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Search theses and dissertations gathered from participating repositories worldwide. Every result links back to the library that holds it. No account is needed.
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Showing 1 to 20 of 145 for “"Mean-Variance"”.
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Mean-variance hedging in an illiquid market
… square replication error at maturity. This mean-variance optimal strategy is first found when the liquidly traded asset is a local martingale under the real world probability measure through an application of the Kunita-Watanabe projection onto the space of attainable claims. The result is …
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A Mean Variance Skewness Model of Security Demand
Made available in DSpace on 2014-12-11T17:13:28Z (GMT). No. of bitstreams: 1 7511641.pdf: 5580396 bytes, checksum: b06b2656f172ac498d6026b958a9bc08 (MD5) Previous issue date: 1974
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Multistage mean-variance portfolio selection in cointegrated vector autoregressive systems
… his expected terminal wealth, subject to a risk (variance) constraint, in what is known as mean-variance optimal (MVO) portfolio selection, and that the log-prices of the assets evolve according a simple linear system known as a cointegrated vector autoregressive (VAR) process. While MVO portfolio …
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Modelling of asset allocation in banking using the mean-variance approach
… asset allocation problem in banking under the mean-variance frame work. The dynamics of the different assets are modelled as geometric Brownian motions, and our optimization problem is of the mean- variance type. We assume the Basel II regulations on banking supervision. In this contribution, …
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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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Risk budgeting within an Asset Liability Modelling (ALM) framework, using mean-variance optimisation
A risk budget is the quantification of an acceptable amount of risk that a pension fund is willing to take in its investment decisions, without significantly sacrificing its ability to meet its current and future liabilities.
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A Markowitz mean-variance analysis of hedge fund investments for multi-asset class portfolio holders in South Africa
… risk-adjusted returns that can be achieved, mean-variance, mean-semi variance and Omega portfolios were created. The results suggest that portfolios that include hedge fund investments outperformed those that exclude it using mean-variance, mean-semi variance and Omega analysis. Furthermore …
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A Discrete Choice Mean Variance (EV) Cost Model to Measure Impact of Household Risk from Drinking Water Pipe Corrosion
… decision making, one tool commonly used is the mean variance model, also known as an expected-value variance (EV) model, which evaluates the anticipated payout of different assets with respect to uncertainty where portfolios with higher risk demand higher expected returns from an individual. …
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Tax treatment of trade in live cattle futures using a mean variance approach: implications to market efficiency and welfare changes
… A theoretical model is developed based on a mean-variance approach. The model deals with the simultaneous determination of optimal cash and futures positions given tax parameters of marginal tax rate and percent of deductibility of any futures losses. Producers' risk aversion is considered. …
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Mean, variance, and temporal coherence of the 3D acoustic field forward propagated through random inhomogeneities in continental-shelf and deep ocean waveguides
… analytical expressions are derived for the mean, variance and temporal covariance of the acoustic field forward propagated through an ocean waveguide containing internal waves, fish shoals, wind-generated bubble clouds and krill. These expressions account for the accumulated effects of …
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Optimal portfolio choice : beyond the traditional expected utility maximization paradigm
… portfolio selection approaches: the traditional mean-variance approach and the heuristic approach based on risk budgeting. The main results from mean-variance are reviewed, as well as some novel results, followed by new contributions in the area of calculating expected functionals of the optimal …
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Essays on Portfolio Optimization, Simulation and Option Pricing
… and geometrical analysis of a four asset mean variance portfolio optimization problem. The first paper studies different efficient simulation methods to price options with different characters such as moneyness and maturity times. The incomplete market environments are also been …
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The construction of optimal socially responsible investment portfolios in South Africa using traditional and artificial intelligence techniques
… methods. Traditional approaches, like mean-variance, face challenges with complex non-linear and non-convex models. Recently, meta-heuristic artificial intelligence (AI) algorithms have enhanced portfolio construction by addressing such constraints. Socially responsible investment (SRI) …
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Hedge funds and higher moment portfolio selection
… study empirically compares the Markowitz (1952) mean-variance optimisation technique with a higher moment methodology recently proposed by Davies, Kat and Lu (2005). It extends the methodology to optimise portfolios without a unity-variance constraint. In addition, this study augments the …
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Regulatory risk constraints and investment decisions: unintended consequences for the financial system.
… framework is based on a risk-constrained mean-variance framework. In such a framework, if the constraint binds, the portion of the portfolio invested in risky assets (alpha) is lower than in the unconstrained scenario, as expected. Furthermore, alpha is inversely related to the relative …
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Optimal versus naive diversification : do different loss functions improve portfolio choice?
… performance of the equal weight, minimum variance and mean-variance model portfolios in different settings. In each setting, I vary the loss function used when estimating returns and covariances, length of the estimation window, and number of factors used in our estimation model. I find …
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Malliavin Calculus in the Canonical Levy Process: White Noise Theory and Financial Applications.
… from the Clark-Ocone theorem was used for the mean-variance hedging problem and applied it to stochastic volatility models such as the Barndorff-Nielsen and Shepard model model and the Bates model. A Donsker Delta approach is employed on a Binary option to solve the mean-variance hedging …
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