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Variante de optimizare a portofoliilor de acţiuni diversificate internațional în condiții de restricții ale politicii investiționale

Author

Listed:
  • Francesca Dana Andreescu

    (Academia de Studii Economice, București, România)

  • Robert Ștefan Sbîrcea

    (Academia de Studii Economice, București, România)

Abstract

Scopul lucrării este de a prezenta comparativ rezultatele unor variante de optimizare a portofoliilor de acţiuni diversificate internațional, cu respectarea unor restricții privind politica investițională specifice investitorilor instituționali (ex. fonduri de pensii, organisme de plasament colectiv în valori mobiliare). În analiza portofoliului, titlurile financiare vor fi descrise şi grupate cu ajutorul Analizei în Componente Principale (PCA) şi cluster-ului ierarhic prin metoda Ward, relizându-se o comparație din punct de vedere al ratei Sharpe între un portofoliu optimizat care acceptă short-selling şi unul care nu acceptă. De asemenea, portofoliul format va fi analizat din perspectiva volatilității prin modelul EGARCH(1,1), i se va calcula VaR şi se va determina impactul stărilor asupra riscului

Suggested Citation

  • Francesca Dana Andreescu & Robert Ștefan Sbîrcea, 2017. "Variante de optimizare a portofoliilor de acţiuni diversificate internațional în condiții de restricții ale politicii investiționale," Journal of Financial Studies, Institute of Financial Studies, vol. 2(2), pages 40-55, June.
    • Handle: RePEc:fst:rfsisf:v:2:y:2017:i:2:p:40-55
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    More about this item

    Keywords

    Analiza în Componente Principale; Clusterizare ierarhică; Modelul Markowitz; Rata Sharpe; Single Index Model; EGARCH; VaR; CVaR; Backtesting; Regresie;
    All these keywords.

    JEL classification:

    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • H27 - Public Economics - - Taxation, Subsidies, and Revenue - - - Other Sources of Revenue
    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy

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