Document Search
Add To My Bookshelf Sign in or Register Save And Annotate

portfolio sign in to follow this
optimization sign in to follow this
CVaR sign in to follow this
allocation sign in to follow this
shortfall sign in to follow this
EVA sign in to follow this
RAROC sign in to follow this
cone sign in to follow this
programming sign in to follow this
frontier sign in to follow this

VaR Uses sign in to follow this
--Portfolio Optimization sign in to follow this
Discuss This Paper
Sign in to follow this page
Recent Comments
Portfolio Optimization: Beyond Markowitz
Company: Universiteit Leiden
Year Of Publication: 2004
Month Of Publication: January
Pages: 134
Download Count: 576
View Count:
Comment Num: 0
Language: EN
Who Can Read: Free
Date: 3-19-2007
Publisher: Administrator
Overview of this thesisThe thesis starts with a broad mathematical view of the theory of Markowitzin chapter 2. The theory of the efficient set is explained and optimal portfoliosare calculated. We see what happens when a risk-free asset is added to themodel and a sensitivity analysis is done. Chapter 3 introduces a safety first2principle, another model for portfolio optimization which deals with shortfallprobabilities. A shortfall probability is the chance that the return of the portfoliowill be lower than a predetermined value. The assumption of normallydistributed portfolio returns is made in this chapter. Chapter 4 discusses thefamily of elliptical distributions. We see what happens with the safety firstmodel if an elliptical distribution, instead of a normal distribution, is used asthe density function for returns. The widely used risk measure Value at Risk(VaR) is discussed in chapter 5, and optimal portfolios considering this otherrisk measure are derived. Both the case with and without risk-free asset are discussed.Chapter 6 introduces the performance measures EVA (Economic ValueAdded) and RAROC (Risk Adjusted Return On Capital), and implements thesein the previous models. Two proposals of dealing with uncertainty in the inputparameters are given in chapter 7. Here, the technique of second order coneprogramming (SOCP) is used for solving the problems. Chapter 8 concludesthis thesis with a concluding example and recommendations for future research.Some large or complex calculations and four MATLAB computer programs areplaced in the appendices.
Engels, Marnix Sign in to follow this author
This document's citation network:
Similar Documents:
Close window
Sign up in one step, no personal information required. Already a Member?

Repeat Email:
User Name:
Confirm Password:

Sign Up

Welcome to GloriaMundi!
Thanks for singning up

continue or edit your profile