Comparing Efficient Portfolios of Australian Shares Using Different Risk Measures

This work will construct and compare optimised investment portfolios utilising four different risk measures: (1) variance of returns, (2) semi-variance of returns, (3) value at risk and (4) tail value at risk. Data would be collected for the largest companies by market capitalisation on the Australian Securities Exchange (ASX), over the last 20 years.

Research aims to answer the following questions:

  1. What are the advantages and disadvantages of the considered risk measures?
  2. Are there significant differences in portfolio construction using the different risk measures?
  3. Are the efficient portfolios robust over different time periods?

Zachary Tindale

Curtin University

Zach Tindale is an actuarial science student at Curtin University. He is interested in the application of mathematics quantifying financial risks. For this reason, he conducted a research project comparing the construction of investment portfolios with different risk measures. In addition to his studies, he has completed multiple NFP consulting projects. Zach has a keen interest in financial markets and how mathematics can cut through the chaos.

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