Estimating risk measures of multiple portfolio optimization strategies

Detalhes bibliográficos
Ano de defesa: 2023
Autor(a) principal: Barreto, Hugo Barroso
Orientador(a): Targino, Rodrigo dos Santos
Banca de defesa: Não Informado pela instituição
Tipo de documento: Dissertação
Tipo de acesso: Acesso aberto
Idioma: eng
Instituição de defesa: Não Informado pela instituição
Programa de Pós-Graduação: Não Informado pela instituição
Departamento: Não Informado pela instituição
País: Não Informado pela instituição
Palavras-chave em Português:
Risk Management
Value-at-Risk
Expected Shortfall
Link de acesso: https://hdl.handle.net/10438/33846
Resumo: This study uses daily data over the 2016-2022 period to analyze the risks of multiple investment strategies from the standpoint of a U.S. investor with a diversi ed portfolio including both traditional and crypto assets. Diferent methods for estimating tail risk measures of conditional heteroscedastic models were analyzed and the results show that the Variance-Covariance method with EWMA estimators yields the best estimation of portfolio risk.
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spelling Barreto, Hugo BarrosoEscolas::EMApSaporito, Yuri FahhamFernandes, MarceloTargino, Rodrigo dos Santos2023-06-30T19:01:27Z2023-06-30T19:01:27Z2023-01-06https://hdl.handle.net/10438/33846This study uses daily data over the 2016-2022 period to analyze the risks of multiple investment strategies from the standpoint of a U.S. investor with a diversi ed portfolio including both traditional and crypto assets. Diferent methods for estimating tail risk measures of conditional heteroscedastic models were analyzed and the results show that the Variance-Covariance method with EWMA estimators yields the best estimation of portfolio risk.Este estudo usa dados diários do período de 2016 a 2022 para analisar os riscos de várias estratégias de investimento do ponto de vista de um investidor dos EUA com um portfólio diversificado que inclui ativos tradicionais e criptomoedas. Foram analisados diferentes métodos para estimar medidas de risco de cauda de modelos heterocedásticos condicionais, e os resultados mostram que o método de variância-covariância com estimadores EWMA produz a melhor estimativa do risco do portfólio.engRisk ManagementValue-at-RiskExpected ShortfallMatemática aplicadaModelos matemáticosInvestimentos - MatemáticaRisco financeiro - Modelos matemáticosEstimating risk measures of multiple portfolio optimization strategiesinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/masterThesisinfo:eu-repo/semantics/openAccessreponame:Repositório Institucional do FGV (FGV Repositório Digital)instname:Fundação Getulio Vargas (FGV)instacron:FGVORIGINAL2023 Hugo Barreto - Aprovado.pdf2023 Hugo Barreto - Aprovado.pdfArtigo principalapplication/pdf8573892https://repositorio.fgv.br/bitstreams/29fca75f-95c3-4f0b-b618-c50c92a4e7ed/downloadf8b24bf88f9b0b0b338279e98f0a2c06MD53LICENSElicense.txtlicense.txttext/plain; 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dc.title.eng.fl_str_mv Estimating risk measures of multiple portfolio optimization strategies
title Estimating risk measures of multiple portfolio optimization strategies
spellingShingle Estimating risk measures of multiple portfolio optimization strategies
Barreto, Hugo Barroso
Risk Management
Value-at-Risk
Expected Shortfall
Matemática aplicada
Modelos matemáticos
Investimentos - Matemática
Risco financeiro - Modelos matemáticos
title_short Estimating risk measures of multiple portfolio optimization strategies
title_full Estimating risk measures of multiple portfolio optimization strategies
title_fullStr Estimating risk measures of multiple portfolio optimization strategies
title_full_unstemmed Estimating risk measures of multiple portfolio optimization strategies
title_sort Estimating risk measures of multiple portfolio optimization strategies
author Barreto, Hugo Barroso
author_facet Barreto, Hugo Barroso
author_role author
dc.contributor.unidadefgv.por.fl_str_mv Escolas::EMAp
dc.contributor.member.none.fl_str_mv Saporito, Yuri Fahham
Fernandes, Marcelo
dc.contributor.author.fl_str_mv Barreto, Hugo Barroso
dc.contributor.advisor1.fl_str_mv Targino, Rodrigo dos Santos
contributor_str_mv Targino, Rodrigo dos Santos
dc.subject.por.fl_str_mv Risk Management
Value-at-Risk
Expected Shortfall
topic Risk Management
Value-at-Risk
Expected Shortfall
Matemática aplicada
Modelos matemáticos
Investimentos - Matemática
Risco financeiro - Modelos matemáticos
dc.subject.bibliodata.none.fl_str_mv Matemática aplicada
dc.subject.bibliodata.por.fl_str_mv Modelos matemáticos
Investimentos - Matemática
Risco financeiro - Modelos matemáticos
description This study uses daily data over the 2016-2022 period to analyze the risks of multiple investment strategies from the standpoint of a U.S. investor with a diversi ed portfolio including both traditional and crypto assets. Diferent methods for estimating tail risk measures of conditional heteroscedastic models were analyzed and the results show that the Variance-Covariance method with EWMA estimators yields the best estimation of portfolio risk.
publishDate 2023
dc.date.accessioned.fl_str_mv 2023-06-30T19:01:27Z
dc.date.available.fl_str_mv 2023-06-30T19:01:27Z
dc.date.issued.fl_str_mv 2023-01-06
dc.type.status.fl_str_mv info:eu-repo/semantics/publishedVersion
dc.type.driver.fl_str_mv info:eu-repo/semantics/masterThesis
format masterThesis
status_str publishedVersion
dc.identifier.uri.fl_str_mv https://hdl.handle.net/10438/33846
url https://hdl.handle.net/10438/33846
dc.language.iso.fl_str_mv eng
language eng
dc.rights.driver.fl_str_mv info:eu-repo/semantics/openAccess
eu_rights_str_mv openAccess
dc.source.none.fl_str_mv reponame:Repositório Institucional do FGV (FGV Repositório Digital)
instname:Fundação Getulio Vargas (FGV)
instacron:FGV
instname_str Fundação Getulio Vargas (FGV)
instacron_str FGV
institution FGV
reponame_str Repositório Institucional do FGV (FGV Repositório Digital)
collection Repositório Institucional do FGV (FGV Repositório Digital)
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