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The use of risk measures and its applications in portfolio optimisation
Dissertation (MSc)--University of Pretoria, 2017.
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| Format: | Thesis |
| Language: | English |
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University of Pretoria
2018
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| _version_ | 1867613681466998784 |
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| access_status_str | Open Access |
| author2 | Mare, Eben |
| author_browse | Mare, Eben |
| author_facet | Mare, Eben |
| collection | Thesis |
| dc_rights_str_mv | © 2018 University of Pretoria. All rights reserved. The copyright in this work vests in the University of Pretoria. No part of this work may be reproduced or transmitted in any form or by any means, without the prior written permission of the University of Pretoria. |
| description | Dissertation (MSc)--University of Pretoria, 2017. |
| format | Thesis |
| id | oai:repository.up.ac.za:2263/65944 |
| institution | University of Pretoria (South Africa) |
| language | English |
| last_indexed | 2026-06-10T12:40:00.824Z |
| license_str | Other — see source repository |
| provenance_str_mv | Harvested via OAI-PMH from UPSpace — University of Pretoria Institutional Repository |
| publishDate | 2018 |
| publishDateRange | 2018 |
| publishDateSort | 2018 |
| publisher | University of Pretoria |
| publisherStr | University of Pretoria |
| record_format | dspace |
| source_str | UPSpace — University of Pretoria Institutional Repository |
| spelling | oai:repository.up.ac.za:2263/65944 The use of risk measures and its applications in portfolio optimisation Mare, Eben u11230712@tuks.co.za Sivnarain, Resham UCTD Dissertation (MSc)--University of Pretoria, 2017. In this dissertation, we study the application of risk measures to portfolio optimisation. A risk measure is a functional over the set of random portfolio returns mappings . We present the various risk measures in this dissertation within an axiomatic framework. Although Value-at-Risk (VaR) has been widely used, the Conditional-Value-at-Risk (CVaR) has become the more popular risk measure since it is a coherent and convex risk measure. We solve a CVaR based optimisation model that is used for portfolio optimisation and hedging a target portfolio. Additionally, we solve a CVaR based optimisation model with cost considerations included in the objective function. Further, we include alternative risk measures such as distortion, spectral, drawdown and coherent-distortion risk measures (CDRM) and develop optimisation problems for each risk measure as either the objective function or as a constraint in a linear programming problem. Since the 2008 crisis era, it has become important to note the universal agreement that financial assets have fat tails and that financial and investment managers must be able to account for it in their risk management strategies. We present fat-tail analysis for CVaR optimisation problems and perfom emperical risk analysis on the FTSE/JSE ALSI index. Mathematics and Applied Mathematics MSc Unrestricted 2018-07-25T09:01:07Z 2018-07-25T09:01:07Z 2018/04/13 2017 Dissertation Sivnarain, R 2017, The use of risk measures and its applications in portfolio optimisation, MSc Dissertation, University of Pretoria, Pretoria, viewed yymmdd <http://hdl.handle.net/2263/65944> A2018 http://hdl.handle.net/2263/65944 en © 2018 University of Pretoria. All rights reserved. The copyright in this work vests in the University of Pretoria. No part of this work may be reproduced or transmitted in any form or by any means, without the prior written permission of the University of Pretoria. application/pdf University of Pretoria |
| spellingShingle | UCTD The use of risk measures and its applications in portfolio optimisation |
| title | The use of risk measures and its applications in portfolio optimisation |
| title_full | The use of risk measures and its applications in portfolio optimisation |
| title_fullStr | The use of risk measures and its applications in portfolio optimisation |
| title_full_unstemmed | The use of risk measures and its applications in portfolio optimisation |
| title_short | The use of risk measures and its applications in portfolio optimisation |
| title_sort | use of risk measures and its applications in portfolio optimisation |
| topic | UCTD |
| url | http://hdl.handle.net/2263/65944 |