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.
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Showing 1 to 9 of 9 for “"Mean-variance approach"”.
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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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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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Optimal portfolio choice : beyond the traditional expected utility maximization paradigm
… thesis focuses on two major 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 …
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Exploring a new technique to determine the optimal real estate portfolio allocation
… theory and reality is that the traditional mean-variance approach of MPT requires accurate data of variances, covariance and expected return over the long term; and those data are quite difficult to collect on an ad hoc base. This Thesis applies a new technique to examine property asset …
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The construction of optimal socially responsible investment portfolios in South Africa using traditional and artificial intelligence techniques
… portfolio construction 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 …
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Stochastic modelling in bank management and optimization of bank asset allocation
… feature of this study is that we apply the mean-variance approach to obtain an optimal strategy that diversifies a portfolio consisting of three assets. In particular, chapter 5 is an original piece of work by the author of this dissertation where we demonstrate how to employ a mean-variance …
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Modeling travel time uncertainty in traffic networks
… on the distribution of the travel time, uses the mean-variance approach in order to evaluate travelers' travel times and subsequently induce a stochastic traffic equilibrium flow pattern. In this thesis, we also examine when the new model we present has a solution as well as when the solution is …
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Essays on Quantitative Risk Management
… than its rivals. Compared with the naive approach the economic application suggests banks with MMC estimator will increase capital requirement in economic expansion and free up capital during recession hence it is aligned with Basel III macroprudential imitative by reducing the …
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An Investigation into Bloodstock as an Alternative Asset Class for Investment Purposes
… within investment portfolios, modelled using the Mean Variance approach first introduced by Markowitz (1952), are investigated. Findings show both Stallion and Yearling bloodstock to perform favourably amongst traditional and alternative asset classes, with mid-range risk and return performance …