MD5) / Approved for entry into archive by Gisele Isaura Hannickel (gisele.hannickel@fgv.br) on 2012-02-29T12:45:22Z (GMT) No. of bitstreams: 1 Dissertacao - Pablo Frisanco Oliveira -final.pdf: 1039827 bytes, checksum: 63d8e3ff3c6593d9ef449829e78e77c1 (MD5) / Made available in DSpace on 2012-02-29T12:55:43Z (GMT). No. of bitstreams: 1 Dissertacao - Pablo Frisanco Oliveira -final.pdf: 1039827 bytes, checksum: 63d8e3ff3c6593d9ef449829e78e77c1 (MD5) Previous issue date: 2012-01-30 / The aim of the present work is verify if, when the higher moments (skewness and kurtosis) are taken in consideration for carry trade portfolio allocation optimization, an investor can be better off than the traditional allocation, which prioritizes only the first two moments (mean and variance). The hypothesis of the research is that a carry trade currency exhibits non-Normal returns distribution, and its higher moments have a dynamic which can be modeled by GARCH-type model, in this specific case IC-GARCHSK. This model consists of one equation to each of the independent components’ conditional moments, named the returns, variance, the skewness, and the kurtosis. Another hypothesis is that a CARA (constant absolute risk aversion) utility function investor can have its function approximated by 4th order Taylor expansion. The work’s strategy is modelling the dynamics of the daily log-returns series’ moments of some carry trade currencies using the model above and dynamically estimate the optimal allocation which maximizes the investor’s expected utility function. The results show that the investor can benefit from taking in consideration the series’ higher moments, once this portfolio exhibited smaller opportunity cost than one that uses only mean and variance as criteria. / O objetivo do presente trabalho é verificar se, ao levar-se em consideração momentos de ordem superior (assimetria e curtose) na alocação de uma carteira de carry trade, há ganhos em relação à alocação tradicional que prioriza somente os dois primeiros momentos (média e variância). A hipótese da pesquisa é que moedas de carry trade apresentam retornos com distribuição não-Normal, e os momentos de ordem superior desta têm uma dinâmica, a qual pode ser modelada através de um modelo da família GARCH, neste caso IC-GARCHSK. Este modelo consiste em uma equação para cada momento condicional dos componentes independentes, explicitamente: o retorno, a variância, a assimetria, e a curtose. Outra hipótese é que um investidor com uma função utilidade do tipo CARA (constant absolute risk aversion), pode tê-la aproximada por uma expansão de Taylor de 4ª ordem. A estratégia do trabalho é modelar a dinâmica dos momentos da série dos logartimos neperianos dos retornos diários de algumas moedas de carry trade através do modelo IC-GARCHSK, e estimar a alocação ótima da carteira dinamicamente, de tal forma que se maximize a função utilidade do investidor. Os resultados mostram que há ganhos sim, ao levar-se em consideração os momentos de ordem superior, uma vez que o custo de oportunidade desta foi menor que o de uma carteira construída somente utilizando como critérios média e variância.

Cette thèse porte sur les choix des investisseurs de long terme en matière de gestion de portefeuille ainsi que sur les primes de risque offertes par le marché financier Français. Les travaux réalisés dans cette thèse se proposent d’apporter un éclairage ainsi que des arguments en faveur des placements à caractère long, risqué et productifs.En matière de gestion de portefeuille, ce travail apporte plusieurs réponses en matière d’allocation d’actifs et de stratégies optimales d’investissement. Tout d’abord, et en se basant sur des indices boursiers actions et obligataires, il s’avère que le marché français est efficient au sens faible et que l’hypothèse de marche aléatoire n’y est pas rejetée. Ce premier résultat implique que les rentabilités anormales que l’on peut mesurer sur ce marché émanent de facteurs de risque à rémunérer et non pas d’anomalies. Ainsi, dans le deuxième article, on démontre une prime de valeur persistante au sein du marché Français sur la période étudiée. Par contre, la prime de taille n’est observable que pour les titre à ratio valeur comptable sur valeur de marché très faibles ou très élevés ainsi que pour les titres ayant une rentabilité cumulée passée élevée. Aussi, investir dans les entreprises à momentum élevé mène toujours à des rentabilités meilleures quelle que soit la taille de l’entreprise considérée. On confirme également que la bonne spécification du portefeuille de marché est sine qua non pour une évaluation correcte des actifs financiers. Dans le troisième article, et dans une optique multi-périodiques de gestion de portefeuille, l’écart-type des rentabilités annualisées des actifs risqués décroit lorsqu’on allonge la période de détention ce qui implique que les gestionnaires de portefeuille tendent à biaiser les allocations vers des actifs plus sûrs et négligent par cela un manque à gagner. Ce travail démontre également que détenir un portefeuille d’actions de petites capitalisations s’avère un placement optimal pour les investisseurs ayant un horizon long. Ces résultats mettent en lumière des règles prudentielles inefficaces du point de vue des assurés d’une part, et, mettent en évidence la nécessité de mesures visant à relancer les marchés pour les petites entreprises et de faciliter leur accès au financement direct d’autre part. / This thesis focuses on long term investments and risk premiums within the French financial market. The results bring evidence supporting placements in long term, risky and productive assets. In terms of portfolio management, this thesis brings several answers regarding the optimal allocation strategies. The first article demonstrates that the French financial market is weak form efficient since we could not reject the random walk hypothesis based on the variance ratio methodology. This first contribution implies that abnormal returns are resulting from risk factors and not from anomalies. Thus, the second article revisits famous asset pricing models and highlights optimal portfolio strategies. We find that value and momentum premiums are persistent in the French market. However, size premium is only observable in extreme book to market and momentum strategies. Moreover, we show that market portfolio choice is sine qua non to models performances and that the latest is surprisingly increasing in times of distress. The third article considers the term structure of risk-return tradeoff. Based on a VAR model, we find that excess annualized standard deviation of stocks excess returns with respect to bonds and bills decreases as we lengthen investment horizon which means that investors may bias their portfolios towards safe assets and neglect additional return. Furthermore, we measured the time diversification effect among stock portfolios by distinguishing small and big capitalizations and prove that it is more profitable to hold small capitalizations than big capitalizations stocks in the long run. These results shed light on inefficient prudential rules from the viewpoint of policyholders on one hand, and, on the other hand, highlight the necessity of implementing measures to revive the markets for small enterprises and facilitate their access to direct financing through the market.

The purpose of this thesis is to use the martingale approach to solve dynamic international portfolio problems. This thesis consists of three essays in dynamic international portfolio allocation. In demonstrating that foreign consumption plays an important role in international portfolio allocations, in Chapter 2, we present the first essay where we provide the optimal consumption plan and portfolio allocation for a representative investor with continuoustime and complete market assumptions in a simple two-country setting. Due to the demand for foreign consumption, the optimal portfolio allocation requires suitable foreign bonds to hedge against the changes in the foreign investment opportunity set and the exchange rate. The empirical results not only show that the optimal portfolio allocation with domestic and foreign consumption is different from that without consumption or with domestic consumption only, but also demonstrate the need for the foreign bonds to hedge against the change in the exchange rate risk. We present the second essay in which we extend the research of the investor's portfolio allocation problem into a continuous dynamical international market where the investment barrier of international portfolio exists. With deterministic market prices of risks, CRRA utility function and the existence of a simple investment barrier, the investor optimally hedges against the investment opportunity by allocating funds into three portfolios which are constructed by unconstrained bank accounts, equities and bonds. The first portfolio is the so called mean-variance portfolio, the second is the hedge portfolio, and the third is the synthetic portfolio which mimics the expected excess return of the constrained security in foreign country. This issue displays in Chapter 3. The third essay is presented in Chapter 4. Here we develop a continuous-time intertemporal portfolio allocation model in an international mildly segmented market. With deterministic market prices of risks and CRRA utility function, the domestic investor in the segmented market optimally hedges against the stochastic interest rates by allocating funds into two portfolios. The restricted mean-variance portfolio is derived from the traditional mean-variance portfolio without foreign constrained securities. The hedge portfolio is comprised of domestic bonds with a specific horizon for hedging against the change in the domestic interest rate. The numerical results indicate that when the volatility of the stochastic discount factor increases due to the less diversification caused by market segmentation, the less risk-averse investor benefits accordingly. Chapter 5 summarizes the main findings of the three studies and concludes the thesis by suggesting some future research venues related the current subject. / The purpose of this thesis is to use the martingale approach to solve dynamic international portfolio problems. This thesis consists of three essays in dynamic international portfolio allocation. In demonstrating that foreign consumption plays an important role in international portfolio allocations, in Chapter 2, we present the first essay where we provide the optimal consumption plan and portfolio allocation for a representative investor with continuoustime and complete market assumptions in a simple two-country setting. Due to the demand for foreign consumption, the optimal portfolio allocation requires suitable foreign bonds to hedge against the changes in the foreign investment opportunity set and the exchange rate. The empirical results not only show that the optimal portfolio allocation with domestic and foreign consumption is different from that without consumption or with domestic consumption only, but also demonstrate the need for the foreign bonds to hedge against the change in the exchange rate risk. We present the second essay in which we extend the research of the investor's portfolio allocation problem into a continuous dynamical international market where the investment barrier of international portfolio exists. With deterministic market prices of risks, CRRA utility function and the existence of a simple investment barrier, the investor optimally hedges against the investment opportunity by allocating funds into three portfolios which are constructed by unconstrained bank accounts, equities and bonds. The first portfolio is the so called mean-variance portfolio, the second is the hedge portfolio, and the third is the synthetic portfolio which mimics the expected excess return of the constrained security in foreign country. This issue displays in Chapter 3. The third essay is presented in Chapter 4. Here we develop a continuous-time intertemporal portfolio allocation model in an international mildly segmented market. With deterministic market prices of risks and CRRA utility function, the domestic investor in the segmented market optimally hedges against the stochastic interest rates by allocating funds into two portfolios. The restricted mean-variance portfolio is derived from the traditional mean-variance portfolio without foreign constrained securities. The hedge portfolio is comprised of domestic bonds with a specific horizon for hedging against the change in the domestic interest rate. The numerical results indicate that when the volatility of the stochastic discount factor increases due to the less diversification caused by market segmentation, the less risk-averse investor benefits accordingly. Chapter 5 summarizes the main findings of the three studies and concludes the thesis by suggesting some future research venues related the current subject.

隨著國民所得水準及個人知識水準的提升，再加上人口結構的高齡化，國人財富管理的需求逐漸浮現，而如何依據個人的財務狀況，建構一套穩健成長的個人理財規劃，以實現家庭資產的經濟效益最大化，就成為當前財富管理市場面臨的重大議題。 然而，台灣的財富管理市場才剛萌芽，故綜觀現有文獻及實務上之論述，有關記載個人理財規劃服務的相關報導實為有限，且多屬片段，缺乏完整性之服務模式及可支援計算的理財軟體，因此，本研究之目的即針對個人理之需求建構一套理財服務模式及軟體，並透過此服務模式及軟體的實地操作，為投資人建立一套最適化的個人理財規劃。 本研究首先根據相關文獻，對個人理財規劃的理論架構進行完整的介紹，其次討論台灣目前財富管理事業的現況，接著以個人理財規劃的理論為基礎，建構一套理財規劃服務模式及軟體，驗證所提出的架構、流程、模式與方法的可行性與績效。最後，可以藉由本文研究，提供金融機構之財富管理部門在建置理財規劃服務模式及相關理財系統開發作為一個參考依據。

Titel: Investerares riskexponering i hållbara investeringar - En studie av asymmetrisk risk och hur den påverkas av positivt urval och dynamisk SRI Nivå: Examensarbete på kandidatnivå i företagsekonomi Författare: Kim Jonsson & Jacob Larsson Handledare: Peter Lindberg Datum: Maj, 2018 Syfte: “Undersöka huruvida en portföljs negativa asymmetriska risk, ur ett investerarperspektiv påverkas av positivt urval utifrån dynamisk SRI, baserad på ESG-faktorer”.  Metod: Konstruktion av en hypotetisk portfölj bestående av aktier, utifrån dynamisk SRI och positivt urval. Med finansiell backtracking mäts hur portföljen presterat avseende asymmetriskt betavärde förutsatt att den varit implementerade under en historisk tidsperiod. Portföljen reallokeras efter förutbestämda kriterier vid ingången av varje år under den historiska tidsperioden. Resultat: Den konstruerade portföljen uppvisar konsekvent lägre betavärde än marknaden, både traditionellt och asymmetriskt. Det asymmetriska betavärdet är, för den tidsperiod som inkluderar finanskrisen 2008, högre vid utfall under medelvärdet för att sedan avta vid negativa utfall. Då studien justeras för finanskrisen förändras resultatet till att visa successivt avtagande betavärden för utfall under medelvärdet och vidare, negativa utfall. Slutsats: Studiens resultat indikerar att urvalskriterier baserade på ESG-faktorer och positiv urvalsmetod, under vissa premisser har påverkan på portföljens asymmetriska riskexponering. Denna slutsats tyder också på att företag genom aktivt hållbarhetsarbete har möjlighet att minska sin kapitalkostnad, då investerares avkastningskrav på företaget sjunker. Forskningsbidrag: Utvecklad insikt i praktisk tillämpning av asymmetrisk riskanalys och avseende att en portfölj med begränsat antal tillgångar kan prestera lägre systematisk riskexponering än marknaden. Samt att urvalsmetod och urvalskriterier kan påverka asymmetrisk riskexponering. Vidare forskning: Framförallt avseende om någon av hållbarhetsfaktorerna har större betydelse för den asymmetriska systematiska riskexponeringen än övriga. Ytterligare forskning inom AMH och dess paradigm är också nödvändigt då random walk är ifrågasatt. Nyckelord: Asymmetrisk risk, hållbarhet, ESG, betavärde, dynamisk SRI, positivt urval, urvalskriterier, portföljallokering och RobecoSAM. / Title: Investors risk exposure for sustainable investments – A study of asymmetrical risk and how it is affected by positive screening and dynamic SRI Level: Bachelor thesis in Business Administration Author: Kim Jonsson & Jacob Larsson Supervisor: Peter Lindberg Date: May, 2018 Aim: “Investigate whether a portfolios negative asymmetric risk, from an investors perspective, is influenced by positive screening based on dynamic SRI, based on ESG-factors”. Method: Construction of a hypothetical portfolio consisting of stocks, based on dynamic SRI and positive screening. Financial backtracking measures how the portfolio performed regarding asymmetric beta values, provided it was implemented during a historical period of time. The portfolio is reallocated according to predefined criteria in the beginning of each year during the historical period. Results: The constructed portfolio consistently demonstrates lower beta values than the market, both traditionally and asymmetrically. The asymmetric beta value, is for the period of time including the 2008 financial crisis, higher than traditional beta value at outcomes below the mean value, then decreases in negative outcomes. As the study is adjusted for the financial crisis, the result changes to show gradually decreasing beta values ​​for outcomes below average and further negative outcomes. Conclusions: The study results indicate that selection criteria based on ESG factors and positive selection screening, under certain conditions, affect the asymmetric risk exposure of the portfolio. This conclusion also indicates that companies through active sustainability awareness have the opportunity to reduce their cost of capital, as investors' required rate of return declines. Contribution of the thesis: Practical insight regarding asymmetric risk analysis, and the fact that a portfolio composed of a limited amount of assets potentially demonstrates lower systematic risk exposure than the market. Furthermore, selection methods and selection criteria can affect asymmetric risk exposure. Suggestion for future research: If any of the sustainability factors are of greater significance regarding the asymmetric risk exposure. Further research within AMH and its paradigms is also necessary as random walk is questioned. Key words: Asymmetric risk, sustainability, ESG, beta value, dynamic SRI, positive screening, selection criteria, portfolio allocation and RobecoSAM

Robust portfolio optimization models attempt to address the standard optimization method's high sensitivity to noise in the parameter estimates, by taking an investor's uncertainty about the estimates into account when finding an optimal portfolio. In this thesis, we study robust variations of an extension of the mean-variance problem, where an additional term penalizing the portfolio's correlation with an exogenous return sequence is included in the objective. Using a normalized risk factor model of the asset returns, estimations are done using EMA filtering as well as exponentially weighted linear regression. We show that portfolio performance can significantly improve with respect to a range of metrics, such as Sharpe ratio, expected shortfall and skewness, when using appropriate robust models and hyperparameters. We further show that extending the optimization problem with a correlation penalty can notably reduce portfolio correlation with an arbitrary return sequence, with only a small impact on other performance metrics. / Robust portföljoptimering är en metod för att reducera vanliga portföljmodellers höga känslighet för brus i parameterskattningar, genom att ta en investerares osäkerhet kring skattningarna i åtanke när en optimal portfölj tas fram. I denna rapport studeras robusta varianter av ett utökat mean-variance-problem, där en straffterm för portföljens korrelation med en exogen avkastningsserie lagts till. Skattningarna bygger på en riskfaktor-modell för avkastningarna, och använder EMA-filter kombinerat med exponentiellt viktad linjär regression. Vi visar att en portföljs prestanda kan förbättras avsevärt med avseende på ett flertal prestandamått, till exempel Sharpe-kvot, expected shortfall och skevhet, vid användning av lämpliga robusta modeller och hyperparametrar. Vi visar också att inkludering av ett korrelationsstraff i optimeringsproblemet kan ge noterbara reduceringar i portföljens korrelation med en godtycklig avkastningsserie, med liten effekt på andra prestandamått.

<p dir="ltr">Statistical arbitrage is a prevalent trading strategy which takes advantage of mean reverse property of spreads constructed from pairs or portfolios of assets. Utilizing statistical models and algorithms, statistical arbitrage exploits and capitalizes on the pricing inefficiencies between securities or within asset portfolios. </p><p dir="ltr">In chapter 2, We propose a framework for constructing diversified portfolios with multiple pairs trading strategies. In our approach, several pairs of co-moving assets are traded simultaneously, and capital is dynamically allocated among different pairs based on the statistical characteristics of the historical spreads. This allows us to further consider various portfolio designs and rebalancing strategies. Working with empirical data, our experiments suggest the significant benefits of diversification within our proposed framework.</p><p dir="ltr">In chapter 3, we explore an optimal timing strategy for the trading of price spreads exhibiting mean-reverting characteristics. A sequential optimal stopping framework is formulated to analyze the optimal timings for both entering and subsequently liquidating positions, all while considering the impact of transaction costs. Then we leverages a refined signature optimal stopping method to resolve this sequential optimal stopping problem, thereby unveiling the precise entry and exit timings that maximize gains. Our framework operates without any predefined assumptions regarding the dynamics of the underlying mean-reverting spreads, offering adaptability to diverse scenarios. Numerical results are provided to demonstrate its superior performance when comparing with conventional mean reversion trading rules.</p><p dir="ltr">In chapter 4, we introduce an innovative model-free and reinforcement learning based framework for statistical arbitrage. For the construction of mean reversion spreads, we establish an empirical reversion time metric and optimize asset coefficients by minimizing this empirical mean reversion time. In the trading phase, we employ a reinforcement learning framework to identify the optimal mean reversion strategy. Diverging from traditional mean reversion strategies that primarily focus on price deviations from a long-term mean, our methodology creatively constructs the state space to encapsulate the recent trends in price movements. Additionally, the reward function is carefully tailored to reflect the unique characteristics of mean reversion trading.</p>