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.
Results
Showing 1 to 20 of 20 for “"mean variance portfolio"”.
-
Multistage mean-variance portfolio selection in cointegrated vector autoregressive systems
The problem of portfolio choice is an example of sequential decision making under uncertainty. Investors must consider their attitudes towards risk and reward in face of an unknown future, in order to make complex financial choices. Often, mathematical models of investor preferences and asset …
-
Robust portfolio optimization
The Markowitz mean-variance portfolio optimization is a well known and also widely used investment theory in allocating the assets. However, this theory is also familiar with the extremely sensitive outcome by the small changes in the data. Ben-Tal and Nemirovski [3] therefore introduced the robust …
-
Optimal portfolio choice : beyond the traditional expected utility maximization paradigm
This 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 …
-
On some topics of financial theory
… factor structure of series of sample covariance matrices with increasing order are developed from APT research. Time/crosssection double-limit asymptotics is addressed by proposed random aggregation. It is shown that resulting small-order sample covariance matrix of the portfolios is …
-
ESSAYS ON DIGITAL CURRENCY
… vehicle for diversifying an investment portfolio by testing its systematic risk. The chapter also estimates the optimal proportion of Bitcoin that should be included in an investment portfolio. The observation period in this chapter is between 7/20/2010 and 6/30/2014, and a wide range of …
-
Essays on Portfolio Optimization, Simulation and Option Pricing
… and geometrical analysis of a four asset mean variance portfolio optimization problem. The first paper studies different efficient simulation methods to price options with different characters such as moneyness and maturity times. The incomplete market environments are also been …
-
Variability in output and reliability of broadly distributed wind farms and solar arrays as a function of the system scale
… wind turbines and solar arrays to minimize the variance in the expected renewable output according to the mean variance portfolio theory. The uncorrelatedness in the wind and solar patterns amongst geographically diverse sites could compensate shortfalls in electric generation in a region. By …
-
Managing portfolios of products and securities
… thesis we study modifications of the classical Mean-Variance Portfolio Optimization model. Our objective is to identify an optimal subset of assets from all available assets to maximize the expected return while incurring the minimum risk. In addition, we test several approaches to measuring the …
-
Approximate value iteration approaches to constrained dynamic portfolio problems
… a discrete-time, finite-horizon dynamic portfolio problem where an investor makes sequential investment decisions with the goal of maximizing expected terminal wealth. We allow non-standard utility functions and constraints upon the portfolio selections at each time. These problem …
-
Heuristic Approaches to Portfolio Optimization.
… studied areas in finance is the classical mean-variance portfolio selection model pioneered by Harry Markowitz; which is also, undoubtedly recognized as the foundation of modern portfolio theory. The model in its basic form deals with the selection of portfolio of assets such that a …
-
A Hierarchical Approach to Quantitative Portfolio Optimization for Technology Development Project Portfolios (OPTIM-H)
The use of Mean-Variance Portfolio Optimization (MVO) in Modern Portfolio Theory (MPT) has been a long-standing method to guide investment decisions for market-traded assets like stocks and bonds. Recent research shows that portfolio optimization developed using MPT could prove useful in investment …
-
Analysis of employee stock options and guaranteed withdrawal benefits for life
… one by one basis, as is commonly done, but at a portfolio level because exercises related to different ESOs that an employee holds would be coupled. Using utility based models we also show that such coupled exercise behavior leads to lower average ESO costs for the commonly used utility functions …
-
Modelling of asset allocation in banking using the mean-variance approach
… to lower risk by diversifying their asset portfolio. The main categories of assets held by banks are loans, treasuries (bonds issued by the national treasury), reserves and intangible assets. In this mini-thesis, we solve an optimal asset allocation problem in banking under the …
-
On the predictability of U.S. stock market using machine learning and deep learning techniques
… proving significant alternatives to portfolio managers. Chapter three focuses mainly on the application of regression training (RT) techniques to forecast the U.S. equity premium. The RT models demonstrate significant evidence of equity premium predictability both statistically and …
-
Meeting climate targets for the role of natural for major carbon emitters in the Middle East : gas and renewable technology transitions
… emission targets in 2020 and 2030 using Mean Variance Portfolio Theory (MVP). Data collected throughout the thesis and results of the analysis are compiled and presented in an interactive web tool (MENA-CC.com) that allows users to have open access to energy data sets, graphically conduct …
-
On the Topic of Portfolio Optimization
… as a risk measure for the purpose of investment portfolio optimization and selection. First, we present an improved method of applying entropy as a risk in portfolio optimization. A new family of portfolio optimization problems called the return-entropy portfolio optimization (REPO) is introduced …
-
Hedge funds and higher moment portfolio selection
… study empirically compares the Markowitz (1952) mean-variance optimisation technique with a higher moment methodology recently proposed by Davies, Kat and Lu (2005). It extends the methodology to optimise portfolios without a unity-variance constraint. In addition, this study augments the …
-
Essays on economic value of intraday covariation estimators for risk prediction
… of the available methods has implications for portfolio optimization, volatility trading and risk management. More recently, volatility of asset returns was once again under spotlight during the 2008-2009 nancial crisis. One of the most visible indicators of the crisis that captured the …
-
Essays on the economic value of intraday covariation estimators for risk prediction
… of the available methods has implications for portfolio optimization, volatility trading and risk management. More recently, volatility of asset returns was once again under spotlight during the 2008-2009 financial crisis. The study contributes to the extant volatility forecasting literature in …
-
Application of Regime Switching and Random Matrix Theory for Portfolio Optimization
… of regime switches for stock market returns and portfolio optimisation. The key stylized facts regarding regime switching for stock index returns is that boom periods with positive mean stock returns are associated with low volatility, while bear markets with negative mean returns have high …