DMCA
Visualisation of Risk Level in Portfolio Management (2005)
BibTeX
@MISC{Mårtensson05visualisationof,
author = {Jonathan Mårtensson and Ledare Jan Aronsson},
title = {Visualisation of Risk Level in Portfolio Management},
year = {2005}
}
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Abstract
In this dissertation a method of extracting raw market data in order to visualise portfolio risk is implemented. It concerns the risk in a Swedish stock portfolio, where the sample mean and the sample standard deviation are calculated from a 90 days interval. These numbers are then used in the Geometric Random Walk model in order to forecast a possible risk interval for the portfolio. A program called Forecast has been developed in Matlab in order to test if the implementation is possible. In Forecast six Swedish stocks are available and the forecast horizon ranges from one day to two years. A function called forecast within makes it possible to compare the real outcome of the portfolio to the forecasted interval and by using this function the forecast can be verified. The results show that it is only in special cases that the time series move outside the forecasted interval and thus the method seems reliable. The conclusion is that it is possible to create a risk visualisation for the end customer by extracting
Keyphrases
portfolio management risk level geometric random walk model swedish stock portfolio forecasted interval end customer time series move possible risk interval real outcome portfolio risk sample mean day interval forecast horizon risk visualisation special case swedish stock sample standard deviation raw market data
