Sulla rigidita ‘della volatilita’ dell'ottimo portafoglio aleatorio al variare delle aspettative di mercato

Con riferimento al ben noto modello diagonale di Sharpe per le scelte di portafoglio, il presente lavoro si propone di fomire supporto teorico alla congettura (confermata da indagini sul mercato finanziario domestico) di una sostanziale rigidità della volatilità dell'ottimo portafoglio aleatorio al variare delle aspettative di mercato.

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Summary It is well known that one of the key theoretical supports to modern portfolio management derives from the so called diagonal model proposed by W. Sharpe.Precisely managers should build risky portfolios with high beta if the market is expected to rise and conversely with low betas if the market is expected to fall.Here on the contrary we discuss the theoretical bases of what seems to be a law of rigidity of the volatility of the optimal risky portfolio to variations ceteris paribus of the market expectations, quite likely prevailing on financial markets.Indeed this fact seems to be supported by empirical data regarding domestic stock market collected and discussed elsewhere (Stucchi 1988).This seems to suggest that the right response to change in market expectation is to change the bond-stock composition of the protfolio, rather then to act on the volatility of the stock (risky) portfolio.