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Portfolio Optimization: Beyond Markowitz
Company: Universiteit Leiden
Year Of Publication: 2004
Month Of Publication: January
Pages: 134
Download Count: 576
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Comment Num: 0
Language: EN
Source:
Who Can Read: Free
Date: 3-19-2007
Publisher: Administrator
Summary
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.
Author(s)
Engels, Marnix Sign in to follow this author
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