{"id":{"repo_id":"texas","oai_identifier":"oai:repositories.lib.utexas.edu:2152/87218"},"canonical_url":"https://search.dev.ndltd.org/etd/texas/oai:repositories.lib.utexas.edu:2152/87218","repository":{"repo_id":"texas","name":"University of Texas","base_url":"https://repositories.lib.utexas.edu/server/oai/request"},"display":{"title":"Optimal portfolio choice : beyond the traditional expected utility maximization paradigm","abstract":"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 expected functionals of the optimal wealth in a log-normal market. The available theory behind the risk budgeting approach is revisited, with the main arguments for and against the approach explained. 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