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Showing 1 to 20 of 78 for “"Portfolio Theory"”.
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Contributions to modern portfolio theory
… the problem of selecting a single investment portfolio from a large number of possible combinations of available assets. In South Africa the set of possible portfolios has become even larger with the gradual relaxing of the constraints on foreign investment from 1995 to the present day, …
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Modern Portfolio Theory Applied to Electricity Resource Planning
… are simply added, instead of analyzing complete portfolios. As a consequence, least-cost methodology is biased in favor of fossil fuel-based technologies, completely ignoring the benefits of adding non-fossil fuel technologies to generation portfolios, especially renewable energies. For this …
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Modern Portfolio Theory Applied to Institutional Real Estate Investment
… asset class that is paramount to a well-balanced portfolio, the question of what product types and markets will provide the highest return, less volatility, and greatest diversification remains unclear. This research aims to find the optimal capital allocation in Real Estate that will generate the …
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Essays on forward portfolio theory and financial time series modeling
… modeling techniques to the problem of optimal portfolio choice and financial time series analysis. The first essay presents turnpike-type results for the risk tolerance function in an incomplete Ito-diffusion market setting under time-monotone for- ward performance criteria. We show that, …
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Managing uncertainty in space systems conceptual design using portfolio theory
… as well as a means to manage it using portfolio theory and optimization. Perhaps best known to economists and investors, portfolio theory is based around the objective of maximizing return subject to a decision maker's risk aversion. This simple concept, as well as the theoretical rigor …
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Cost-Risk Analysis of the ERCOT Region Using Modern Portfolio Theory
<p>In this work, we study the use of modern portfolio theory in a cost-risk analysis of the Electric Reliability Council of Texas (ERCOT). Based upon the risk-return concepts of modern portfolio theory, we develop an n-asset minimization problem to create a risk-cost frontier of portfolios of …
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Using Modern Portfolio Theory to Analyze Virgil's Aeneid (or Any Other Poem)
… that the economic mathematical model of modern portfolio theory can answer long standing questions around the Roman epic Aeneid by Virgil. The poet died before completing his poem. The relative completeness of the books of the Aeneid are quantitatively determined by applying Markowitz's modern …
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Dynamic and robust estimation of risk and return in modern portfolio theory
The portfolio selection method developed by Markowitz gives a rational investor a way of evaluating different investment options in a portfolio using the expected return and variance of the returns. Sharpe uses the same optimization approach but estimates the mean and covariance in a regression …
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Three essays in regional economics: migration, regional portfolio theory, resilience, and agglomeration economies
… explores the contribution of regional employment portfolio risk and return measures in a case study of county level migration into Colorado. The level of employment data used in the construction of the employment portfolio measures is varied to see which level of aggregation best contributes to …
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Application of portfolio theory to labor contract valuation : the case of the airline industry
An analytic formula is derived in this thesis for the risk-adjusted financial value of a labor contract. The contract is modeled as a bond with a payment stream equivalent to the stipulated wages. The Capital Asset Pricing Model (CAPM) is used to determine the expected return from the bond relative …
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A Portfolio Theory-Based Optimal Hedging Technique With an Application to A Commercial Cattle Feedlot
… hedging problem as a special case of the general portfolio problem. The hedger, who holds some cash position, wants to find the futures position which reduces the risk of the entire portfolio to some level consistent with his risk-return preferences.
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'The Optimal Mix' : deploying portfolio theory on real estate asset returns in mixed-use development
… that is based on an optimized and quantifiable portfolio value. The goal is to develop a framework for determining a recipe for mixed-use development in the hope of guiding future development practices in building more efficient, profitable and sustainable mixed-use developments across the …
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An Empirical investigation of the value of High and Low price data to Modern Portfolio Theory
… the values of variables to be used in Modern Portfolio Theory (MPT). In fact the closing price series is generally what is referred to when price data or a financial time series is mentioned. We know this series to be made up of discrete points recorded as the last traded price on a specific …
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An investigation into reference-day risk-free metrics in the context of modern portfolio theory on the JSE
Modern portfolio theory (MPT), asset pricing models and broader financial modelling are dependent upon the accuracy of input parameters. For example, the accuracy of expected returns, standard deviations and correlations as an input into MPT will result in a more efficient selection of the optimal …
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A comparison of optimum grain hedging strategies using commodity options and futures contracts: an application of portfolio theory
… and levels of financial leverage. The study used portfolio theory where hedging strategies were simulated over time and minimum-variance hedge levels determined. Crop diversification and financial leverage were addressed using Quadratic Programming techniques. Selected strategies were tested over …
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Ivory towers to office towers, Wall Street to Main Street : a study of the relationship between modern portfolio theory and private equity real estate
… to relate the principal elements of Modern Portfolio Theory ('MPT') to real estate, recognizing that MPT was built not for real estate, but for stocks and bonds. It is split into two parts; the first part deals with 'the theory' of real estate investing, including a commentary on both why …
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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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Maksimalaus pelno-rizikos santykio uždavinys /
… of the final Bachelor thesis is the investment portfolio optimization problem, which has the objective to maximise profit-risk ratio by using a methods of the linear algebra and Harry Markowitz modern portfolio theory. By the time world is noticeably modernizing and the global economy prospers …
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A multivariate analysis of shares listed on the Johannesburg Stock Exchange
… of multivariate statistical techniques to portfolio theory by applying two different multivariate techniques to two separate classificatory problems concerning shares listed on the Johannesburg Stock Exchange. In Chapter 1 the two techniques and two classificatory problems are introduced …
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Evaluation of Asset Allocation Strategies used by Tanzanians’ Pension Funds and determinants of their choices
… out whether or not they conform to the modern portfolio theory (MPT). The study was exploratory in nature. A total of 12 respondents from four Tanzanian pension funds were responded to a questionnaire. Findings revealed that Tanzania’s pension funds relied heavily on the SSRA guidelines as well …
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