The risk parity approach to assetallocation
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- Tez No: 721624
- Danışmanlar: PROF. CRİSTİANO IACOPOZZI, PROF. ANDREA MENCHIARI
- Tez Türü: Yüksek Lisans
- Konular: İşletme, Ekonomi, Business Administration, Economics
- Anahtar Kelimeler: Risk Parity, Asset Allocation, Asset Management Companies, Performance of Mutual Funds, Risk-based Portfolios, European Mutual Funds, Turkish Mutual Funds, Robo Advisor
- Yıl: 2018
- Dil: İngilizce
- Üniversite: Unıversıta Deglı Studı Dı Sıena (unıversıty Of Sıena)
- Enstitü: Yurtdışı Enstitü
- Ana Bilim Dalı: Belirtilmemiş.
- Bilim Dalı: Belirtilmemiş.
- Sayfa Sayısı: Belirtilmemiş.
Özet
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Özet (Çeviri)
This master thesis has two purposes. Firstly, it is compared asset allocation strategies. I focused on Risk Parity approach which is the more popular risk-based strategy than others. Compared four risk-based strategies are Traditional 60/40, Global Minimum Variance, Maximum Diversification, Inverse Volatility Portfolio. After comparison of these risk-based strategies, I came through that Risk Parity approach has interesting points than others. The Risk Parity is an advanced portfolio technique used by hedge funds. The risk parity approach tries to avoid skews of traditional portfolio diversification and the risks. It allows creating an optimal portfolio including the volatility of the assets in the portfolio. Its concept is that diversify by risk, not by money to get to both higher and more consistent return. Also, if we use leverage on the portfolio, a performance of risk parity approach can be high than others. Secondly, the other focus of this master thesis is on analyzing of European and Turkish mutual funds' performances by way of using performance measures of mutual funds, such as Sharpe ratio, Sortino ratio, Treynor ratio, Total expenses ratio and beta. I chose four asset management companies which are in Turkey and Europe for this analysis. They are Unlu Portfolio Management (Unlu&Co), Global Investment Holdings, UBS Asset Management, and Schroders Asset Management. After compared these asset management companies, I landed up general results about performances of European and Turkish mutual funds. According to my analysis results, Turkish mutual funds are more risky and costly than European mutual funds. In addition, European mutual funds are more efficient and more correlated to the market than Turkish mutual funds. After my analysis part, I lastly mentioned robo advisor's advantages and disadvantages. They became popular since 2008. Robo advisors basically that provide algorithm-driven, automated and based on mathematical rules financial planning services with minimal human intervention.
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ÇİĞDEM YERLİ
Yüksek Lisans
İngilizce
2018
Orta Doğu Teknik ÜniversitesiFinansal Matematik Ana Bilim Dalı (disiplinlerarası)
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