EFFICIENT PORTFOLIO AND TIME VARIANT LOSS EVIDENCE FROM EQUITY MARKET

Portfolio Optimization and recognizing the risk we face while investing in the market has  been one of the most crucial things while building our portfolio. Basic idea of our project  is to evaluate volatility by time variant VaR model by GARCH estimation. The purpose  of

Project Title

EFFICIENT PORTFOLIO AND TIME VARIANT LOSS EVIDENCE FROM EQUITY MARKET

Project Area of Specialization

Artificial Intelligence

Project Summary

Portfolio Optimization and recognizing the risk we face while investing in the market has 
been one of the most crucial things while building our portfolio. Basic idea of our project 
is to evaluate volatility by time variant VaR model by GARCH estimation. The purpose 
of using time variant model of VaR is that it will tell us closer to real value of risk which 
will help the investors in reviewing their position in the market. The main idea of this 
model is that it will make it easy for investors to know how to hedge their risk for future 
investments by standing today. We will also perform back testing and compare both time 
invariant and time variant models of VaR to support our research. 

Project Objectives

Some of the main objectives behind this project are: 
• To find Efficient portfolio for the investors and to find risk by Value at Risk approach by 
both time variant and time invariant model. 
• Implement a back-testing facility to verify the accuracy of the developed model. 
• To provide a guide to the investors in choosing their portfolio. 
• To give real to close value of risk. 

Project Implementation Method

First, we will construct the optimal portfolio via Markowitz portfolio theory based on 
efficient frontier curve determining the CML and SML. 
• Then we will use Value at Risk model by variance, covariance method to recognize the 
maximum loss. 
• Then we will find the component of volatility by GARCH estimation and make it time 
variant. 
• In the end, we will perform back testing and comparison between time invariant and time 
variant model. 
 
MODEL: 

• VALUE AT RISK MODEL: VAR is a static that measures the level of financial risk 
within a firm or a portfolio. 
• GARCH PROCESS: We will use this model to estimate the volatility of returns for 
stocks.  
• R STATISTICS: R is a statistical language, in this project we will use R model to 
compute and analyze the time variant loss. 
 

Benefits of the Project

The investigation of this project is to build up an efficient portfolio and to predict the 
maximum loss. Construction of portfolio and selecting an efficient portfolio that offers the 
maximum expected return for a given level of risk is the fundamental issue of each 
individual or each venture division. 
Indicatively, we are working on the venture division of banks that is, their investments in 
stock market because the movement of stocks is random and we cannot predict their 
following day price and the actual loss of the following day. So for this we can develop a 
model that can predict the time variant loss or which is more near to the real incentive and 
will be a guide for investors to hedge themselves from the risk. 

Technical Details of Final Deliverable

Our project will help the investors to build their optimal portfolio and to find their maximum return with minimum risk.

Final Deliverable of the Project

Software System

Core Industry

Finance

Other Industries

Core Technology

Artificial Intelligence(AI)

Other Technologies

Sustainable Development Goals

Decent Work and Economic Growth

Required Resources

If you need this project, please contact me on contact@adikhanofficial.com