Title: Integrated approach for risk assessment of alternative investments

Authors: Andrii Kaminskyi; Denys Butylo; Maryna Nehrey

Addresses: Department of Economic Cybernetics, Taras Shevchenko National University of Kyiv, Kyiv, 03022, Ukraine ' Department of Economic Cybernetics, Taras Shevchenko National University of Kyiv, Kyiv, 03022, Ukraine ' Department of Economic Cybernetics, National University of Life and Environment Science of Ukraine, Kyiv, 03041, Ukraine

Abstract: Integrated treatment of alternative investments risk assessment based on the eight conceptual approaches is proposed in the paper. Approaches involve risk estimation through volatility, losses in negative situations, asymmetry consideration, sensitivity, interdependency and coupling risk and return. Additionally, risk assessment was considered at the frameworks of long-term memory in timeline series of returns and liquidity risk. Fourteen different indicators were chosen for risk estimation in the vector form. Developed integrated treatment was applied for a representative sample of alternative investment presented by exchange trade funds (ETFs). Totally, 83 ETFs were estimated from 10 different types of alternative investments. Cluster analysis tools were applied to obtained outcomes. Risk attitude was involved consideration. As a result, the clustering of alternative investments led to five clusters that differ in risk assessments. Naïve diversified portfolios were constructed for each cluster and grounded advantages of such an approach to investment portfolio management.

Keywords: risk assessments; alternative investments; traditional investments; exchange trade funds; ETF; clustering; portfolio management.

DOI: 10.1504/IJRAM.2021.126413

International Journal of Risk Assessment and Management, 2021 Vol.24 No.2/3/4, pp.156 - 177

Received: 28 Jul 2020
Accepted: 08 Jan 2021
Published online: 26 Oct 2022 *

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