Quantitative topics in portfolio and risk management

Abstract

English: The modern quantitative portfolio manager is the quintessential “jack of all trades”. Not only do they need to be an expert in the specific area of portfolio management, they also need to have a thorough understanding of the related areas of valuation, data processing, risk management and performance analysis. What this means practically is that quantitative portfolio managers are regularly faced with problems spanning the entire P − Q spectrum of quantitative finance. Spurred by this reality, the central research question motivating this thesis is exactly the core motivation behind every decision taken by a quantitative portfolio manager: What is the most efficient, practical method for constructing, managing and evaluating optimal multi-asset portfolios in dynamic, non-normal markets? In this thesis, we attempt to provide insight into this broad central research question by offering new perspectives and practical solutions to a selection of sub-problems that a quantitative portfolio manager would have to address in practice. In particular, this thesis is comprised of six essays that each tackle specific problems in the related areas of derivatives, return modelling, systematic trading strategies and portfolio construction.

Sepedi: Molaodi wa sebjalebjale wa photefolio ya bontši ke "motho wa mabokgoni ka moka” a bohlokwa. Ga se fela gore ba swanetše go ba setsebi ka lefapheng le le itšego la taolo ya potefolio, ba swanetše gape go ba le kwešišo ye e tseneletšego ya dikarolo tše amanago le yona tša tekolo ya boleng, tshepetšo ya datha, taolo ya kotsi le tshekatsheko ya go diragatša. Se gabotse se ra gore balaodi ba diphotefolio tša bontši ka mehla ba lebana le mathata ao a akaretšago sepektheramo ka moka sa P − Q sa boleng bja dipalo tša ditšhelete. Ka ge e hlohleletšwa ke seemo se, potšišo ya nyakišišo ye bohlokwa ye e hlohleletšago thesese ye ke yona gabotse tlhohleletšo ya motheo ka morago ga sephetho se sengwe le se sengwe seo se tšerwego ke molaodi wa photefolio ya bontši: Ke mokgwa ofe wo o šomago gabotse kudu, mokgwa wo o šomago wa go aga, go laola le go sekaseka diphotefolio tša matlotlo a mantši tše di loketšego mebaraka yeo e fetogago, yeo e sego ya tlwaelega? Ka thesese ye, re leka go fa temogo ka ga potšišo ye ya nyakišišo ya ye e nabilego ya bogareng ka go fa dipono tše mpsha le ditharollo tše di šomago kgethong ya mathata a mannyane ao molaodi wa photefolio ya dipalo a bego a tla swanelwa ke go a rarolla tirišong. Gabotsebotse, thesese ye e bopilwe ka ditaodišo tše tshela tšeo ye nngwe le ye nngwe e rarollago mathata a itšego ka dikarolong tše di amanago tša ditšweletšwa, mohlala wa poelo, thulaganyo ya maano a kgwebišano le kago ya diphotefolio.

Afrikaans: Die moderne kwantitatiewe portefeuljebestuurder is die tipiese kenner op alle gebiede. Nie net moet hulle 'n kenner wees op die spesifieke gebied van portefeuljebestuur nie, maar hulle moet ook 'n deeglike begrip hê van die verwante areas van waardasie, dataverwerking, risikobestuur en prestasieontleding. Wat dit prakties beteken, is dat kwantitatiewe portefeuljebestuurders gereeld te kampe het met probleme wat die hele P – Q spektrum van kwantitatiewe finansies dek. Aangespoor deur hierdie werklikheid, is die sentrale navorsingsvraag wat hierdie proefskrif motiveer presies die kernmotivering agter elke besluit wat deur 'n kwantitatiewe portefeuljebestuurder geneem word: Wat is die mees doeltreffende, praktiese metode vir die konstruksie, bestuur en evaluering van optimale multibateportefeuljes in dinamiese, nienormale markte? In hierdie proefskrif poog ons om insig te bied in hierdie breë sentrale navorsingsvraag deur nuwe perspektiewe en praktiese oplossings te bied vir 'n seleksie van subprobleme wat 'n kwantitatiewe portefeuljebestuurder in die praktyk sal moet aanspreek. In die besonder bestaan hierdie proefskrif uit ses opstelle wat elk spesifieke probleme in die verwante gebiede van afgeleides, opbrengsmodellering, sistematiese handelstrategieë en portefeuljekonstruksie aanspreek.

IsiZulu: Imenenja yephothifoliyo ephathelene nokubala yesimanje yiyona esezingeni eliphezulu “engusazikonke maqondana nohwebo”. Akudingeki nje ukuthi abe uchwepheshe emkhakheni othile wokuphatha iphothifoliyo, futhi badinga ukuqonda kahle imikhakha ehlobene yokulinganisa, ukucutshungulwa kwemininingwane, ukuphatha ubungozi kanye nokuhlaziywa kokusebenza kahle. Okushiwo yiloku ngokusebenzayo ukuthi amamenenja amaphothifoliyo avamise ukubhekana nezinkinga ezihlanganisa i-spectrum se--P - Q sonke ngokuphathelene nezokubalwa kwezezimali. Ngokugqugquzelwa yileli qiniso, umbuzo osemqoka wocwaningo ogqugquzela le thesisi uyisona sizathu esingumnyombo wokugqugquzela isinqumo esithathwe imenenja yephothifoliyo ephathelene nokubala: Yiyiphi indlela enempumelelo kakhulu kabi, esebenzayo yokwakha, ukuphatha kanye nokuhlola amaphothifoliyo ezimpahla eziningi ezimakethe eziguquguqukayo, ezingezona ezejwayelekile? Kulolu cwaningo, sizama ukunikeza ukuqonda kulo mbuzo obanzi ongumnyombo wocwaningo ngokunikeza imibono emisha nezisombululo ezisebenzayo ekukhethweni kwezinkinga ezincane imenenja yephothifoliyo yokuphathelene nokubala okufanele abhekane nako uma kusetshenzwa. Ikakhulukazi, lolu cwaningo luqukethe ama-eseyi ayisithupha okuthi i-eseyi ngayinye ibhekana nezinkinga ezithile emikhakheni ehlobene yokuphuma kokunye, ukubuyiswa kwemifanekiso, amasu okuhweba ahlelekile kanye nokwakhiwa kwephothifoliyo.