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Showing 1 to 20 of 61 for “"Markowitz"”.
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Enhancements to the Markowitz mean-variance optimisation process of asset allocation
[The focus of this thesis is on the practical application of portfolio selection. It is a field that receives much attention, no more so than after the world market crashes (i.e. October 1997) which highlighted the importance of risk management. Consequently there is a need to examine the current …
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Black-Litterman vs Markowitz : un ejercicio de optimización de portafolios de inversión en Colombia
… de inversión son el Black-Litterman y el Markowitz. El propósito de esta investigación es comparar el desempeño de los portafolios proyectados por el modelo de Markowitz y tres modelos de Black-Litterman utilizando diferentes expectativas de rentabilidad de los activos con datos mensuales …
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Análise do risco em uma carteira de investimento: uma aplicação a partir da Teoria de Markowitz
… study of the risks in finance market, from the Markowitz Theory (1952). For this, historical data of the stock prices were used belonging to the Bovespa Index (Ibovespa) between the period of 1 October 2012 to 31 October 2014. To present the gains from diversification of portfolios, were built …
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A Markowitz mean-variance analysis of hedge fund investments for multi-asset class portfolio holders in South Africa
This research aims to provide insight into the hedge fund industry in South Africa. The focus is on retirement funds and the use of hedge funds in a multi-asset class portfolio. Diversification is an important tool for portfolio managers who make use of correlation to achieve higher risk-adjusted …
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Etanol versus bioeletricidade: aplicação dos conceitos de fronteira eficiente de Markowitz para o aproveitamento do bagaço residual do setor sucroenergético
… using the modern portfolio theory developed by Markowitz, as the sector can further diversify its production, reducing risks and increasing returns. After literature review, about sugar-energy sector and these two biofuels production technologies, the concepts of the Markowitz Efficient …
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Aplicación de teoría de portafolios de Markowitz a la alocación de capital de proyectos de inversión upstream en la industria petrolera
… de portafolios desarrollada por Harry Markowitz. Para eso, es necesario desarrollar una metodología cuantitativa que implique el estudio de la cartera de proyectos posibles de la compañía con el objetivo de analizar y determinar el riesgo asociado a cada uno de ellos desde el punto de …
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Aplicação do modelo de Markowitz em fundos de investimentos imobiliários e análise de desempenho mensal entre janeiro de 2018 e junho de 2019
… Teoria Moderna de Portfólio, proposta por Markowitz, que estabelece a priorização de fundos com base na relação risco-retorno dos mesmos, estabelecendo uma fronteira eficiente com as melhores carteiras entre janeiro de 2018 e junho de 2019. A ferramenta resultante do trabalho permite ao …
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Risk-return portfolio modelling
Markowitz introduced the concept of modelling the risk associated with a given security as the variance of the expected return and showed how under certain conditions an investors portfolio can be managed by balancing the expected return of the portfolio and its variance. Building on Markowitz …
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Dynamic and robust estimation of risk and return in modern portfolio theory
The portfolio selection method developed by Markowitz gives a rational investor a way of evaluating different investment options in a portfolio using the expected return and variance of the returns. Sharpe uses the same optimization approach but estimates the mean and covariance in a regression …
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Managing portfolios of products and securities
… integer formulation to solve the well known Markowitz portfolio model. Our model captures and solves the certain practical drawbacks that a real investor would face with the Markowitz approach. For example, by selecting a limited number of assets our procedure tends to prevent small …
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Robustness of bond portfolio optimisation
Korn and Koziol (2006) apply the Markowitz (1952) mean-variance framework to bond portfolio selection by proposing the use of term structure models to estimate the time-varying moments of bond returns. Duffee (2002) introduces a distinction between completely affine and essentially affine term …
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Accurate estimation of risk when constructing efficient portfolios for the capital asset pricing model
… of the residuals is correlated under the Markowitz formulation. By building in the dynamic time series models: AR, GARCH and AR/GARCH we were able to model the autocorrelation and heteroskedasticity of the residuals.
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The Efficient Relationship between Residual Security Risk and Security Investment for Maritime Port Facilities
… a twin-pronged approach of first, adapting Markowitz (1952) theory of portfolio selection from the field of finance to maritime port security to examine each port facility’s security systems as a portfolio; and secondly, through portfolio optimization to construct the optimum theoretical …
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Maksimalaus pelno-rizikos santykio uždavinys /
… using a methods of the linear algebra and Harry Markowitz modern portfolio theory. By the time world is noticeably modernizing and the global economy prospers rapidly, the size of investment flows and financial budgets is constantly increasing, and this leads to an increased importance level of …
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Modern portfolio optimization using robust estimation techniques
… to better estimate the input parameters for the Markowitz and Sharpe portfolio models. The main goal is to ascertain whether or not the input parameters determined, using the robust procedures, yield better results than the Ordinary Least Squares (OLS) procedure.
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Real Estate Asset Allocation auf Basis des Black-Litterman-Ansatzes. Ein Modell zur gleichgewichtsorientierten Portfoliodiversifikation an zyklischen Immobilienmärkten
… und die begrenzte Eignung der Markowitz´schen Portfolio-Selektionstheorie in der Praxis wird nach einer kurzen Einführung und der Darstellung aktueller Entwicklungen im Immobilien-Investment ein Katalog mit wesentlichen Anforderungen an ein Allokationsmodell erstellt, der als …
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Növekedésoptimális portfólió elmélet
… • Mi a kapcsolat a log-optimális és a Markowitz portfólió stratégia között? • Hogyan lehet természetesen bevezetni kockázat kontrollt a log-optimális elméletbe? Melyek a kockázat megszorítás melletti log-optimális portfólió aszimptotikus tulajdonságai? • Hogyan konstruálható meg a …
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Robust beta estimation and applications
Modern portfolio theory was developed by Harry Markowitz more than forty years ago and is now considered to be an indispensable tool in portfolio construction. Sharpe introduced the index models as a simplification of the original Markowitz formulation, as this required fewer parameters to be …
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Pesquisa operacional aplicada à análise de portfólio
… o de Média-Variância (MV) proposto por Harry M. Markowitz (1959) e um modelo com base na metodologia de Valor sob Risco de J. P. Morgan (1994), supondo retornos dos portfólios modelados por uma distribuição log-normal e, portanto, não considerados derivativos e commodities. São utilizadas taxas …
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