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Project
New methods for the use of high-frequency data and sustainability scores in portfolio management.
Both private and institutional investors need to decide regularly on how to spread their capital over a large number of possible investments. This process is referred to as portfolio optimization. The investors decision is based on the his objectives, such as obtaining a certain returnwhile minimizing the risk.
Traditionally, the risk and the return on investments is measured based on daily, weekly or monthly data. Recently, investors have access to the entire intraday pricepath, which is referred to as high-frequency financial data. In this doctoral dissertation, we propose new statistical methods to measure the risk of investments based on high-frequency financial data.
Apart from financial objectives, a growing group of investors also cares aboutwhether their investments are socially responsible. The rapid increase in market share of socially responsible investment funds testifies to this statement. We investigate methods to incorporate - apart from financial objectives - the sustainability of investments into portfolio management. Furthermore, we investigate empirically the increase in risk and decrease in return of a portfolio, when adding a restriction on the sustainability of the portfolio. Our results indicate that the impact on financial performance of restrictions on portfolio sustainability is economically relatively small.
Traditionally, the risk and the return on investments is measured based on daily, weekly or monthly data. Recently, investors have access to the entire intraday pricepath, which is referred to as high-frequency financial data. In this doctoral dissertation, we propose new statistical methods to measure the risk of investments based on high-frequency financial data.
Apart from financial objectives, a growing group of investors also cares aboutwhether their investments are socially responsible. The rapid increase in market share of socially responsible investment funds testifies to this statement. We investigate methods to incorporate - apart from financial objectives - the sustainability of investments into portfolio management. Furthermore, we investigate empirically the increase in risk and decrease in return of a portfolio, when adding a restriction on the sustainability of the portfolio. Our results indicate that the impact on financial performance of restrictions on portfolio sustainability is economically relatively small.
Date:1 Oct 2009 → 31 Dec 2013
Keywords:Mean-variance spanning test, Socially responsible investment, Sustainability scores, Portfolio optimization, Robust estimation, Covariance matrix, Realized volatility, High frequency data
Disciplines:Applied economics, Economic history, Macroeconomics and monetary economics, Microeconomics, Tourism
Project type:PhD project