I servizi di investimento e il profilo di rischio della clientela: questionari di valutazione e aspetti tecnici di gestione

Rivista Bancaria Minerva Bancaria

41 Pages Posted:

See all articles by Rosa Cocozza

Rosa Cocozza

University of Naples Federico II - Faculty of Economics

Domenico Curcio

University of Naples Federico II; Arcelli Centre for Monetary and Financial Studies (CASMEF)

Annagrazia Quaranta

Department of Economics and Law - University of Macerata; University of Macerata

Date Written: July 1, 2020

Abstract

This study examines risk-related issues in the context of asset management services
and provide a contribution on two different levels. First, we analyse prior
works detecting the critical issues and the effectiveness of the risk tolerance assessment
carried out through traditional profiling questionnaires. Second, in the
perspective of the relationship between portfolio allocation (effective risk taking
decisions) and answers to questionnaires (risk tolerance measured ex ante), with
specific reference to the case of two equity mutual funds, this study proposes to consider
the application a methodology, which makes use of the Conditional Value
at Risk (CVaR) and employs, in the selection of the optimal portfolio of assets, a
robust optimization procedure.
The performance evaluation of the two funds shows that the approach proposed
here is able to ensure better risk-return combinations than those obtained from the
model used by the management team of the company produced in the period considered. In view of the distance between risk tolerance measured ex ante through
questionnaires and actual risk taking behaviour, the superior theoretical properties
of both CVaR and robust optimization would seem to offer greater investor
protection in the event of an overestimation of the risk tolerance due to a biased
assessment through the questionnaire; at the same time, by defining investment
solutions characterized by lower risk, they would mitigate the effects of any incentive to let clients to take a level of risk higher than the one which is consistent with
their preferences.

Keywords: Customer profiling, risk tolerance, portfolio selection models, Conditional Value at Risk, robust optimization

JEL Classification: G11, G15, G17, G23, C61

Suggested Citation

Cocozza, Rosa and Curcio, Domenico and Quaranta, Annagrazia, I servizi di investimento e il profilo di rischio della clientela: questionari di valutazione e aspetti tecnici di gestione (July 1, 2020). Rivista Bancaria Minerva Bancaria , Available at SSRN: https://ssrn.com/abstract=3747863

Rosa Cocozza

University of Naples Federico II - Faculty of Economics ( email )

Via Cintia Monte S. Angelo
Napoli, 80126
Italy
+39/81675083 (Phone)

HOME PAGE: http://www.docenti.unina.it/rosa.cocozza

Domenico Curcio (Contact Author)

University of Naples Federico II ( email )

Via Cintia, Monte S. Angelo
Naples, Naples 80126
Italy
+393402651322 (Phone)

Arcelli Centre for Monetary and Financial Studies (CASMEF) ( email )

Viale Romania 32
Rome, 00197
Italy

Annagrazia Quaranta

Department of Economics and Law - University of Macerata ( email )

Via Armaroli, 43
Macerata, 62100
Italy

University of Macerata ( email )

Via Crescimbeni, 14
Via Armaroli, 43
Macerata, 62100
Italy

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