Portfolio optimization using risk rarity strategies based on clustering methods in python

Detalhes bibliográficos
Autor(a) principal: Jaspert, Nikolas Alexander
Data de Publicação: 2021
Tipo de documento: Dissertação
Idioma: eng
Título da fonte: Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
Texto Completo: http://hdl.handle.net/10362/140578
Resumo: This thesis compares classic portfolio allocation techniques such as the Equally Weighted-(EW) and 60/40-portfolio (60/40) against more advanced approaches, namely Naïve Risk Parity (NRP) and Hierarchical Risk Parity (HRP). The different portfolios are constructed using 20 diversified equity and fixed income futures across 20 years, applying dynamic leverage (volatility target), and implementing monthly rebalancing with transaction costs. In addition, robustness tests are applied to the Hierarchical Risk Parity strategy to infer how different clustering methods influence HRP’s performance. Compared to EW and 60/40, NRP and HRP show better risk-adjusted returns, while HRP’s diversification leads to more stability and lower and shorter drawdowns in comparison to all other strategies.
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spelling Portfolio optimization using risk rarity strategies based on clustering methods in pythonPortfolio managementAsset managementPortfolio optimizationDomínio/Área Científica::Ciências Sociais::Economia e GestãoThis thesis compares classic portfolio allocation techniques such as the Equally Weighted-(EW) and 60/40-portfolio (60/40) against more advanced approaches, namely Naïve Risk Parity (NRP) and Hierarchical Risk Parity (HRP). The different portfolios are constructed using 20 diversified equity and fixed income futures across 20 years, applying dynamic leverage (volatility target), and implementing monthly rebalancing with transaction costs. In addition, robustness tests are applied to the Hierarchical Risk Parity strategy to infer how different clustering methods influence HRP’s performance. Compared to EW and 60/40, NRP and HRP show better risk-adjusted returns, while HRP’s diversification leads to more stability and lower and shorter drawdowns in comparison to all other strategies.Ottonello, GiorgioRibeiro, Gonçalo SommerRUNJaspert, Nikolas Alexander2022-01-122021-12-172025-12-17T00:00:00Z2022-01-12T00:00:00Zinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/masterThesisapplication/pdfhttp://hdl.handle.net/10362/140578TID:202972984enginfo:eu-repo/semantics/embargoedAccessreponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãoinstacron:RCAAP2024-03-11T05:17:45Zoai:run.unl.pt:10362/140578Portal AgregadorONGhttps://www.rcaap.pt/oai/openaireopendoar:71602024-03-20T03:49:43.526010Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãofalse
dc.title.none.fl_str_mv Portfolio optimization using risk rarity strategies based on clustering methods in python
title Portfolio optimization using risk rarity strategies based on clustering methods in python
spellingShingle Portfolio optimization using risk rarity strategies based on clustering methods in python
Jaspert, Nikolas Alexander
Portfolio management
Asset management
Portfolio optimization
Domínio/Área Científica::Ciências Sociais::Economia e Gestão
title_short Portfolio optimization using risk rarity strategies based on clustering methods in python
title_full Portfolio optimization using risk rarity strategies based on clustering methods in python
title_fullStr Portfolio optimization using risk rarity strategies based on clustering methods in python
title_full_unstemmed Portfolio optimization using risk rarity strategies based on clustering methods in python
title_sort Portfolio optimization using risk rarity strategies based on clustering methods in python
author Jaspert, Nikolas Alexander
author_facet Jaspert, Nikolas Alexander
author_role author
dc.contributor.none.fl_str_mv Ottonello, Giorgio
Ribeiro, Gonçalo Sommer
RUN
dc.contributor.author.fl_str_mv Jaspert, Nikolas Alexander
dc.subject.por.fl_str_mv Portfolio management
Asset management
Portfolio optimization
Domínio/Área Científica::Ciências Sociais::Economia e Gestão
topic Portfolio management
Asset management
Portfolio optimization
Domínio/Área Científica::Ciências Sociais::Economia e Gestão
description This thesis compares classic portfolio allocation techniques such as the Equally Weighted-(EW) and 60/40-portfolio (60/40) against more advanced approaches, namely Naïve Risk Parity (NRP) and Hierarchical Risk Parity (HRP). The different portfolios are constructed using 20 diversified equity and fixed income futures across 20 years, applying dynamic leverage (volatility target), and implementing monthly rebalancing with transaction costs. In addition, robustness tests are applied to the Hierarchical Risk Parity strategy to infer how different clustering methods influence HRP’s performance. Compared to EW and 60/40, NRP and HRP show better risk-adjusted returns, while HRP’s diversification leads to more stability and lower and shorter drawdowns in comparison to all other strategies.
publishDate 2021
dc.date.none.fl_str_mv 2021-12-17
2022-01-12
2022-01-12T00:00:00Z
2025-12-17T00:00:00Z
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 http://hdl.handle.net/10362/140578
TID:202972984
url http://hdl.handle.net/10362/140578
identifier_str_mv TID:202972984
dc.language.iso.fl_str_mv eng
language eng
dc.rights.driver.fl_str_mv info:eu-repo/semantics/embargoedAccess
eu_rights_str_mv embargoedAccess
dc.format.none.fl_str_mv application/pdf
dc.source.none.fl_str_mv reponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
instacron:RCAAP
instname_str Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
instacron_str RCAAP
institution RCAAP
reponame_str Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
collection Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
repository.name.fl_str_mv Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
repository.mail.fl_str_mv
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