Word Portfolio Optimization in the Environment of Zero Interest Rate

This paper provides a deep analysis of ten globally diversified portfolios, composed different financial instruments: bonds, shares, ETF’s, commodities, indexes, currencies, constructed applying various optimization techniques. Statistical moments, such as mean, standard deviation, kurtosis and skewness portfolios are compared discussed. Moreover, performance the within time horizon one year estimating Sharpe ratio, Treynor Sortino ratio is presented. Furthermore, risk created evaluated in terms historical VaR CVaR confidence interval 95%. The main results this reveal that portfolio, which optimized to minimize produces high expected shortfall. Secondly, Risk Parity despite reducing volatility, has delivered highest return, may indicate possible tail loss. maximum portfolio extremely comparison with other portfolios. Finally, it observed for Naïve diversification been typical have downside deviation.