Seminario di fisica matematica
ore
16:00
presso Seminario I
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.