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 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. The equally weighted portfolio, referred to as the risk parity portfolio, is compared against other heuristically derived portfolios and the more traditional mean-variance portfolio.

Name thesis:degree_name

Master of Science in Engineering

Level thesis:degree_level

Masters

Discipline thesis:degree_discipline

Operations Research and Industrial Engineering

Grantor

The University of Texas at Austin

Year dc:date.issued

2020

Author dc:creator

• Lalkov, Vasko

Advisors dc:contributor.advisor

• Zariphopoulou, Thaleia, 1962-
• Hasenbein, John J.

• Portfolio selection
• Portfolio choice
• Portfolio optimization
• Mean-variance
• Expected utility
• Optimal wealth
• Expected functional of wealth
• Risk budgeting
• Risk parity

Language dc:language.iso

en

Identifier URI

http://dx.doi.org/10.26153/tsw/14168

OAI identifier oai:identifier

oai:repositories.lib.utexas.edu:2152/87218