METODE SI TEHNICI DE COMBATERE A RISCULUI INVESTITIONAL

CUPRINS
                                                                  Accepţiuni
generale....................................................................
                                      .....................................1
                CAPITOLUL 1. Elemente Fundamentale În Alegerea Portofoliului
                                                             1.1. Noţiuni de
bază........................................................................
                                        .................................. 2
                                                                1.2. Modelul
Markowitz...................................................................
                                        .................................. 3
                                         1.2.1. Portofoliile dintr-o singură
    acţiune............................................................... 4
                                                   1.2.2. Portofolii de două
titluri.....................................................................
                                                                .......... 4
                                                    1.2.3. Portofoliile de 7
acţiuni.....................................................................
                                                      .................... 5
                                                                1.2.4. Cazul
general.....................................................................
                                                 ......................... 5
                                                     1.3. Puzzle-ul alocării
activelor...................................................................
                                                    .......................6
                                                       1.3.1. Model de optim
1...........................................................................
                                                             ..............8
                                                           1.3.2. Riscul pur
............................................................................
                                                   ....................... 9
                                                       1.3.3. Diversificarea
naivă.......................................................................
                                                            ...............9
                                                1.3.4. Modelul portofoliului
    comportamental....................................................... 10
                                                        1.3.4. Pierderile de
eficienţă...................................................................
                                                             ............ 16
                                                            1.3.5. Concluzii
............................................................................
                                                   ...................... 16
   CAPITOLUL 2. Diversificarea – Definiţie şi moduri de realizare a acesteia
                                                              2.1. Tipuri de
diversificare...............................................................
                                         .................................19
                                                       2.2. Cum funcţionează
diversificarea?.............................................................
                                                          ................20
                                                   2.3. Câteva modalităţi de
diversificare...............................................................
                                                            ............. 21
                          2.3.1. Diversificarea cu obligaţiuni: beneficii şi
                         riscuri..........................................26
                                           2.3.1.1. Beneficii şi riscuri ale
   obligaţiunilor.........................................................26
                                        2.3.1.2 Patru tipuri fundamentale de
            obligaţiuni...................................................28
                                                    2.3.1.2.1. Obligaţiunile
corporative.................................................................
                                                                     .....28
                                                      2.3.1.2.2. Obligaţiuni
guvernamentale..............................................................
                                                                       ...28
                                       2.3.1.2.3. Obligaţiuni ale agenţiilor
                 guvernamentale.......................................... 28
                                                      2.3.1.2.4. Obligaţiuni
municipale..................................................................
                                                                   .......29
                                                  2.3.2. Investiţia la nivel
internaţional...............................................................
                                                                     .....29
                                          2.3.2.1. Indicii internaţionali ai
     capitalului..........................................................29
                      2.3.2.2. Risc şi rentabilitate din investiţia la nivel
                                   internaţional......................... 29
                            2.3.2.3. Rentabilitate la nivel internaţional şi
                          naţional....................................... 30
                                               2.3.2.4. Riscul intern şi cel
străin......................................................................
                                                                          32
                                                            2.3.2.5. Firmele
multinaţionale..............................................................
                                                              ............33
                                                          2.3.2.6. Listările
internaţionale..............................................................
                                                             ............ 33
                                         2.3.2.7. Corelaţii între pieţele de
       capital........................................................... 33
                                                             2.3.3. Activele
fixe........................................................................
                                                   .......................34
                                                          2.3.4. Activele de
“colecţie”..................................................................
                                                          ................34
                  2.4.Riscul sistematic şi riscul nesistematic. Rolul lor în
                               diversificare..............................34
                                                               2.4.1. Riscul
nesistematic................................................................
                                                      ....................35
                                                               2.4.2. Riscul
sistematic..................................................................
                                                    ......................36
                                                 2.5. Aspecte matematice ale
diversificării..............................................................
                                                                  ........36
                   2.5.1. Reprezentarea diferitelor tipuri de coeficienţi de
                                        corelaţie.........................37
                                           2.5.2. Calculul coeficienţilor de
   corelaţie..............................................................39
CAPITOLUL 3. Derivative – Diversificare la nivel superior
                                                            3.1. Contractele
forward.....................................................................
                                             .............................41
                                                            3.2. Contractele
futures.....................................................................
                                            ..............................43
                                       3.2.1.Caracteristici ale contractelor
     futures............................................................. 44
                               3.2.2. Convergenţa preţului futures cu preţul
                   spot.................................................. 44
                             3.2.3. Acoperirea riscului folosind contractele
                      futures.............................................45
                                                           3.2.3.1. Alegerea
contractului................................................................
                                                              ........... 47
                                                  3.2.3.2. Raportul optim de
  hedging...................................................................
                                                                          48
                                                                        3.3.
Opţiuni.....................................................................
                         .................................................49
                                                       3.3.1. Poziţiile unei
opţiuni.....................................................................
                                                        ................. 51
                                                      3.3.2. Veniturile unei
opţiuni.....................................................................
                                                          ............... 51
                                          3.3.3. Proprietăţile opţiunilor pe
  acţiuni...................................................................
                                                                          52
                                                  3.3.4. Limitele preţurilor
opţiunilor..................................................................
                                                                 ........ 55
                                                           3.3.4.1. Limitele
superioare..................................................................
                                                             ............ 55
                                                           3.3.4.2. Limitele
inferioare..................................................................
                                                           ...............55
                                                         3.4. Alte tipuri de
derivative..................................................................
                                               ...........................57
                                       3.5. Pierderi mari aduse de folosirea
  derivativelor...........................................................59
CAPITOLUL 4. Teoria dominanţei stochastice (SD)
                                       4.1. Dominanţa stochastică de ordinul
2..........................................................................6
                                                                           1
                          4.2. Programare lineară pentru problema dominanţei
                             stochastice..................................64
                                                             4.3. Formularea
dualei......................................................................
                                           ...............................67
                                       4.4. Dominanţa stochastică de ordinul
3..........................................................................6
                                                                           8
CAPITOLUL 5. STUDIU DE CAZ - Selecţia portofoliului optim pe piaţa de
                                                                 capital din
România.....................................................................
                                                                 ........ 72
                              Concluzii………………………………………………………………………………………..81
                                Anexa…………………………………………………………………………………………...83