Risk parity and other heuristic portfolio allocation strategies – Ing. Daniel Kanyata
Ing. Daniel Kanyata
Master's thesis
Risk parity and other heuristic portfolio allocation strategies
Risk parity and other heuristic portfolio allocation strategies
Abstract:
The aim of this thesis is to evaluate the performance of the Risk Parity Portfolio against the 60/40, Equally Weighted and the Global Minimum Variance Portfolios under different market conditions. Two historical securities price datasets, spanning a 17-year period, were used to accomplish this purpose. The first dataset was composed of three indices: A Stock index, Bond index and Commodities index …moreAbstract:
The aim of this thesis is to evaluate the performance of the Risk Parity Portfolio against the 60/40, Equally Weighted and the Global Minimum Variance Portfolios under different market conditions. Two historical securities price datasets, spanning a 17-year period, were used to accomplish this purpose. The first dataset was composed of three indices: A Stock index, Bond index and Commodities index …more
Language used: English
Date on which the thesis was submitted / produced: 14. 5. 2021
Identifier:
https://is.muni.cz/th/ljbvu/
Thesis defence
- Date of defence: 24. 6. 2021
- Supervisor: Ing. Luděk Benada, Ph.D.
- Reader: Ing. Daniel Stašek
Citation record
ISO 690-compliant citation record:
KANYATA, Daniel. \textit{Risk parity and other heuristic portfolio allocation strategies}. Online. Master's thesis. Brno: Masaryk University, Faculty of Economics and Administration. 2021. Available from: https://theses.cz/id/zcxf33/.
Full text of thesis
Contents of on-line thesis archive
Published in Theses:- světu
Other ways of accessing the text
Institution archiving the thesis and making it accessible: Masarykova univerzita, Ekonomicko-správní fakultaMasaryk University
Faculty of Economics and AdministrationMaster programme / field:
Finance / Finance
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