การวัดมูลค่าความเสี่ยงแบบมีเงื่อนไขของพอร์ตโฟลิโอดัชนีเซท 50 และพันธบัตรรัฐบาลโดยใช้การแจกแจงแบบทรังเคต เลวี่ ไฟลท์

• Main Author: นึกรัก กีรติบำรุงพงศ์
• Other Authors: ฐิติวดี ชัยวัฒน์
• Format: Theses and Dissertations
• Language: Thai
• Published: จุฬาลงกรณ์มหาวิทยาลัย 2011
• Subjects: พันธบัตร; ดัชนีราคาหลักทรัพย์; การลงทุน; หลักทรัพย์
• Online Access: https://digiverse.chula.ac.th/Info/item/dc:28231
• Institution: Chulalongkorn University

This research aims to study the suitable distribution for rate of return of SET 50 and government bond by using the normal distribution compared with the Truncated Lévy Flight. This study forecasts rate of return of portfolio between SET 50 index and government bond, measures CVaR of portfolio, and calculates risk adjusted return. Data used in this research are daily and weekly rate of return of SET 50 and government bond in 2002-2010. The result shows that the Truncated Lévy Flight distribution is more appropriate to fit SET 50 and government bond rate of return. In addition, this research uses Monte Carlo approach to simulate data to construct investment portfolio. The results indicate that portfolio has Truncated Lévy Flight. Daily rate of return of 60% invested in SET 50 and 40% invested in government bond has maximum risk adjusted return with medium CVaR value. However, weekly rate of return invested only in government bond has maximum rate of return on average but with a minimum CVaR ,and the maximum risk adjusted return . In addition, the result of this paper shows that the longer investment time horizontal assets shows no difference of portfolio risk, even though the proportion of invested asset of each portfolio is not the same. Therefore, investor should select appropriate investment portfolio that fit his risk appetite.