Seminari del Dipartimento di Matematica

Seminario del 2010

Cesare Reina, SISSA (Trieste)

Portfolio optimisation

nell'ambito della serie: SEMINARI DI FISICA MATEMATICA

fisica matematica

One period portfolio optimisation is investigated by using and comparing several cost functions which measure the portfolio risk as the classical volatility, the conditional VAR, the expected short-fall. We set up a Monte Carlo simulation of prices of a given asset system for the next 3 years, based on the historical multivariate distribution of price fluctuations. One period optimisation is then repeated at the beginning of each year: a strategy is the choice of an optimal portfolio at each of these times. There are several strategies leading to a given final expected return and among these we choose the ``best strategy'' as the one with minimum risk as measured by the realized value of the chosen cost function on the simulated piece of the time-series.