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 33 for “"Portfolio Allocation"”.
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Portfolio allocation for Korean investors in the US real estate market
The purpose of this research was to explore portfolio diversification by property type for Korean institutional investors in the U.S. real estate market. In the process, we analyzed the rapidly increasing Korean investment in the U.S. real estate market and identified the points cross-border …
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Exploring a new technique to determine the optimal real estate portfolio allocation
Modern Portfolio Theory has been developed over the last fifty years, and there are several studies linking Modern Portfolio Theory with the allocation of real estate property in multi-asset portfolios. However, in reality, most real estate fund managers don't use MPT as a guideline when they are …
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Real estate investment indices in Japan and their role in optimal international portfolio allocation
… awareness among investors of the modem portfolio theory and the benefits of diversification. Japan is not an exception. Since late 1990's, a large amount of capital has flowed into Japanese real estate markets. The markets have also experienced significant transformation. However, in the …
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Exploring optimal mixed-asset portfolio allocation : hedge funds and private equity vs. real assets
… especially investors managing institutional portfolios. Global GDP growth has been slowed, and the performance of traditional assets - equities and bonds - alone are often not able to satisfy the various risk and return objectives that institutional investors seek in their portfolios. Amid …
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How does the correlation between an agent’s income and financial market impact optimal portfolio allocation?
Esta tesis presenta tres estudios sobre las políticas óptimas de inversión/ahorro en contextos en los que la renta del agente o de la empresa, ya sea endógena o exógena, está correlacionada con otras fuentes de incertidumbre. Los trabajos incluidos abordan cuestiones fundamentales como: ¿Cómo se …
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Risk parity and other risk based portfolio allocation approaches in South African and international equity markets
Risk parity, a portfolio allocation technique based on the equalization of constituent risk contributions, has garnered significant attention in academic circles over the past decade. This study employs back-tests to explore the empirical performance of the approach relative to other prominent …
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Portfolio optimization with transaction costs and preconceived portfolio weights
… they apply this information to rebalancing their portfolios is often ad-hoc, trading off between rebalancing their assets into an allocation that generates the greatest expected return based on the generated signals and the incurred transaction costs that the reallocation will require. In this …
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Essays in International Finance
… their investments in mean variance efficient portfolios. Instead, variables such as economic development and familiarity impact the portfolio allocation at home and abroad. In my first essay, I investigate determinants of foreign diversification by more than thirty thousand institutions …
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Portfolio choices with taxes
I analyze the intertemporal portfolio problem of an investor who has access to both taxable and tax-deferred (retirement) accounts. In a complete-market setting, through a tax-arbitrage argument, I show that tax-deferred accounts have only a wealth effect on overall portfolio decisions through the …
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Robo-Advising on South African Exchange Traded Funds utilizing Prospect Theory
… robo-advising possible. Namely, risk profiling, portfolio allocation, availability of ETFs and accessible online trading platforms. The research shows that independent robo-advisers are possible in South Africa and a minimum viable implementation is presented.
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Essays in Household Finance and Education Finance
… finance. The first essay studies how the portfolio allocation of college savings affects children's college attendance and student debt using novel data on 529 college savings accounts linked with student-level longitudinal data. Employing exogenous variation in the portfolio allocation of …
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Applications of optimal portfolio management
… thesis revolves around applications of optimal portfolio theory. In the first essay, we study the optimal portfolio allocation among convergence trades and mean reversion trading strategies for a risk averse investor who faces Value-at-Risk and collateral constraints with and without fear of …
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Utility-based valuation for underwater employee stock options
… and utility maximization in the context of portfolio allocation. An example is worked out to demonstrate how to solve the optimization problem subject to a portfolio constraint. In the end, we explore indifference pricing, i.e., utility-based valuation of stock options in an incomplete …
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Essays on financial econometrics : variance and covariance estimation using price durations
… and an out-of-sample globalminimum-variance portfolio allocation problem. The duration based estimators are shown to provide both better forecasting performance and better portfolio allocation results. The paper in Chapter 2 is under the first round Revise&Resubmit to the Journal of Business …
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Modern Portfolio Theory Applied to Institutional Real Estate Investment
What is the optimal capital allocation to institutional-grade Real Estate that investment managers should pursue to achieve the highest risk-adjusted return? As Real Estate keeps evolving, institutionalizing, and becoming an asset class that is paramount to a well-balanced portfolio, the question …
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Essays in International Macroeconomics
… In the first essay I explore the role of portfolio diversification in explaining the distribution of foreign investment across countries. I do so by adopting a portfolio allocation approach to risk, that is widely used in empirical finance, to complement more traditional analyses of …
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An empirical study of hedge funds
… of Hedge Funds, effective diversification and portfolio allocation decisions. The results of our study offer a thorough explanation of issues essential to Hedge Fund investment and their usefulness as an alternative asset class in both institutional and private portfolios.
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Private risk
… the decision maker to rebalance his financial portfolio in the course of determination of a lottery's buying (selling) price. We build on the classical portfolio allocation problem in complete markets, generalizing to include both traded and non-traded unique risks. Our principal focus is on …
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Vine copula modelling of dependence and portfolio optimization with application to mining and energy stock return series from the Australian market
… the dependence risk profile, investment risk and portfolio allocation features of seven 20-stock portfolios from the mining, energy, retail and manufacturing sectors of the Australian market in the context of the 2008-2009 global financial crisis (2008-2009 GFC) and pre-GFC, GFC, post-GFC and full …
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Identifying risks and mitigating deviations from fundamentals in investment allocation systems
… paradigms; one model focuses on the investment allocation process at the portfolio level and the other focuses on the investment allocation process at the financial system level. These two models are unified by the theme that incentive structures affect investment and risk in ways which are not …
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