Global ETD Search
Search theses and dissertations gathered from participating repositories worldwide. Every result links back to the library that holds it. No account is needed.
Results
Showing 1 to 20 of 35 for “"Efficient frontier"”.
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Equity market-neutral strategies: Efficient frontier and style analyses.
Equity market-neutral strategies: Efficient frontier and style analyses.
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Investigation on the efficient frontier based on CVaR under copula dependence structure with applications to South African JSE stocks
… optimise the portfolio of stocks and generate an efficient frontier specifying CVaR as the risk measure instead of the portfolio variance traditionally used in Markowitz and CAPM models.
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Risk-return portfolio modelling
… Troskie-Hossain model approximates the Markowitz efficient frontier and optimal portfolio very closely. Further examining the residuals, we find evidence of autocorrelation and heteroskedasticity. Using ARMA to model the autocorrelation of the residuals has very little impact on the efficient …
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Stochastic modeling and optimization of petroleum exploration portfolios
… portfolio based on a general strategy. The “efficient frontier” method of portfolio optimization and preference analysis were developed with pertinence to securities trading in the mid-20th century and have become practice among petroleum exploration managers in more recent times. Because the …
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Dynamic and robust estimation of risk and return in modern portfolio theory
… this assumption and ultimately produces an efficient frontier that is almost identical to the Markowitz model. The combination of the GARCH and AR models to remove both autocorrelation and heteroskedasticity is used on the single index model and it causes the efficient frontier to shift …
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Essays on industrial organization economics
… and Williams (1987) derived the theoretical efficient frontier for bilateral trade under two-sided uncertainty, but little is known about how well real-world bargaining performs relative to the frontier. The setting is wholesale used-auto auctions, an $80 billion industry where buyers and …
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Accurate estimation of risk when constructing efficient portfolios for the capital asset pricing model
… this paper, we investigate the behaviour of the efficient frontier and optimal portfolio of the Troskie-Hossain Capital Asset Pricing Model (TrosHos CAPM) and Sharpe Capital Asset Pricing Model (Sharpe CAPM) when the covariance structure of the residuals is correlated under the Markowitz …
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Applications of efficiency and complex network analysis to logistics and dominance networks
… units and to determine benchmarks to guide inefficient units to achieve the Efficient Frontier. Several contributions to DEA are sought in this Thesis. One of the main goals of this Thesis is to develop a new approach to analyse the dominance relationships that appear between the assessed …
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Bitcoin: The New Virtual Gold? An investigation into the diversification properties of Bitcoin within a South African portfolio
… over the investment period; and (iv) the efficient frontier shifts from the inclusion of Bitcoin and gold bullion within the context of different portfolio frameworks. Because of Bitcoin’s non-normal return distribution and extremely high returns, a quantitative mean-semivariance based …
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Cost-Risk Analysis of the ERCOT Region Using Modern Portfolio Theory
… minimization problem to create a risk-cost frontier of portfolios of technologies within the ERCOT electricity region. The levelized cost of electricity for each technology in the region is a step in evaluating the expected cost of the portfolio, and the historical data of cost factors …
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Shipping : is it a high risk low return business?
… maximize the return and minimize the risk of an "efficient fleet". The Capital Asset Pricing Model and the efficient frontier are used to identify the optimal asset allocation. Valuation methods and investment timing techniques are used in order to increase the probability of success and improve …
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Long Term Power Generation Planning Under Uncertainty
… on a realistic case study are compared. An efficient frontier of the planning solutions that illustrates the tradeoff between the cost and risk is further shown and analyzed.</p>
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Asset allocation and Regulation 28
… 28 through the use of Markowitz (1952) efficient frontier framework and a non-parametric model. With offshore allocation increased to 25% and an additional 5% to African (ex SA) markets the study also explores the diversification prospects to international, emerging and African (exSA) …
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Optimal asset allocation for retirement funds: a South African perspective
… to suboptimal portfolios as a slightly higher efficient frontier is achievable if the constraints are relaxed.
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Assessing the attractiveness of cryptocurrencies in relation to traditional investments in South Africa
… in a portfolio of investments improves the efficient frontier of the portfolio of investments and the portfolio of investments risk-adjusted returns. Moreover, the findings suggested that cryptocurrencies are good portfolio diversification assets. However, investments in cryptocurrencies …
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Accurate portfolio risk-return structure modelling
… Conditional Heteroskedastic) model's efficient frontier. This study considers many instances where the left shifting superior behaviour of the GARCH(1, 1) is observed. One such instance is when GARCH(1, 1) is compared within the volatility modelling extensions of the GARCH environ in a …
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Multi-echelon multi-product inventory strategy in a steel company
… defined as the service level-holding cost efficient frontier, is found. To increase the understanding of the problems and provide a better interpretation of the results, we test the sensitivity of the solution and the impact of the input parameters. Later, we explore different ways of …
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IT portfolio selection and IT synergy
… of IT project selection increases. We use the efficient frontier as a tool to solve the IT project portfolio problem. We propose a model of IT portfolio selection with this view. Our method is unique in that IT synergy measures are systemically incorporated in the portfolio selection. The …
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An investigation into the use of multiple cryptocurrencies in a diversified portfolio
… assets resulted in an expansion of the efficient frontier. Ethereum exhibited slightly lower correlations to Bitcoin than Litecoin, which is most likely attributed to its greater technological differences, but performed worse as a diversifier. All three cryptocurrencies yielded similar …
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Robust optimization for portfolio risk : a ravisit of worst-case risk management procedures after Basel III award.
… internationally diversified portfolio. The CVaR efficient frontier and corresponding optimized portfolio weights are achieved under regime switch scenarios. The research suggests that stressed-CVaR optimization provides a robust and forward-looking stress test procedure to comply with the …
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