Review article

Optimisation of the securities portfolio as a part of the risk management process

Srečko Devjak ; Bank of Slovenia

Abstract

Securities of Slovene companies are listed at the Ljubljana Stock Exchange. Market capitalisation at the Ljubljana Stock Exchange has been growing since 1996 due to new listings of equities. On the basis of financial data time series for listed equities, the financial investor can calculate a risk for each individual security with a selected risk measure and can determine an optimal portfolio, subject to selected constraints. In this paper, we shall consequently determine an optimal portfolio of equities for the financial investor, investing his assets only in selected equities listed at the Ljubljana Stock Exchange. Selecting an appropriate risk measure is especially important for a commercial bank in a risk management process. Commercial banks can use internal models in the risk management process and for the purpose of capital charges as well. An optimal portfolio will be calculated, using a non-linear mathematical model.

Keywords

securities; portfolio management; risk management; Slovenia; Ljubljana Stock Exchange

Hrčak ID:

184537

URI

https://hrcak.srce.hr/184537

Publication date:

13.7.2017.

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