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Flexible risk-based portfolio optimisation
The purpose of this study is to present and test a general framework for risk-based investing. It permits various risk-based portfolios such as the global minimum variance, equal risk contribution and equal weight portfolios. The framework also allows for different estimation techniques to be used i...
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| Format: | Thesis |
| Language: | English |
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African Institute of Financial Markets and Risk Management
2021
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| _version_ | 1867613221335072768 |
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| access_status_str | Open Access |
| author | Landman, Jayson |
| author2 | Mahomed, Obeid |
| author_browse | Landman, Jayson Mahomed, Obeid |
| author_facet | Mahomed, Obeid Landman, Jayson |
| author_sort | Landman, Jayson |
| collection | Thesis |
| description | The purpose of this study is to present and test a general framework for risk-based investing. It permits various risk-based portfolios such as the global minimum variance, equal risk contribution and equal weight portfolios. The framework also allows for different estimation techniques to be used in finding the portfolios. The design of the study is to collate the existing research on risk-based investing, to analyse some modern methods to reduce estimation risk, to incorporate them in a single coherent framework, and to test the result with South African equity data. The techniques to reduce estimation risk draw from the usual mean-variance and risk-based optimisation literature. The techniques include regime switching, quantile regression, regularisation and subset resampling. In the South African experiment, risk-based portfolios materially outperformed the market weight portfolio out-of-sample using a Sharpe ratio measure. Additionally, the global minimum variance portfolio performed better than other risk-based portfolios. Given the long estimation window, no estimation techniques consistently outperformed the application of sample estimators only. |
| format | Thesis |
| id | oai:open.uct.ac.za:11427/32787 |
| institution | University of Cape Town (South Africa) |
| language | eng |
| last_indexed | 2026-06-10T12:32:41.376Z |
| license_str | Not specified — see source repository |
| provenance_str_mv | Harvested via OAI-PMH from UCTD — University of Cape Town Open Access Repository |
| publishDate | 2021 |
| publishDateRange | 2021 |
| publishDateSort | 2021 |
| publisher | African Institute of Financial Markets and Risk Management |
| publisherStr | African Institute of Financial Markets and Risk Management |
| record_format | dspace |
| source_str | UCTD — University of Cape Town Open Access Repository |
| spelling | oai:open.uct.ac.za:11427/32787 Flexible risk-based portfolio optimisation Landman, Jayson Mahomed, Obeid Flint, Emlyn risk-based investing portfolio optimisation estimation risk The purpose of this study is to present and test a general framework for risk-based investing. It permits various risk-based portfolios such as the global minimum variance, equal risk contribution and equal weight portfolios. The framework also allows for different estimation techniques to be used in finding the portfolios. The design of the study is to collate the existing research on risk-based investing, to analyse some modern methods to reduce estimation risk, to incorporate them in a single coherent framework, and to test the result with South African equity data. The techniques to reduce estimation risk draw from the usual mean-variance and risk-based optimisation literature. The techniques include regime switching, quantile regression, regularisation and subset resampling. In the South African experiment, risk-based portfolios materially outperformed the market weight portfolio out-of-sample using a Sharpe ratio measure. Additionally, the global minimum variance portfolio performed better than other risk-based portfolios. Given the long estimation window, no estimation techniques consistently outperformed the application of sample estimators only. 2021-02-04T14:08:15Z 2021-02-04T14:08:15Z 2020 2021-02-03T15:27:38Z Master Thesis Masters MPhil http://hdl.handle.net/11427/32787 eng application/pdf African Institute of Financial Markets and Risk Management Faculty of Commerce |
| spellingShingle | risk-based investing portfolio optimisation estimation risk Landman, Jayson Flexible risk-based portfolio optimisation |
| thesis_degree_str | Master's |
| title | Flexible risk-based portfolio optimisation |
| title_full | Flexible risk-based portfolio optimisation |
| title_fullStr | Flexible risk-based portfolio optimisation |
| title_full_unstemmed | Flexible risk-based portfolio optimisation |
| title_short | Flexible risk-based portfolio optimisation |
| title_sort | flexible risk based portfolio optimisation |
| topic | risk-based investing portfolio optimisation estimation risk |
| url | http://hdl.handle.net/11427/32787 |
| work_keys_str_mv | AT landmanjayson flexibleriskbasedportfoliooptimisation |