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Showing 1 to 8 of 8 for “"Portfolio Selection Problem"”.
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Three assets model for portfolio selection under a constrained consumption rate process
… a particular case of an optimal consumption and portfolio selection problem for an infinitely lived investor whose consumption rate process is subject to downside constraint. We also suppose that the wealth dynamics is composed of three assets (i) risklessassets (ii) risky assets (iii) hedge …
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Essays on Maximum Entropy Principle With Applications to Econometrics and Finance
This dissertation studies density estimation and portfolio selection problems using the maximum entropy (ME) principle. Since an entropy measure turns out to be a distance measure between two distributions, it can be used to estimate unknown density function. Entropy can be also interpreted as a …
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Accurate portfolio risk-return structure modelling
Markowitz's modem portfolio theory has played a vital role in investment portfolio management, which is constantly pushing the development on volatility models. Particularly, the stochastic volatility model which reveals the dynamics of conditional volatility. Financial time series and volatility …
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Portfolio risk minimization under departures from normality
This thesis revisits the portfolio selection problem in cases where returns cannot be modeled as Gaussian. The emphasis is on the development of financially intuitive and statistically sound approaches to portfolio risk minimization. When returns exhibit asymmetry, we propose using a quantile-based …
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Mathematical models for optimal management of bank capital, reserves and liquidity
… particular, the objective of the aforementioned problem is to maximize the expected return on the bank capital portfolio and minimize the variance of the terminal wealth. We apply classical tools from stochastic analysis to achieve the optimal strategy of a benchmark portfolio selection problem …
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Aplikasi model indeks tunggal dan stochastic dominance dalam analisis portofolio optimal saham: Studi Pada Jakarta Islamic Indeks (JII) di Bursa Efek Indonesia (BEI) periode 2009 sampai 2012
… dominance and single index model to solve portfolio selection problem. The purpose of this research is to analyze an optimal portfolio of stock investment on Jakarta Stock Exchange by using stochastic dominance and single index model. Beside, it is also to figure out whether there are …
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New results on some quadratic programming problems
… several special classes of quadratic programming problems. The problems we study can be classifiedinto two categories. The first group contains two optimization problems with binary constraints. To solve these problems, we first explore some intrinsic relation between binary quadratic problem and …