Portfolio optimization phd thesis

Aristotle was the first philosopher to define the term thesis.

Portfolio optimization phd thesis

This thesis studies three important issues in portfolio management: The first study examines the practical value of the mean-variance portfolio optimization.

Thesis - Wikipedia

This issue arises from the concern that the performance of the meanvariance portfolio suffers seriously from estimation errors in input parameters. Our second study examines the role of fundamental analysis in portfolio selection.

Fundamental analysis assumes implicitly that asset prices mean-revert to their fundamental values. We solve the instantaneous mean-variance portfolio choice problem when asset prices mean-revert to their fundamentals and analyze how this meanreversion feature affects the performance of the optimal portfolio.

Our analytical results show that the expected appraisal ratio of the optimal portfolio is increasing in the meanreversion speed for a given stationary distribution of the mispricing and it is increasing in the standard deviation of the stationary distribution for a given level of the meanreversion speed.

The contribution from dividends is positive, increasing in the dividend yield and is tantamount to increasing the mean-reversion speed.

Portfolio Management with Heuristic Optimization consist of two parts. The first part (Foundations) deals with the foundations of portfolio optimization, its assumptions, approaches and the limitations when "traditional" optimization techniques are to be applied. Thesis VI: The scenario-based portfolio optimization problem under uncertaint y, formulated as a single- or multi-objective mixed integer program can be solved using . This thesis studies three important issues in portfolio management: the impact of estimation risk on portfolio optimization, the role of fundamental analysis in portfolio selection and the power of the bootstrap approach for separating skill from luck across a sample of portfolio managers.

One implication of this is that it must be very challenging to obtain reasonable forecasts of the mispricing. Our third study provides a simulation analysis of the power of the bootstrap approach for identifying skill among a large population of mutual funds.

Unlike the standard t-test, this approach does not require ex ante parametric assumption on fund alphas and allows us to infer on the existence of genuine skill across a large sample of fund managers.

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Its recent applications in mutual fund performance analysis have produced strikingly different findings from those documented in the classical literature. However, as far as we know, its power has not been subject to any rigorous statistical analysis.

We provide a Monte Carlo simulation analysis of the validity and power of this method by applying it to evaluating the performance of hypothetical funds under varieties of parameter assumptions. We find that this method can be misleading, which is true regardless of using alpha estimates or their t-statistics.

This makes the recent findings dubious. The major problem with this method lies in the inappropriate use or misinterpretation of what Fama and French call "likelihoods" in testing for difference between realized and bootstrapped alphas at selected percentiles.Abstract In this thesis, we study the portfolio selection problem with multiple risky assets, linear transaction costs and a risk measure in a multi-period setting.

F A C ULT Y O F SC IE N CE UNIVERSITY OF COPENHAGEN PhD thesis Patrik Brodin Risk-based optimization of photon and proton radiotherapy for pediatric medulloblastoma.

Portfolio optimization phd thesis

PhD theses from the Department of Industrial Economics and Technology Management (IØT) Successful candidates with title of thesis are listed below. Scientific staff at IØT also contributes in supervision of PhD students graduating at other faculties at NTNU and at other institutions.

I hereby declare that the thesis ´Financial Portfolio Optimization: Computationally guided agents to investigate, analyse and invest!?

µ submitted for the degree of Master of Technology in Modeling and Simulation to the University of Pune has not been submitted by me for a degree to. Theses: Doctorates and Masters Theses Vine copula modelling of dependence and portfolio optimization with application to mining and energy stock return series from the Australian market Jose Arreola Hernandez This Thesis is posted at Research Online.

M Dorigo Optimization Learning And Natural Algorithms Phd Thesis

having granted me a scholarship to pursue PhD studies. I thank the Graduate Research. Financial portfolio optimization is a widely studied problem in mathematics, statistics, nancial and computational literature.

It adheres to determining an optimal combina-.

PhD and Master Theses – Chair of Entrepreneurial Risks | ETH Zurich