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 20 of 22 for “"Optimal portfolios"”.
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Essays in empirical asset pricing and portfolio construction
… short positions can be profitably used to build portfolios. These disclosures do not form the basis of a profitable trading strategy for UK stocks. Long-short portfolios based on these disclosures typically make a profit, but it is statistically insignificant. While certain long-only unit initial …
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The optimal asset allocation for South African real return investors
This research aims to establish the optimal asset allocations for targeting specific real returns over short, medium and long-term investment horizons. The joint returns are modelled with data-centric methods that are empirical and non-parametric in nature, and are able to capture the dependencies …
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Essays in Asset Allocation
… on macroeconomic state variables leads to optimal portfolios with a Carhart alpha that is 125 basis points per month higher than unconditional optimal portfolios out-of-sample. Unfortunately, conditioning on macroeconomic states is subject to an "overfitting" problem and can lead investors …
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Portfolio allocation for Korean investors in the US real estate market
… cross-border investments is to diversify their portfolios. Thus, cross-border investors need to properly diversify their investments by considering correlations between foreign and domestic properties. However, Korean institutional investors have shown an apparent preferential tendency for the …
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Die Kapitalstruktur europäischer Emittenten von bedingten Pflichtwandelanleihen im Bankensektor: eine robuste Korrelationsund Portfoliooptimierungsanalyse mit besonderer Berücksichtigung der Wavelet-Analyse und von Bayesschen Netzen
… optimisation algorithm to construct optimal portfolios. The performance of these optimal portfolios will then in turn be further analysed and compared to the performance of reference portfolios with traditionally estimated parameters. The performance analysis will be carried out with …
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The investigation of style indices and active portfolio construction on the JSE
… construct mean-variance and mean-tracking error optimal portfolios at low cost.
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Icelandic pension funds: Potential benefits of increased international diversification : An empirical analysis for the period from 2004 to 2016
… over the research period. Furthermore, optimal portfolios were estimated to identify the maximum benefits of higher levels of foreign investments. The results indicate that a better risk-return relationship can be achieved within the Icelandic pension funds by increasing the level of …
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Derivative pricing and logarithmic portfolio optimization in incomplete markets
… studied in this thesis is the determination of optimal portfolios for logarithmic utility in general semimartingale models. The solution is given explicitly in terms of the semimartingale characteristics of the price process, containing earlier results as special cases. A sufficient condition is …
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Portfolio Optimization Using a Hybrid Machine Learning Stock Selection Model
… training the models, the algorithm creates an optimal portfolio of assets over a simulated year of trading. The symmetric mean absolute percentage error of the algorithms on unseen data evaluates the prediction power. The generated alpha and Sharpe ratio evaluate the quality of the constructed …
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Essays on Islamic Finance and Banking
… between Islamic ETFs and other ETFs and find the optimal portfolios accord-ingly. I back test the results by using a static optimisation strategy and estimating optimal portfolios over two sample periods. The results are new to the literature, since previous empirical evidence is either comparing …
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Essays on international capital flows
… in investment opportunities change agents' optimal portfolios in a direction consistent with the actual bilateral current account movements. Chapter 2 focuses on two questions related to international investment and access to international capital markets. First, does the structural change …
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On modelling volatility and mortality for pension schemes
… GARCH models which are used for construction of optimal portfolios in modelling asset return covariances. The effectiveness of using parametric copula in estimating portfolio risk measures are evaluated such that the DCC models are found to have better performance than any other parametric copula …
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Essays in asset pricing and market imperfections
… liquidity crises. We find that investors choose optimal portfolios not only to hedge the risk of asset fundamentals, but also to hedge the risk of potential liquidity crashes. The potentially illiquid assets tend to have a lower price, a higher volatility, and a lower volume turn-over. Liquidity …
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On the Topic of Portfolio Optimization
… Under a discrete probability distribution, portfolios of binary options can be viewed as repeated short-term investments with an optimal buy/sell strategy or general betting strategy. Portfolio selection under this setting can be formulated as a new optimization problem called discrete …
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Gain-Based Computing for Solving Optimisation Problems
… of gain-based analogue algorithms to obtain optimal solutions to a broad class of optimisation problems. Chapter 1 is a literature review of material relevant to analogue gain-based computing. We establish the connection between optimisation problems and spin Hamiltonians, demonstrating how …
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Three Essays in Financial Economics
… optimization can result in unreasonable ""optimal"" portfolios and badly biased estimates of Sharpe ratios. We address this problem by imposing constraints on the Sharpe ratio, asset return variances, and the variance of the global minimum variance portfolio. Our simulations show that the …
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Bitcoin: The New Virtual Gold? An investigation into the diversification properties of Bitcoin within a South African portfolio
… ; (iii) the cumulative returns of the optimal portfolios 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 …
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Skew Normal Bayesian Asset Allocation
… able to construct stable mean-variance efficient portfolios. They had successfully combined subjective investors’ views through a prior distribution with market historical data to derive a posterior distribution of portfolio returns and optimal asset allocations under the assumption of normal …
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Rethinking CCS - strategies for technology development in times of uncertainty
… investments, and a novel method for finding the optimal way of allocating scarce public resources to CCS RD&D. The U.S. has responded to the changing political context in two notable ways. First, Enhanced Oil Recovery (EOR) has received increased attention due to the positive value that EOR …
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