The combination of two or more portfolio rules is theoretically convex in return-risk space, which provides for a new class of portfolio rules that gives purpose to the Mean-Variance framework out-of-sample. The author investigates the performance loss from estimation risk between the unconstrained Mean-Variance portfolio and the out-of-sample Global Minimum Variance portfolio. A new two-fund rule is developed in a specific class of combined rules, between the equally weighted portfolio and a mean-variance portfolio with the covariance matrix being estimated by linear shrinkage. The study shows that this rule performs well out-of-sample when covariance estimation error and bias are balanced. The rule is performing at least as good as its peer group in this class of combined rules.

The modelling of volatility has long been seminal to finance and risk management in general, as it provides information on the spread of portfolio returns. In order to reduce the overall volatility of a stock portfolio, modern portfolio theory (MPT), within an efficient market hypothesis (EMH) framework, dictates that a well-diversified portfolio should have a market beta of one (thereafter adjusted for risk preference), and thus move in sync with a benchmark market portfolio. Such a stock portfolio is highly correlated with the market, and considered to be entirely hedged against unsystematic risk. However, the risks within and between stocks present in a portfolio still impact on each other. In particular, risk present in a particular stock may spill over and affect the risk profile of another stock included within a portfolio - a phenomenon known as volatility spill-over effects. In developing economies such as South Africa, portfolio managers are limited in their choices of stocks. This increases the difficulty of fully diversifying a stock portfolio given the volatility spill-over effects that may be present between stocks listed on the same exchange. In addition, stock portfolios are not static, and therefore require constant rebalancing according to the mandate of the managing fund. The process of constant rebalancing of a stock portfolio (for instance, to follow the market) becomes more complex and difficult during times of financial distress. Considering all these conditions, portfolio managers need all the relevant information (more than MPT would provide) available to them in order to select and rebalance a portfolio of stocks that are as mean-variance efficient as possible. This study provides an additional measure to market beta in order to construct a more efficient portfolio. The additional measure analyse the volatility spill-over effects between stocks within the same portfolio. Using intraday stock returns and a residual based test (aggregate shock [AS] model), volatility spill-over effects are estimated between stocks. It is shown that when a particular stock attracts fewer spill-over effects from the other stocks in the portfolio, the overall portfolio volatility would decrease as well. In most cases market beta showcased similar results; this change is however not linear in the case of market beta. Therefore, in order to construct a more efficient portfolio, one requires both a portfolio that has a unit correlation with the market, but also includes stocks with the least amount of volatility spill-over effects among each other. / MCom (Risk Management), North-West University, Potchefstroom Campus, 2013

The modelling of volatility has long been seminal to finance and risk management in general, as it provides information on the spread of portfolio returns. In order to reduce the overall volatility of a stock portfolio, modern portfolio theory (MPT), within an efficient market hypothesis (EMH) framework, dictates that a well-diversified portfolio should have a market beta of one (thereafter adjusted for risk preference), and thus move in sync with a benchmark market portfolio. Such a stock portfolio is highly correlated with the market, and considered to be entirely hedged against unsystematic risk. However, the risks within and between stocks present in a portfolio still impact on each other. In particular, risk present in a particular stock may spill over and affect the risk profile of another stock included within a portfolio - a phenomenon known as volatility spill-over effects. In developing economies such as South Africa, portfolio managers are limited in their choices of stocks. This increases the difficulty of fully diversifying a stock portfolio given the volatility spill-over effects that may be present between stocks listed on the same exchange. In addition, stock portfolios are not static, and therefore require constant rebalancing according to the mandate of the managing fund. The process of constant rebalancing of a stock portfolio (for instance, to follow the market) becomes more complex and difficult during times of financial distress. Considering all these conditions, portfolio managers need all the relevant information (more than MPT would provide) available to them in order to select and rebalance a portfolio of stocks that are as mean-variance efficient as possible. This study provides an additional measure to market beta in order to construct a more efficient portfolio. The additional measure analyse the volatility spill-over effects between stocks within the same portfolio. Using intraday stock returns and a residual based test (aggregate shock [AS] model), volatility spill-over effects are estimated between stocks. It is shown that when a particular stock attracts fewer spill-over effects from the other stocks in the portfolio, the overall portfolio volatility would decrease as well. In most cases market beta showcased similar results; this change is however not linear in the case of market beta. Therefore, in order to construct a more efficient portfolio, one requires both a portfolio that has a unit correlation with the market, but also includes stocks with the least amount of volatility spill-over effects among each other. / MCom (Risk Management), North-West University, Potchefstroom Campus, 2013

Submitted by glenda rossetti (glenda.rossetti@hotmail.com) on 2017-02-14T21:47:23Z No. of bitstreams: 1 Dissertação_GR_VF.docx: 838594 bytes, checksum: 74fa4382a60e547afda6b97112754b86 (MD5) / Rejected by Renata de Souza Nascimento (renata.souza@fgv.br), reason: Glenda, boa noite Para que possamos aceitar seu trabalho, por gentileza, deixe o seu nome em letras maiúsculas. Em seguida, submeter novamente. O trabalho deve estar em PDF. Att on 2017-02-14T22:36:30Z (GMT) / Submitted by glenda rossetti (glenda.rossetti@hotmail.com) on 2017-02-14T22:42:30Z No. of bitstreams: 1 Dissertação_GR_VF.docx: 838594 bytes, checksum: 74fa4382a60e547afda6b97112754b86 (MD5) / Rejected by Renata de Souza Nascimento (renata.souza@fgv.br), reason: Glenda, Por gentileza, na capa, contra capa seu nome deve estar em letras maiúsculas. Salvar o arquivo em PDF para submete-lo novamente. Att on 2017-02-14T23:00:11Z (GMT) / Submitted by glenda rossetti (glenda.rossetti@hotmail.com) on 2017-02-14T23:06:00Z No. of bitstreams: 1 Tese.pdf: 1154738 bytes, checksum: 1f5b61ad6de4e5cc8e13490446a2f782 (MD5) / Approved for entry into archive by Renata de Souza Nascimento (renata.souza@fgv.br) on 2017-02-14T23:12:23Z (GMT) No. of bitstreams: 1 Tese.pdf: 1154738 bytes, checksum: 1f5b61ad6de4e5cc8e13490446a2f782 (MD5) / Made available in DSpace on 2017-02-15T15:09:04Z (GMT). No. of bitstreams: 1 Tese.pdf: 1154738 bytes, checksum: 1f5b61ad6de4e5cc8e13490446a2f782 (MD5) Previous issue date: 2017-01-19 / This paper has two objectives: verify whether systematic risk is different across countries by comparing risk return ratio of market portfolios and equally weighted portfolios (1/N) to verify their efficiency and the levels of diversification across countries by showing risk behavior increasing diversification. Monthly dollars returns were selected from the forty (40) largest shares of fourteen (14) capital markets indexes of the major developed and emerging economies during the period from June 30, 2011 to May 31, 2016 to construct equally weighted portfolios (1/N) and compare them to market portfolios. Based on the assuming of Modern Portfolio Theory (MPT), the empirical tests have shown evidence that systemic risks are different between the capital markets of the main developed and emerging economies, that market portfolios are not efficient and despite of this, the number of shares required to achieve a certain level of diversification is similar across countries. The results found are in agreement with the literature researched both internationally and nationally. / Este trabalho tem dois objetivos: verificar se o risco sistemático é diferente entre países comparando a relação risco retorno dos portfólios de mercado com portfólios igualmente ponderados (1/N) para verificar sua eficiência e se os níveis de diversificação entre os países mostrando o comportamento do risco com o aumento da diversificação. Foram selecionados retornos mensais em dólares das quarenta (40) maiores ações de catorze (14) índices de mercados de capitais das principais economias desenvolvidas e emergentes no período de 30 de Junho de 2011 á 31 de Maio de 2016 para construir portfólios igualmente ponderados (1/N) e compará-los aos portfólios de mercado. Partindo dos pressupostos da Teoria Moderna do Portfólio (MPT) os ensaios empíricos realizados neste trabalho revelaram evidências de que os riscos sistêmicos são diferentes entre os mercados de capitais das principais economias desenvolvidas e emergentes, que os portfólios de mercados não são eficientes e apesar disso, o número de ações necessárias para adquirir certo nível de diversificação é semelhante entre os países. Os resultados encontrados estão de acordo com a literatura pesquisada tanto internacionalmente quanto nacionalmente.

Made available in DSpace on 2010-04-20T21:00:30Z (GMT). No. of bitstreams: 4 nicolauassali.pdf.jpg: 21057 bytes, checksum: e49c3a73a969030bb30a7b487e8ddf77 (MD5) nicolauassali.pdf: 745103 bytes, checksum: dcb827d78438926dd042deccffc5bab4 (MD5) 1_136970.pdf: 745134 bytes, checksum: 17ea1cc72a370b8ea2ba2cf6590ebe16 (MD5) nicolauassali.pdf.txt: 258686 bytes, checksum: 416660ae630d51947f844cef8a94fb45 (MD5) Previous issue date: 2008-02-13T00:00:00Z / This dissertation analyses the performance and features of some of the current Brazilian funds of funds, called multimanagers, as well as the performance of funds of funds as a result of the simulation of Brazilian funds portfolios that use several investment strategies known as multimarkets. The diversification through a multimarkets funds portfolio involves other variables beyond the traditional approach of mean-variance. The first part of this study presents the main features of the selected funds of funds and also describes more than the mean-variance, showing the third and fourth moments of the returns distribution. The second part uses the tool named Style Analysis (Sharpe, 1988) in order to determine the return exposure of each of the funds of funds of the sample to certain asset classes. In this study were chosen the following asset classes: Ibovespa, CDI, Dollar and IRF-M. Through the medium-variance approach, the third part of this study uses a tool known as the Portfolio Theory (Markowitz, 1952) as the minimum variance frontier, in order to evaluate the performance of each funds of funds in the given sample. The performance is evaluated on the comparison basis of the minimum variance frontier built from a benchmark portfolio (comprising two of the major Brazilian financial assets of low and high risk: CDI and Ibovespa, respectively) with another minimum variance frontier built from the addition of a fund of funds into the benchmark portfolio. The last part refers to simulations of multimarkets portfolio funds that allow the allocation of variable income in the portfolio and it also allows the use of leverage. The goal is to check through the return of the average values, variance, asymmetry and kurtosis, the efficiency of such funds as instruments of diversification. The outcomes show that the 32 multimanager funds of funds analyzed do not have normal return distribution and 29 ones present negative skewness behavior. The Style Analysis indicates high sensibility to CDI and IRF-M, and low sensibility to Ibovespa and Dollar, main financial market indexes. The majority of multimanager funds of funds improved the Minimum Variance Frontier when added to a reference portfolio (CDI + Ibovespa), in other words, there was a reduction on risk – return relation. The portfolio simulation indicates that in the last three years the multimarkets funds classified as Leveraged Variable Income has been more aggressive in the strategies due to the asymmetry behavior; however this kurtosis behavior indicates a position not too aggressive as well. So the construction of Funds portfolios that use several investment strategies should not be restraint to the mean-variance approach. It should also involve asymmetry, kurtosis and investor preferences. / Esta dissertação analisa o desempenho e as características de uma parte dos atuais fundos de fundos brasileiros, os denominados multigestores, bem como o desempenho de fundos de fundos resultantes da simulação de carteiras de fundos brasileiros que utilizam várias estratégias de investimentos, conhecidos como multimercados. A diversificação através de uma carteira de fundos multimercados envolve outras variáveis além da tradicional abordagem de média-variância. A primeira parte do estudo apresenta as principais características dos fundos de fundos selecionados e descreve, além da média e variância, o terceiro e quarto momentos das distribuições dos retornos. A segunda parte utiliza a ferramenta chamada Análise de Estilo (Sharpe, 1988), para determinar a exposição dos retornos de cada um dos fundos de fundos da amostra a determinadas classes de ativos. Neste trabalho foram escolhidas as seguintes classes de ativos: Ibovespa, CDI, Dólar e IRF-M. Através da abordagem de média-variância, a terceira parte do estudo utiliza a ferramenta conhecida na Teoria da Carteira (Markowitz, 1952) como fronteira de mínima variância, para avaliar o desempenho de cada um dos fundos de fundos da amostra. O desempenho é avaliado com base na comparação da fronteira de mínima variância construída a partir de uma carteira de referência (composta por dois dos principais ativos financeiros brasileiros de baixo e alto risco: CDI e Ibovespa, respectivamente) com outra fronteira de mínima variância construída a partir do acréscimo de um fundo de fundos à carteira de referência. A última parte refere-se a simulações de carteiras de fundos multimercados que permitem a alocação de renda variável na carteira e também permitem o uso de alavancagem. Seu objetivo é verificar, através dos valores de retorno médio, variância, assimetria e curtose, a eficiência desses fundos como instrumentos de diversificação. Os resultados mostram que os 32 fundos de fundos multigestores analisados não tem distribuição normal de retornos e 29 apresentam assimetria negativa. A Análise de Estilo indica grande sensibilidade ao CDI e ao IRF-M, e pouca sensibilidade ao Ibovespa e Dólar, importantes índices do mercado financeiro. A maioria dos fundos de fundos multigestores melhorou a Fronteira Eficiente quando adicionados a uma carteira de referência (CDI + Ibovespa), ou seja, houve uma redução na relação risco-retorno. A simulação das carteiras indica que nos últimos três anos os fundos multimercados classificados como Com Renda Variável Com Alavancagem tem sido mais agressivos nas estratégias, devido ao comportamento da assimetria, porém o comportamento da curtose indica também uma posição nem tão agressiva. Logo, a construção de carteiras com fundos que utilizam diversas estratégias de investimentos não deve se restringir à abordagem de média-variância. Deve também envolver também assimetria, curtose e preferências do investidor.

L'investisseur islamique diffère de son homologue de type homoeconomicus, dans son approche de l'acte d'investissement. Le premier ne se base pas exclusivement, sur un critère financier pour hiérarchiser ses choix d'investissements, mais utilise aussi un critère moral et éthique afin d'évaluer l'efficacité de ses allocations financières. Ce comportement s'explique par le fait que réaliser des actes d'investissements compatibles avec l'éthique économique islamique génère un plaisir de piété chez cet investisseur. La théorie financière néo-classique ignore l'existence du plaisir de piété et son éventuel impact sur le processus de choix des investissements. Aussi, la théorie du portefeuille et son corollaire, la théorie du MEDAF, ne prennent pas en compte toutes les préférences de l'investisseur islamique. Ce dernier ne peut donc pas les utiliser pour évaluer l'efficacité de ses choix d'investissements. Afin de pallier à cette insuffisance théorique, nous proposons, à travers notre travail de recherche, de développer un modèle d'évaluation des actifs financiers, qui tient compte des spécificités de l'investissement islamique, à l'image de la réalisation des ventes à découvert, formellement interdites, ainsi que la prise en compte des aspects éthiques et moraux des portefeuilles d'investissements. Ce modèle doit permettre à l'homo-islamicus de réaliser une allocation optimale de ses ressources financières. Les principaux résultats de notre recherche montrent qu'à la différence de l'investissement socialement responsable conventionnel, l'investissement islamique est de type éthique et altruiste. Cette spécificité impose aux agences de notation Charia, de prendre en compte les niveaux de dons charitables que réalise chaque entreprise, lors du calcul de sa note éthique. Nous développons par conséquent, un modèle de notation des entreprises et des portefeuilles d'investissements qui prend en compte cette spécificité de l'investissement islamique. Par la suite, nous proposons des choix qui permettent aux investisseurs islamiques de contourner l'interdiction de réaliser des opérations de ventes à découvert conventionnelles et un modèle d'évaluation des actifs financiers islamiques. / The Islamic investor differs from its counterpart type, the homo-economicus, in its approach to the act of investment. Indeed, the first is not based solely on financial criteria to prioritize its investment choices, but also uses moral and ethical criteria to assess the effectiveness of its financial allocations. This particular behavior is explained by the fact that, performing acts of investments consistent with Islamic business ethics generates a pleasure of piety to this type of investor. The neo-classical financial theory ignores the existence of the pleasure of piety and its potential impact on the process of selecting investments. Also, portfolio theory and its corollary, the theory of CAPM do not take into account the preferences of the Islamic investor. Therefore, it is not able to use them to assess the effectiveness of its investment choices. To overcome this theoretical failure, we offer through our research, a model of asset pricing that takes into account the specificities of Islamic investment, for example, the inability to achieve a short selling and taking into account ethical and moral aspects of investment portfolios. This model should allow the homo-islamicus to achieve optimal allocation of its financial resources. The main results of our research show that unlike conventional socially responsible investment, Islamic investment is ethical and altruistic types. This specificity requires Islamic rating agencies, to take into account the levels of charitable giving that makes every business, when calculating its ethical note. We therefore develop a rating model for companies and investment portfolios that takes into consideration the specificity of Islamic investment. Subsequently, we propose two alternatives that enable Islamic investors to circumvent the prohibition to perform conventional short selling transactions. Finally, we build our Islamic assets pricing model.

nÃo hà / Quando a conjuntura econÃmica de um paÃs propicia baixa taxa de juros de mercado, a rentabilidade de aplicaÃÃes ditas seguras, como em renda fixa, deixa de ser negÃcio atrativo para investidores, que optam por submeter-se a um risco maior em busca de maiores rendimentos. Em tais cenÃrios, investidores arriscam-se no mercado acionÃrio, no qual ganhos maiores podem ser auferidos, apesar do risco superior ao da renda fixa. A Teoria Moderna do PortfÃlio mostra que esse risco pode ser reduzido pela diversificaÃÃo de ativos. Esta pesquisa tem por objetivo verificar se um modelo quantitativo baseado na Teoria Moderna do PortfÃlio à capaz ajudar na diversificaÃÃo de um portfÃlio, reduzindo risco a nÃveis inferiores aos da carteira de mercado, enquanto proporciona rendimentos superiores aos de s de mercado. Os testes utilizaram sÃries histÃricas de 36 ativos negociados na BOVESPA entre 1999 e 2012, e foram conduzidos em janelas de amostras de 12, 36, 60 e 120 observaÃÃes. Os resultados mostram que a ampliaÃÃo do horizonte de investimento permite a obtenÃÃo de desempenho superior do portfÃlio selecionado pela otimizaÃÃo baseada na mÃnima variÃncia, comparativamente à aplicaÃÃo livre de risco (CDI) e ao Ãndice Bovespa.

>Magister Scientiae - MSc / In this thesis, we discuss methods for optimising the expected rate of return of a portfolio with minimal risk. As part of the work we look at the Modern Portfolio Theory which tries to maximise the portfolio's expected rate of return for a cer- tain amount of risk. We also use Quadratic Programming to optimise portfolios. Generally it is recognised that portfolios with a high expected return, carry higher risk. The Modern Portfolio Theory assists when choosing portfolios with the lowest possible risk. There is a nite number of assets in a portfolio and we therefore want to allocate them in such a way that we're able to optimise the expected rate of return with minimal risk. We also use the Markowian approach to allocate these assets. The Capital Asset Pricing Model is also used, which will help us to reduce our e cient portfolio to a single portfolio. Furthermore we use the Black-Litterman model to try and optimise our portfolio with a view to understanding the current market conditions, as well as considering how the market will perform in the future. An additional tool we'll use is Value at Risk. This enables us to manage the market risk. To this end, we follow the three basic approaches from Jorion [Value at Risk. USA: McGraw-Hills, 2001]. The Value at Risk tool has become essential in calcu- lating a portfolio's risk over the last decade. It works by monitoring algorithms in order to nd the worst possible scenarios within the portfolio. We perform several numerical experiments in MATLAB and Microsoft Excel and these are presented in the thesis with the relevant descriptions.

This thesis is focused on the analysis of performance of chosen russian mutual funds on the basis of achieved yield and risk. After short introduction to the russian market of mutual funds, the paper deals with a theoretical background underlying the performance indicators. Risk perception and following construction of indicators are discussed in detail from the perspective of modern and post-modern portfolio theory. The indicators are interpreted and appropriateness of their application is assessed. The analytic part is devoted to the application of discussed methods on 10 open-ended equity mutual funds. Based on the result, the funds are compared with each other and with selected market index.

The thesis provides a comparison of different portfolio models and tests their performance on the financial markets. Our analysis particularly focuses on comparison of the classical Markowitz modern portfolio theory and the downside risk models of the post-modern portfolio theory. In addition, we consider some alternative portfolio models ending with total eleven models that we test. If the performance of different portfolio models should be evaluated and compared correctly, we must use a measure that is unbiased to any portfolio theory. We suggest solving this issue via a new approach based on the utility theory and utility functions. We introduce the unbiased method for evaluation of the portfolio model performance using the expected utility efficient frontier. We use the asymmetric behavioural utility function to capture the behaviour of the real market investors. The Markowitz model is the leading market practice. We investigate whether there are any circumstances in which some other models might provide better performance than the Markowitz model. Our research is for three reasons unique. First, it provides a comprehensive comparison of broad classes of different portfolio models. Second, we focus on the developed markets in United States and Germany but also on the local emerging markets in Czech Republic and Poland. These local markets have never been tested in such extent before. Third, the empirical testing is based on the broad data set from 2003 to 2012 which enable us to test how different portfolio model perform in different macroeconomic conditions.