Thesis (MSc)--Stellenbosch University, 2014. / ENGLISH ABSTRACT: We consider the problem of portfolio's asset allocation characterised by risk
and return. Prior to the 2007-2008 financial crisis, this important problem
was tackled using mainly the Markowitz mean-variance framework. However,
throughout the past decade of challenging markets, particularly for equities,
this framework has exhibited multiple drawbacks.
Today many investors approach this problem with a 'safety first' rule that
puts risk management at the heart of decision-making. Risk-based strategies
have gained a lot of popularity since the recent financial crisis. One of the
'trendiest' of the modern risk-based strategies is the Risk Parity model, which
puts diversification in terms of risk, but not in terms of dollar values, at the
core of portfolio risk management.
Inspired by the works of Maillard et al. (2010), Bruder and Roncalli (2012),
and Roncalli and Weisang (2012), we examine the reliability and relationship
between the traditional mean-variance framework and risk parity. We emphasise,
through multiple examples, the non-diversification of the traditional
mean-variance framework. The central focus of this thesis is on examining the
main Risk-Parity strategies, i.e. the Inverse Volatility, Equal Risk Contribution
and the Risk Budgeting strategies.
Lastly, we turn our attention to the problem of maximizing the absolute
expected value of the logarithmic portfolio wealth (sometimes called the drift
term) introduced by Oderda (2013). The drift term of the portfolio is given by
the sum of the expected price logarithmic growth rate, the expected cash flow,
and half of its variance. The solution to this problem is a linear combination
of three famous risk-based strategies and the high cash flow return portfolio. / AFRIKAANSE OPSOMMING: Ons kyk na die probleem van batetoewysing in portefeuljes wat gekenmerk
word deur risiko en wins. Voor die 2007-2008 finansiele krisis, was hierdie belangrike
probleem deur die Markowitz gemiddelde-variansie raamwerk aangepak.
Gedurende die afgelope dekade van uitdagende markte, veral vir aandele, het
hierdie raamwerk verskeie nadele getoon.
Vandag, benader baie beleggers hierdie probleem met 'n 'veiligheid eerste'
reël wat risikobestuur in die hart van besluitneming plaas. Risiko-gebaseerde
strategieë het baie gewild geword sedert die onlangse finansiële krisis. Een
van die gewildste van die moderne risiko-gebaseerde strategieë is die Risiko-
Gelykheid model wat diversifikasie in die hart van portefeulje risiko bestuur
plaas.
Geïnspireer deur die werke van Maillard et al. (2010), Bruder and Roncalli
(2012), en Roncalli and Weisang (2012), ondersoek ons die betroubaarheid en
verhouding tussen die tradisionele gemiddelde-variansie raamwerk en Risiko-
Gelykheid. Ons beklemtoon, deur middel van verskeie voorbeelde, die niediversifikasie van die tradisionele gemiddelde-variansie raamwerk. Die sentrale
fokus van hierdie tesis is op die behandeling van Risiko-Gelykheid strategieë,
naamlik, die Omgekeerde Volatiliteit, Gelyke Risiko-Bydrae en Risiko Begroting
strategieë.
Ten slotte, fokus ons aandag op die probleem van maksimering van absolute
verwagte waarde van die logaritmiese portefeulje welvaart (soms genoem die
drif term) bekendgestel deur Oderda (2013). Die drif term van die portefeulje
word gegee deur die som van die verwagte prys logaritmiese groeikoers, die
verwagte kontantvloei, en die helfte van die variansie. Die oplossing vir hierdie
probleem is 'n lineêre kombinasie van drie bekende risiko-gebaseerde strategieë
en die hoë kontantvloei wins portefeulje.
| Identifer | oai:union.ndltd.org:netd.ac.za/oai:union.ndltd.org:sun/oai:scholar.sun.ac.za:10019.1/95974 |
| Date | 12 1900 |
| Creators | Galane, Lesiba Charles |
| Contributors | Ghomrasni, Raouf, Stellenbosch University. Faculty of Science. Department of Mathematical Sciences. |
| Publisher | Stellenbosch : Stellenbosch University |
| Source Sets | South African National ETD Portal |
| Language | en_ZA |
| Detected Language | Unknown |
| Type | Thesis |
| Format | ix, 131 p. : ill. |
| Rights | Stellenbosch University |
Page generated in 0.0017 seconds