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Showing 1 to 20 of 37 for “"modern 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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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 …
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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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An Empirical investigation of the value of High and Low price data to Modern Portfolio Theory
… estimate 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 …
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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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Ivory towers to office towers, Wall Street to Main Street : a study of the relationship between modern portfolio theory and private equity real estate
… attempts 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 …
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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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Evaluation of Asset Allocation Strategies used by Tanzanians’ Pension Funds and determinants of their choices
… and find 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 …
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A STUDY ON INVESTMENT STRATEGIES FOR RETIREMENT PLANNING
… of the time period before retirement using Modern Portfolio theory. The aim is to develop a retirement framework using fundamentals of Modern Portfolio Theory as per investor’s needs on asset allocation assuming investor’s risk appetite reduces as he ages in life and worries for real …
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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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The Impact of Non-Traditional Banking and National-level Governance on Banking Performance: Evidence from the GCC Region
… grounded in financial intermediation theory, modern portfolio theory, and institutional theory. It adopts a multi-method approach: the literature review chapters utilise bibliometric and content analysis to map and evaluate the NTBAs and GCC banking literature, while the empirical …
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Two essays on nonprofit finance
… questions respectively. The first essay, titled “Modern Portfolio Theory and the Optimization of Nonprofit Revenue Mix,” is among the first to properly apply modern portfolio theory (MPT) from corporate finance to nonprofit finance. By analyzing nonprofit tax return data, I estimate the expected …
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Etanol versus bioeletricidade: aplicação dos conceitos de fronteira eficiente de Markowitz para o aproveitamento do bagaço residual do setor sucroenergético
… ethanol and electricity productions using the modern portfolio theory developed by Markowitz, as the sector can further diversify its production, reducing risks and increasing returns. After literature review, about sugar-energy sector and these two biofuels production technologies, the …
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Turkish REITs : an overview of the industry and its performance
… section also includes the application of the Modern Portfolio Theory to examine how REIT stocks individually and as an industry fit into optimal risky portfolios at various risk and return preferences both based on their actual inflation adjusted stock returns and on their net asset value …
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Heuristic Approaches to Portfolio Optimization.
… 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 reasonable trade-off …
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Covariance matrix estimation methods for constrained portfolio optimization in a South African setting
One of the major topics of concern in Modern Portfolio Theory is portfolio optimization which is centred on the mean-variance framework. In order for this framework to be implemented, esti- mated parameters (covariance matrix for the constrained portfo- lio) are required. The problem with these …
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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 …
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