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

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.