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dc.contributor.advisorBelsom, Einar
dc.contributor.authorØdegaard, Eirik
dc.contributor.authorSkjeseth, Øystein
dc.date.accessioned2019-10-21T06:34:49Z
dc.date.available2019-10-21T06:34:49Z
dc.date.issued2019
dc.identifier.urihttps://hdl.handle.net/10642/7728
dc.descriptionMaster i økonomi og administrasjonen
dc.description.abstractWe study the optimal portfolio allocation when returns, covariances and volatility switch between normal and turbulent regimes. We isolated all the high-volatility events in recent historic return series and produced covariance-matrices corresponding to normal and bear-market regimes. Using these covariance-matrices, along with analysis of the probability of occurrents from these events, led us to produce Monte Carlo simulations with time series of returns used to optimize allocations using investors CRRA-levels, maximizing their utility. Our findings support research showing substantially different allocation when the bear market regimes are taken into account, with heavier weights in lower risk assets, compared to the full-sample covariance-matrix simulation producing much heavier weights in high-risk assets. Our results show that as returns are decreasing with the more conservative allocation, the risk is reduced substantially. Our results also indicate heavy support for the theory of time diversification.en
dc.language.isoenen
dc.publisherOsloMet - Oslo Metropolitan Universityen
dc.subjectVDP::Samfunnsvitenskap: 200::Økonomi: 210::Samfunnsøkonomi: 212en
dc.subjectVolatility-returnsen
dc.subjectAsset allocationsen
dc.subjectRegime switchingsen
dc.subjectMarkov processesen
dc.subjectMonte Carlo simulationsen
dc.subjectConstant relative risk aversionen
dc.subjectUtilitiesen
dc.titleOptimal Portfolio Allocation Under Volatility-Return Regime Switchingen
dc.typeMaster thesisen
dc.description.versionpublishedVersionen


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