In this thesis, portfolio optimisation is used to evaluate if a specific sample of portfolios have a higher risk level or lower expected return, compared to what may be obtained through optimisation. It also compares the return of optimised portfolios with the return of the original portfolios. The risk analysis software Aegis Portfolio Manager developed by Barra is used for the optimisations. With the expected return and risk level used in this thesis, all portfolios can obtain a higher expected return and a lower risk. Over a six-month period, the optimised portfolios do not consistently outperform the original portfolios and therefore it seems as though the optimisation do not improve the return of the portfolios. This might be due to the uncertainty of the expected returns used in this thesis.
Contents
1 INTRODUCTION 1.1 BACKGROUND
1.2 PURPOSE OF STUDY
1.3 LIMITATIONS
2 THEORY 2.1 RETURN
2.2 RISK
2.3 OPTIMISATION – MARKOWITZ
2.4 EFFICIENT FRONTIER
2.5 CONSTRAINT EFFICIENT FRONTIER
2.6 SHARPE RATIO
3 DATA 3.1 DATA PRESENTATION
3.2 SELECTION PROCESS
4 SOFTWARE 4.1 RETURNS
4.2 AEGIS PORTFOLIO MANAGER
5 ANALYSIS 5.1 RISK-ADJUSTED RETURN
5.2 PERFORMANCE OF THE OPTIMISED AND THE ORIGINAL PORTFOLIO
6 CONCLUSIONS AND SUGGESTIONS TO FUTURE STUDIES
6.1 CONCLUSIONS
6.2 SUGGESTIONS TO FUTURE STUDIES
7 ACKNOWLEDGEMENTS REFERENCES APPENDIX
Author: MÃ¥rtensson, Jonathan
Source: Uppsala University Library
Download URL 2: Visit Now