Z enakomerno razporeditvijo tveganja v portfelju nad volatilnost trga - empirična analiza na delnicah indeksa S&P 500

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Z enakomerno razporeditvijo tveganja v portfelju nad volatilnost trga - empirična analiza na delnicah indeksa S&P 500

Škerlep, Matej

Med manj znane strategije sestave optimalnega portfelja uvrščamo metodo s pariteto tveganja, pri kateri kapital alociramo na način, da so relativni prispevki k varianci portfelja s strani posameznih ... vrednostnih papirjev med seboj enaki. V članku s pomočjo algoritmov implementiranih v programskem jeziku R analiziramo učinkovitost metode na delnicah indeksa S&P 500 in rezultate primerjamo z metodo z minimizacijo variance in enakomerno uteženim portfeljem. Podrobneje se osredotočimo tudi na padec finančnih trgov spomladi leta 2020 zaradi pandemije koronavirusa.

Source: Bančni vestnik : revija za denarništvo in bančništvo. - ISSN 0005-4631 (Letn. 70, št. 4, apr. 2021, str. 16-22)

Type of material - article, component part ; adult, serious

Publish date - 2021

Language - slovenian

COBISS.SI-ID - 59452675

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Škerlep, Matej

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source: Bančni vestnik : revija za denarništvo in bančništvo. - ISSN 0005-4631 (Letn. 70, št. 4, apr. 2021, str. 16-22)

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Škerlep, Matej

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