Optimisation de la "value-at-risk" et horizon à l'aide d'une approche d'allocation d'actifs stratégique

Abstract

This thesis examines the impact of Value-at-Risk (VaR) on portfolio performance and asset allocation through a strategic asset allocation approach that incorporates the time horizon. The study aims to understand how VaR can be optimized to enhance portfolio performance while managing associated risks. The value-at-risk (VaR) is a vital component of portfolio analysis, as it indicates the maximum possible loss over ten years at arbitrary levels of risk. It's widely employed in financial risk management to assess and manage market risks. Understanding the impact of VaR on asset allocation and portfolio performance is crucial for achieving strong and efficient investment returns. The study utilizes a quantitative analysis of bond performance, considering various risk and performance indicators such as mean return, volatility, Sharpe ratio, Sortino ratio, and different VaR values (90%, 95%, 97.5%, 99%). These metrics are used to evaluate the relationship between VaR and portfolio performance and to develop optimized asset allocation strategies based on the time horizon.