Portfolio optimization for an P2P investor on Zonky
|Autor:||Bc. Filip Jonáš|
|Rok:||2019 - letní|
|Vedoucí:|| Mgr. Petr Polák MSc. Ph.D.
|Typ práce:|| Bakalářská
|Abstrakt:||This thesis analyzes the Czech peer-to-peer lending platform Zonky. The goal was to find the
optimal portfolio for a risk-averse investor investing in Zonky loans. For this purpose, the
Modern portfolio theory from Markowitz was used. Based on the provided loan book
containing information about loans which Zonky has provided since its foundation we
examined the statistical properties of the individual risk categories represented by the interest
rate charged. The optimization was done using the Excel Solver tool assuming that the loan
categories are uncorrelated as well as considering the correlation we found using the variancecovariance matrix. For both cases, the portfolio minimizing the standard deviation as well as
the portfolio which maximizes the Sharpe ratio was found. Generally, both types of portfolios
were comprised mainly of loans with lower interest rate. According to our results, it seems
that such loans offer better relationship between risk and return compared to categories which
are riskier. Also, we showed that the platform’s recovery rate has a significant impact on the
performance of the loan categories especially of those which are among the riskiest.
Furthermore, we demonstrated that the correlation between individual risk categories should
not be ignored when a portfolio analysis is done.