Il risk management tecnico nel trading di portafoglio

Il problema che si cerca di risolvere attraverso la gestione quantitativa del portafoglio è la riduzione del rischio tramite strategie che non dipendano dalla diversificazione dei titoli che compongono il portafoglio. Nel momento in cui si decide di applicare un trading system su un determinato gruppo di asset, il capitale non viene allocato automaticamente su tutti i titoli e si deve affrontare invece un continuo investimento tramite l’apertura dinamica di posizioni sul mercato.Questo significa che la diversificazione non è più una misura adeguata del rischio sostenuto poiché i rendimenti attesi dell’investimento non dipendono più dalle proprietà stesse degli strumenti scelti, ma dalla profittabilità dei segnali generati dalla logica del trading system su questi. Bisogna testare in questo caso le performance del sistema a livello statistico e prevedere anche, per esempio, che l’algoritmo possa generare dei segnali errati che portano a delle posizioni in perdita. Il portafoglio a livello quantitativo deve essere gestito tramite dei trading system che abbiano la possibilità di valutare aspetti globali, come il profitto totale di tutte le posizioni attualmente aperte, o l’intero rischio sostenuto dal capitale gestito. Le decisioni non vengono prese dall’analisi delle prestazioni individuali che la strategia ottiene operando sui singoli titoli. Per affrontare una possibile soluzione a questa problematica si sono quindi selezionati due trading system le cui prestazioni fossero robuste su un intero portafoglio e non solo su determinati titoli. In un successivo momento vengono analizzate le prestazioni del portafoglio aggiungendo ai test due ulteriori strategie di uscita: lo stoploss di portafoglio e il target di portafoglio. Nonostante esse ricalchino idee ampiamente utilizzate per la gestione delle singole posizioni su un titolo, per i test si è deciso di modificarle implementando la gestione globale del capitale all’interno del trading system di portafoglio.

On the Efficiency of the Benchmarks Used in the Asset Management

In this work we studied the efficiency of the benchmarks used in the asset management industry. In chapter 2 we analyzed the efficiency of the benchmark used for the government bond markets. We found that for the Emerging Market Bonds an equally weighted index for the country weights is probably the more suited because guarantees maximum diversification of country risk but for the Eurozone government bond market we found a GDP weighted index is better because the most important matter is to avoid a higher weight for highly indebted countries. In chapter 3 we analyzed the efficiency of a Derivatives Index to invest in the European corporate bond market instead of a Cash Index. We can state that the two indexes are similar in terms of returns, but that the Derivatives Index is less risky because it has a lower volatility, has values of skewness and kurtosis closer to those of a normal distribution and is a more liquid instrument, as the autocorrelation is not significant. In chapter 4 it is analyzed the impact of fallen angels on the corporate bond portfolios. Our analysis investigated the impact of the month-end rebalancing of the ML Emu Non Financial Corporate Index for the exit of downgraded bond (the event). We can conclude a flexible approach to the month-end rebalancing is better in order to avoid a loss of valued due to the benchmark construction rules. In chapter 5 we did a comparison between the equally weighted and capitalization weighted method for the European equity market. The benefit which results from reweighting the portfolio into equal weights can be attributed to the fact that EW portfolios implicitly follow a contrarian investment strategy, because they mechanically rebalance away from stocks that increase in price.

Strategisches TV-Management: Erlösdiversifizierung privater deutscher Free-TV-Unternehmen

Die vorliegende Arbeit befasst sich mit der Erlösdiversifizierung privater deutscher Free-TV-Unternehmen. Im Zentrum stehen dabei die Entwicklung eines Nutzwerttheo-rie-basierten Modells zur Bestimmung attraktiver Diversifikationsfelder und dessen empirische Überprüfung. Zur Modellbildung werden sowohl der market-based als auch der resource-based View des strategischen Managements berücksichtigt und methodisch integriert. Zunächst werden anhand von Fallstudien der Mediengruppe RTL Deutsch-land und der ProSiebenSat.1 Media AG der strategische Optionsraum bestehend aus 15 Diversifizierungsmärkten identifiziert und die Kernressourcen deutscher Free-TV-Unternehmen untersucht. Aufbauend auf den gewonnenen Erkenntnissen wird das soge-nannte COAT-Diversifizierungsmodell als Rahmenmodell für die Planung und Bewer-tung von Diversifizierungsstrategien entworfen (COAT = Online Content Distribution, Offline Activities und Add-On Services/ Transaction TV). Durch eine ausführliche Be-fragung von 26 hochrangigen Managern, Senderchefs und Branchenbeobachtern der deutschen TV-Industrie wird das entworfene Modell überprüft und die Attraktivität der identifizierten Diversifizierungsmärkte ermittelt. Im Zentrum des Modells und der Ex-pertenbefragung steht die Durchführung einer Nutzwertanalyse, anhand derer zum einen die Marktattraktivität der verschiedenen Diversifizierungsmärkte ermittelt wird (market-based View), und zum anderen die Bedeutung der Kernressourcen eines Free-TV-Unternehmens in den verschiedenen Diversifizierungsmärkten untersucht wird (ressour-ce-based View). Hierzu werden für beide Dimensionen entsprechende Subkriterien de-finiert und eine Nutzwertbewertung für jedes Kriterium in jedem der 15 Märkte vorge-nommen. Aus den ermittelten Teilnutzwerten können für jeden untersuchten Markt ein übergreifender marktorientierter Nutzwert NM und ein ressourcenorienterter Nutzwert NR ermittelt werden. Im Resultat lässt sich ein Nutzwert-Portfolio aufspannen, in dem die 15 Diversifizierungsmärkte entsprechend ihrer ressourcen- und marktorientierten Nutzwertkombinationen in vier Gruppen kategorisiert werden: Diversifizierungsmärkte mit 1) sehr hoher Attraktivität, 2) hoher Marktchance, 3) hoher Opportunität oder rn4) geringer Attraktivität. Abschließend werden erste Normstrategien für die einzelnen Diversifizierungskategorien abgeleitet und die Eignung des COAT-Diversifizierungs-modells für die strategische Planung analysiert.rn

Kreditrisiken - Modellierung und Management: Ein Überblick

Zusammenfassung Die Messung und Bewertung von Kreditrisiken stellt sich aktuell als ein sehr bedeutsames (Stichworte : Basel II, Solvency II, Kreditderivate) Gebiet dar. Allerdings hat sich hierbei keine einheitliche Vorgehensweise herausgebildet, sondern es existieren eine Vielzahl unterschiedlicher Ansatzpunkte und Modelle. Aus diesem Grund wird in dem vorliegenden Überblicksaufsatz versucht, einen systematischen Überblick über Problemfelder, Modellierungsansätze und Methoden des Risikomanagements im Kontext von Kreditrisiken zu geben. Nach einer einführenden Charakterisierung von Kreditrisiken und einem Abriss über Ratingsysteme werden zunächst die vier grundlegenden Kategorien von Kreditrisikomodellen (statische Modellierung der Ausfallverteilung, Unternehmenswertmodelle, Intensitätsmodelle und ratingbasierte Modelle) erörtert. Sodann erfolgt eine Darstellung der wichtigsten Industriemodelle (Credit Risk+, KMV, Credit Metrics, Credit Portfolio View). Behandelt werden ferner die Grundzüge von Basel II und die hierbei zugrunde liegende modelltheoretische Fundierung in Form von Einfaktormodellen sowie die Bewertung von ausfallbedrohten Zinstiteln. Abschließend wird auf Kreditderivate eingegangen.

The Risk Management of Minimum Return Guarantees

Contracts paying a guaranteed minimum rate of return and a fraction of a positive excess rate, which is specified relative to a benchmark portfolio, are closely related to unit-linked life-insurance products and can be considered as alternatives to direct investment in the underlying benchmark. They contain an embedded power option, and the key issue is the tractable and realistic hedging of this option, in order to rigorously justify valuation by arbitrage arguments and prevent the guarantees from becoming uncontrollable liabilities to the issuer. We show how to determine the contract parameters conservatively and implement robust risk-management strategies.

Portfolio-optimization models for small investors

Since 2010, the client base of online-trading service providers has grown significantly. Such companies enable small investors to access the stock market at advantageous rates. Because small investors buy and sell stocks in moderate amounts, they should consider fixed transaction costs, integral transaction units, and dividends when selecting their portfolio. In this paper, we consider the small investor’s problem of investing capital in stocks in a way that maximizes the expected portfolio return and guarantees that the portfolio risk does not exceed a prescribed risk level. Portfolio-optimization models known from the literature are in general designed for institutional investors and do not consider the specific constraints of small investors. We therefore extend four well-known portfolio-optimization models to make them applicable for small investors. We consider one nonlinear model that uses variance as a risk measure and three linear models that use the mean absolute deviation from the portfolio return, the maximum loss, and the conditional value-at-risk as risk measures. We extend all models to consider piecewise-constant transaction costs, integral transaction units, and dividends. In an out-of-sample experiment based on Swiss stock-market data and the cost structure of the online-trading service provider Swissquote, we apply both the basic models and the extended models; the former represent the perspective of an institutional investor, and the latter the perspective of a small investor. The basic models compute portfolios that yield on average a slightly higher return than the portfolios computed with the extended models. However, all generated portfolios yield on average a higher return than the Swiss performance index. There are considerable differences between the four risk measures with respect to the mean realized portfolio return and the standard deviation of the realized portfolio return.

New Product Portfolio Performance in Family Firms

This study investigates the relationship between top management team (TMT) innovation orientation and new product portfolio performance in small and medium-sized family firms by exploring two family firm-specific sources of TMT diversity as moderators: the number of generations involved in the TMT and the ratio of family members in the TMT. Results indicate that family-induced diversity in the TMT has opposing moderating effects. Although a positive relationship exists between TMT innovation orientation and new product portfolio performance when multiple generations are involved in the TMT, TMT innovation orientation and new product portfolio performance experience a negative relationship when the ratio of family members in the TMT is high. The study discusses theoretical and managerial implications of the findings and develops avenues for future research.

Portfolio-optimization models for small investors

Since 2010, the client base of online-trading service providers has grown significantly. Such companies enable small investors to access the stock market at advantageous rates. Because small investors buy and sell stocks in moderate amounts, they should consider fixed transaction costs, integral transaction units, and dividends when selecting their portfolio. In this paper, we consider the small investor’s problem of investing capital in stocks in a way that maximizes the expected portfolio return and guarantees that the portfolio risk does not exceed a prescribed risk level. Portfolio-optimization models known from the literature are in general designed for institutional investors and do not consider the specific constraints of small investors. We therefore extend four well-known portfolio-optimization models to make them applicable for small investors. We consider one nonlinear model that uses variance as a risk measure and three linear models that use the mean absolute deviation from the portfolio return, the maximum loss, and the conditional value-at-risk as risk measures. We extend all models to consider piecewise-constant transaction costs, integral transaction units, and dividends. In an out-of-sample experiment based on Swiss stock-market data and the cost structure of the online-trading service provider Swissquote, we apply both the basic models and the extended models; the former represent the perspective of an institutional investor, and the latter the perspective of a small investor. The basic models compute portfolios that yield on average a slightly higher return than the portfolios computed with the extended models. However, all generated portfolios yield on average a higher return than the Swiss performance index. There are considerable differences between the four risk measures with respect to the mean realized portfolio return and the standard deviation of the realized portfolio return.

The use of computers for graduate education in Project Management. Improving the integration to the industry.

This paper presents an initiative for monitoring the competence acquisition by a team of students with different backgrounds facing the experience of being working by projects and in a project. These students are graduated bachelor engineering are inexperienced in the project management field and they play this course on a time-shared manner along with other activities. The goal of this experience is to increase the competence levels acquired by using an structured web based portfolio tool helping to reinforce how relevant different project management approaches can result for final products and how important it becomes to maintain the integration along the project. Monitoring is carried out by means of have a look on how the work is being done and measuring different technical parameters per participant. The use of this information could make possible to bring additional information to the students involved in terms of their individual competencies and the identification of new opportunities of personal improvement. These capabilities are strongly requested by companies in their daily work as well as they can be very convenient too for students when they try to organize their PhD work.

Challenges for the comprehensive management of cloud services in a PaaS framework

The 4CaaSt project aims at developing a PaaS framework that enables flexible definition, marketing, deployment and management of Cloud-based services and applications. The major innovations proposed by 4CaaSt are the blueprint and its lifecycle management, a one stop shop for Cloud services and a PaaS level resource management featuring elasticity. 4CaaSt also provides a portfolio of ready to use Cloud native services and Cloud-aware immigrant technologies.