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 23 for “"portfolio optimisation"”.
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Robustness of bond portfolio optimisation
… Markowitz (1952) mean-variance framework to bond portfolio selection by proposing the use of term structure models to estimate the time-varying moments of bond returns. Duffee (2002) introduces a distinction between completely affine and essentially affine term structure models. A completely …
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Flexible risk-based portfolio optimisation
… investing. It permits various risk-based portfolios such as the global minimum variance, equal risk contribution and equal weight portfolios. The framework also allows for different estimation techniques to be used in finding the portfolios. The design of the study is to collate the …
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Portfolio optimisation with quantitative and qualitative views
Portfolio construction with quantitative and qualitative forecasts is described through the exposition of two asset allocation models. The two models arc the Black-Litterman Asset Allocation moodel and the Qualitative Forecasts : Model developed by Herold Ulf. The models are developed theoretically …
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Robust Bayesian Portfolio Optimisation: Higher Moments and the Distorting Effects of Constraints
… decision making (in the form of views) within a portfolio optimisation framework. Several recommendations and adjustments are made within the Black-Litterman framework in order to improve its practical applicability. In particular, a major shortcoming of the Black-Litterman model is the normality …
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Multi-objective optimisation with financial applications
Portfolio Optimisation is a multi-objective problem which involves finding the allocation of shares in a portfolio that optimises the likely return for a level of risk which an investor is prepared to tolerate. There have been several multi-objective evolutionary algorithms that have been used to …
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Portfolio management using computational intelligence approaches. Forecasting and Optimising the Stock Returns and Stock Volatilities with Fuzzy Logic, Neural Network and Evolutionary Algorithms.
Portfolio optimisation has a number of constraints resulting from some practical matters and regulations. The closed-form mathematical solution of portfolio optimisation problems usually cannot include these constraints. Exhaustive search to reach the exact solution can take prohibitive amount of …
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Robust portfolio construction: using resampled efficiency in combination with covariance shrinkage
The thesis considers the general area of robust portfolio construction. In particular the thesis considers two techniques in this area that aim to improve portfolio construction, and consequently portfolio performance. The first technique focusses on estimation error in the sample covariance (one …
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Essays on Quantitative Risk Management
… the risk measures and how they affect the portfolio optimisation. We contend that more successful portfolio management can be achieved by combining extreme value analysis to describe downside tail risk and dynamic copulas to model nonlinear dependence structures. Conditional Value-at-Risk …
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Hybrid optimisation and formation of index tracking portfolio in TSE
Asset allocation and portfolio optimisation are some of the most important steps in an investors decision making process. In order to manage uncertainty and maximise returns, it is assumed that active investment is a zero-sum game. It is possible however, that market inefficiencies could provide …
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Gain-Based Computing for Solving Optimisation Problems
Optimisation problems occur in a plethora of quantitative disciplines including, but not limited to, physics, engineering, biology, finance, and machine learning. However, in solving complex optimisation problems, digital computers are increasingly encountering limitations imposed by their …
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Constructing low cost core-satellite portfolios with multiple risk constraints: practical applications to Robo advising in South Africa using active, passive and smart-beta strategies
… investors. These techniques contribute to the portfolio optimisation process by limiting the extent to which a portfolio can deviate from its benchmark with regards to risk and tracking error. This is an ambitious paper that attempts to determine the optimal strategy to practically implement …
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An investigation into higher and partial moment portfolio selection frameworks
… moments of the distribution when conducting portfolio optimisation and selection. This is due partly to the weaknesses of mean-variance optimisation, as discussed throughout the dissertation, and the appropriateness of considering higher moments to better meet the investors utility functions. …
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Representation learning for regime detection in financial markets
… in terms of its utility in regime dependent portfolio optimisation strategy generation as a model better-suited to capturing latent block hierarchical correlation structures arising from lead-lag causal feedback information loops that often drive the evolution of evolving market regimes
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Improving Market Risk Management with Heuristic Algorithms
… institutions. In this thesis, we research active portfolio optimisation techniques with heuristic algorithms to manage new regulatory challenges faced in risk management. We first study if heuristic algorithms can support risk management to find global optimal solutions to reduce the regulatory …
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Institutional Frictions & Policy Constraints in Macroeconomic Transmission: Essays in Macroeconomics, Monetary & Fiscal Policy, and DSGE Business Cycle Modelling
… the role of financial-market incompleteness and portfolio optimisation -- as alternative asset-pricing based mechanisms of interest to policy transmission in incomplete markets environments -- in shaping nonlinearities in the pass-through from inflation stabilisation to asset prices. Chapter 4 …
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Hedge funds and higher moment portfolio selection
… 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 application of Davies …
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Bitcoin: The New Virtual Gold? An investigation into the diversification properties of Bitcoin within a South African portfolio
… the perspective of a South African investor, the portfolio diversification and optimisation abilities and asset allocation effects of including Bitcoin in a portfolio, and compares this with physical gold. In particular the study investigates: ( i) key statistics, returns and correlations between …
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Assessing the attractiveness of cryptocurrencies in relation to traditional investments in South Africa
… examined the effect of cryptocurrencies on the portfolio risk-adjusted returns of traditional and alternative investments using daily arithmetic returns from August 2015 to October 2018 of traditional assets (South African stocks, bonds, currencies), alternative assets (commodities, South …
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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 …
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