| fullrecord |
[{"key": "dc.contributor.advisor", "value": "Junttila, Juha", "language": "", "element": "contributor", "qualifier": "advisor", "schema": "dc"}, {"key": "dc.contributor.advisor", "value": "Raatikainen, Juhani", "language": "", "element": "contributor", "qualifier": "advisor", "schema": "dc"}, {"key": "dc.contributor.author", "value": "Heikkinen, Risto", "language": "", "element": "contributor", "qualifier": "author", "schema": "dc"}, {"key": "dc.date.accessioned", "value": "2020-11-18T06:28:37Z", "language": null, "element": "date", "qualifier": "accessioned", "schema": "dc"}, {"key": "dc.date.available", "value": "2020-11-18T06:28:37Z", "language": null, "element": "date", "qualifier": "available", "schema": "dc"}, {"key": "dc.date.issued", "value": "2020", "language": "", "element": "date", "qualifier": "issued", "schema": "dc"}, {"key": "dc.identifier.uri", "value": "https://jyx.jyu.fi/handle/123456789/72658", "language": null, "element": "identifier", "qualifier": "uri", "schema": "dc"}, {"key": "dc.description.abstract", "value": "Kellyn kriteeriksi kutsutaan sijoitusstrategiaa, jossa tavoitteena on varallisuuden kasvuvauhdin maksimointi pitk\u00e4ll\u00e4 ajanjaksolla. Sen alkuper\u00e4isen version soveltamiseen liittyy heikkouksia kuten suuri varallisuuden vaihtelu lyhyell\u00e4 ajanjaksolla ja ep\u00e4varmuus tulevaisuuden tuottojen arvioimisessa. N\u00e4it\u00e4 puutteita on aiemmin paikattu jakamalla riskisijoitusten suuruutta kiinte\u00e4ll\u00e4 vakiolla, mutta t\u00e4m\u00e4n vakion suuruuden valintaan ei ole selv\u00e4\u00e4 konsensusta aiemmissa tutkimuksissa.\nT\u00e4ss\u00e4 ty\u00f6ss\u00e4 yhdistet\u00e4\u00e4n monta aiemmin ehdotettua laajennusta Kellyn kriteerille. N\u00e4it\u00e4 ovat mm. tulevaisuuden tuottojen ep\u00e4varmuuden arvioiminen Bayes-mallilla ja paksuh\u00e4nt\u00e4isell\u00e4 t-jakaumalla sek\u00e4 lyhyen t\u00e4ht\u00e4imen riskien hallinnointi sijoittajan mieltymyksiin sopivalla turvarajoittella. Lopputuloksena on algoritmi, jonka avulla m\u00e4\u00e4ritell\u00e4\u00e4n sijoittajalle sopiva allokaatio osakemarkkinaindeksin ja riskitt\u00f6m\u00e4n koron v\u00e4lill\u00e4. Lis\u00e4ksi menetelm\u00e4st\u00e4 kehitet\u00e4\u00e4n versio, jossa edellisten lis\u00e4ksi sijoittaja voi allokoida varojaan yksitt\u00e4iseen osakkeseen, miss\u00e4 n\u00e4kee erityist\u00e4 potentiaalia. Ty\u00f6ss\u00e4 potentiaalia mitataan analyytikkojen tavoitehintojen ja tavoitehintojen tuoman historiallisen lis\u00e4arvon avulla.\nTy\u00f6ss\u00e4 kehitetty\u00e4 Bayes-Kelly menetelm\u00e4\u00e4 sovelletaan Suomen osakemarkkinoille ja tutkitaan sen toimivuutta vuosien 2010 - 2019 aikana. Vuosittain uudelleen markkinaindeksiin allokoidun varallisuuden kehityst\u00e4 vertaillaan perinteisen portfolioteoriaan pohjautuviin allokointip\u00e4\u00e4t\u00f6ksiin sek\u00e4 yksinkertaiseen strategiaan, jossa osakepaino on aina 50%. Mielenkiinnon kohteena on my\u00f6s Suomen valtion sijoitusyhti\u00f6 Solidiumin performanssi kyseisen\u00e4 ajankohtana ja sen saavuttama tuotto on viimeinen vertailukohta. Lopuksi tutkitaan viel\u00e4 kuinka paljon lis\u00e4arvoa olisi tuottanut yksitt\u00e4isen osakkeen lis\u00e4\u00e4minen allokaatioon analyytikkojen tavoitehintojen perusteella.\nLopputuloksena saatiin, ett\u00e4 Bayes-Kelly strategiat tuottivat riskikorjattuna paremmin kuin kaikki vertailumenetelm\u00e4t Sharpen luvun perusteella. Solidiumin p\u00e4\u00e4oman kehitys vastasi l\u00e4hes tulkoon Bayes-Kelly strategiaa, jossa sijoittajan hyv\u00e4ksytt\u00e4v\u00e4 vuosittainen tappio on 20% varallisuuden arvosta. Suuremman tuottojen vaihtelun takia Solidium kuitenkin h\u00e4visi Sharpe-lukujen vertailussa. Eniten potentiaalia omaavan osakkeen lis\u00e4\u00e4minen portfolioon tavoitehintojen perusteella ei vaikuttanut juurikaan loppuvarallisuuseen. Osakkeen lis\u00e4\u00e4minen v\u00e4hensi tuottojen vaihtelua ja siten paransi hieman Sharpen lukua.", "language": "fi", "element": "description", "qualifier": "abstract", "schema": "dc"}, {"key": "dc.description.abstract", "value": "The Kelly criterion is an investment strategy, which aims to maximize long-term capital growth rate. There are known limitations in applying it\u2019s original version such as high short-term volatility and uncertainty in estimating future returns. These limitations are traditionally tackled by risking only a fixed fraction of the proposed amount of the capital, but there is no clear consensus in published articles as how to choose this fraction.\nThis thesis combines many earlier presented extensions to the Kelly criterion. These are e.g. estimating the uncertainty of future reaturns with a Bayesian model and a heavy tailed t-distribution and controlling short-term risk with a security constraint based on an investor\u2019s risk tolerance. The end result is an algorithm which optimizes an appropriate allocation between a stock market index and a risk-free rate. In addition, there is a version of the algorithm, where it is possible to allocate the capital to one stock where the investor sees a special potential. In this thesis the potential is measured as the analysts\u2019 target prices and the historical value of this target price information.\nThe developed Bayes-Kelly method is applied to the Finnish stock market and it\u2019s performance is studied during the years 2010\u20132019. The development of the capital which is annually re-allocated to the market index, is compared to the capital which is re-allocated based on the traditional portfolio theory and to a simple strategy where the weight of the risky asset is always 50%. One scope of interest is the portfolio of the Finnish government\u2019s holding company Solidium. It\u2019s performance during the same time period is also a benchmark to Bayes-Kelly strategy. As the last aim of the study, the performed value of adding individual stock to the portfolio based on the analysts\u2019 target prices is investigated. \nThe result was that the Bayes-Kelly strategies\u2019 risk adjusted performance was better than any of the benchmark strategies\u2019 performance based on the Sharpe ratio. Solidium\u2019s wealth accumulation trajectory was similar with the Bayes-Kelly strategy where the accepted annual capital loss was 20%. Because of higher volatility, Solidium had a lower Sharpe ratio. Adding individual stock with the highest potential to the portfolio did not have much effect on the terminal wealth. Adding individual stock based on the analyst target prices reduced the portfolios\u2019 volatility, and hence, improved the Sharpe ratio.", "language": "en", "element": "description", "qualifier": "abstract", "schema": "dc"}, {"key": "dc.description.provenance", "value": "Submitted by Paivi Vuorio (paelvuor@jyu.fi) on 2020-11-18T06:28:37Z\nNo. of bitstreams: 0", "language": "en", "element": "description", "qualifier": "provenance", "schema": "dc"}, {"key": "dc.description.provenance", "value": "Made available in DSpace on 2020-11-18T06:28:37Z (GMT). No. of bitstreams: 0\n Previous issue date: 2020", "language": "en", "element": "description", "qualifier": "provenance", "schema": "dc"}, {"key": "dc.format.extent", "value": "43", "language": "", "element": "format", "qualifier": "extent", "schema": "dc"}, {"key": "dc.language.iso", "value": "eng", "language": null, "element": "language", "qualifier": "iso", "schema": "dc"}, {"key": "dc.rights", "value": "In Copyright", "language": "en", "element": "rights", "qualifier": null, "schema": "dc"}, {"key": "dc.subject.other", "value": "portfolio allocation", "language": "", "element": "subject", "qualifier": "other", "schema": "dc"}, {"key": "dc.subject.other", "value": "Kelly criterion", "language": "", "element": "subject", "qualifier": "other", "schema": "dc"}, {"key": "dc.subject.other", "value": "stock markets", "language": "", "element": "subject", "qualifier": "other", "schema": "dc"}, {"key": "dc.title", "value": "Bayesian Kelly criterion as an allocation strategy in Finnish stock markets", "language": "", "element": "title", "qualifier": null, "schema": "dc"}, {"key": "dc.type", "value": "master thesis", "language": null, "element": "type", "qualifier": null, "schema": "dc"}, {"key": "dc.identifier.urn", "value": "URN:NBN:fi:jyu-202011186677", "language": "", "element": "identifier", "qualifier": "urn", "schema": "dc"}, {"key": "dc.type.ontasot", "value": "Master\u2019s thesis", "language": "en", "element": "type", "qualifier": "ontasot", "schema": "dc"}, {"key": "dc.type.ontasot", "value": "Pro gradu -tutkielma", "language": "fi", "element": "type", "qualifier": "ontasot", "schema": "dc"}, {"key": "dc.contributor.faculty", "value": "Jyv\u00e4skyl\u00e4 University School of Business and Economics", "language": "en", "element": "contributor", "qualifier": "faculty", "schema": "dc"}, {"key": "dc.contributor.faculty", "value": "Jyv\u00e4skyl\u00e4n yliopiston kauppakorkeakoulu", "language": "fi", "element": "contributor", "qualifier": "faculty", "schema": "dc"}, {"key": "dc.contributor.department", "value": "Taloustieteet", "language": "fi", "element": "contributor", "qualifier": "department", "schema": "dc"}, {"key": "dc.contributor.department", "value": "Business and Economics", "language": "en", "element": "contributor", "qualifier": "department", "schema": "dc"}, {"key": "dc.contributor.organization", "value": "Jyv\u00e4skyl\u00e4n yliopisto", "language": "fi", "element": "contributor", "qualifier": "organization", "schema": "dc"}, {"key": "dc.contributor.organization", "value": "University of Jyv\u00e4skyl\u00e4", "language": "en", "element": "contributor", "qualifier": "organization", "schema": "dc"}, {"key": "dc.subject.discipline", "value": "Taloustiede", "language": "fi", "element": "subject", "qualifier": "discipline", "schema": "dc"}, {"key": "dc.subject.discipline", "value": "Economics", "language": "en", "element": "subject", "qualifier": "discipline", "schema": "dc"}, {"key": "yvv.contractresearch.funding", "value": "0", "language": "", "element": "contractresearch", "qualifier": "funding", "schema": "yvv"}, {"key": "dc.type.coar", "value": "http://purl.org/coar/resource_type/c_bdcc", "language": null, "element": "type", "qualifier": "coar", "schema": "dc"}, {"key": "dc.rights.accesslevel", "value": "openAccess", "language": null, "element": "rights", "qualifier": "accesslevel", "schema": "dc"}, {"key": "dc.type.publication", "value": "masterThesis", "language": null, "element": "type", "qualifier": "publication", "schema": "dc"}, {"key": "dc.subject.oppiainekoodi", "value": "2041", "language": "", "element": "subject", "qualifier": "oppiainekoodi", "schema": "dc"}, {"key": "dc.subject.yso", "value": "arvopaperisalkut", "language": null, "element": "subject", "qualifier": "yso", "schema": "dc"}, {"key": "dc.subject.yso", "value": "arvopaperimarkkinat", "language": null, "element": "subject", "qualifier": "yso", "schema": "dc"}, {"key": "dc.subject.yso", "value": "bayesilainen menetelm\u00e4", "language": null, "element": "subject", "qualifier": "yso", "schema": "dc"}, {"key": "dc.subject.yso", "value": "sijoitukset", "language": null, "element": "subject", "qualifier": "yso", "schema": "dc"}, {"key": "dc.subject.yso", "value": "securities portfolios", "language": null, "element": "subject", "qualifier": "yso", "schema": "dc"}, {"key": "dc.subject.yso", "value": "security market", "language": null, "element": "subject", "qualifier": "yso", "schema": "dc"}, {"key": "dc.subject.yso", "value": "Bayesian analysis", "language": null, "element": "subject", "qualifier": "yso", "schema": "dc"}, {"key": "dc.subject.yso", "value": "investments", "language": null, "element": "subject", "qualifier": "yso", "schema": "dc"}, {"key": "dc.rights.url", "value": "https://rightsstatements.org/page/InC/1.0/", "language": null, "element": "rights", "qualifier": "url", "schema": "dc"}]
|