To see the other types of publications on this topic, follow the link: Markowitz Mean Variance model.
Dissertations / Theses on the topic 'Markowitz Mean Variance model'
Create a spot-on reference in APA, MLA, Chicago, Harvard, and other styles
Consult the top 50 dissertations / theses for your research on the topic 'Markowitz Mean Variance model.'
Next to every source in the list of references, there is an 'Add to bibliography' button. Press on it, and we will generate automatically the bibliographic reference to the chosen work in the citation style you need: APA, MLA, Harvard, Chicago, Vancouver, etc.
You can also download the full text of the academic publication as pdf and read online its abstract whenever available in the metadata.
Browse dissertations / theses on a wide variety of disciplines and organise your bibliography correctly.
1
Dantas, Allan Leão. "Otimização multiperíodo por média-variância sem posições a descoberto em ativos de risco." Universidade de São Paulo, 2006. http://www.teses.usp.br/teses/disponiveis/3/3139/tde-13122006-174247/.
Full textAbstract:
Inicialmente neste trabalho são apresentados os conceitos básicos de média e variância e como estes se aplicam na caracterização de um ativo ou carteira de investimento. Posteriormente são apresentadas as estratégias ótimas de investimento para o modelo de Markowitz sem posições a descoberto em ativos de risco, e sem tal restrição. Ainda neste trabalho é apresentada uma breve revisão do modelo de tempo contínuo para o problema de média-variância sem posições a descoberto em ativos de risco, e como objetivo principal do mesmo é proposto um modelo em tempo discreto multiperíodo a partir do modelo de tempo contínuo, o qual é implementado computacionalmente para o mercado de capitais brasileiro. O resultado obtido é comparado com a estratégia de período único do modelo de Markowitz sem posições a descoberto em ativos de risco, sendo este modelo aplicado sequencialmente no horizonte de tempo considerado para o modelo multiperíodo.Initially in this work are presented the basics concepts of mean and variance and how they are applied to quantify an asset or a portfolio. After this we present the optimal investment strategy of the Markowitz no-shorting constraints mean-variance portfolio selection in single period and the Markowitz optimal investment strategy without such constrain. Following this, we present a short review of the continuous-time dynamic model for the mean-variance portfolio selection with no-shorting constraints in risky assets problem. As the main objective of this work we propose a discrete time multiperiod model based on the continuous-time portfolio selection with no-shorting constraints in risky assets, that is applied to the Brazilian financial market. This result is compared with the investment strategy of the Markowitz no-shorting constraints mean-variance portfolio selection in single period applied sequentially in the multiperiod case.
2
Sowunmi, Ololade. "Finanční optimalizace." Master's thesis, Vysoké učení technické v Brně. Fakulta strojního inženýrství, 2020. http://www.nusl.cz/ntk/nusl-417164.
Full textAbstract:
This thesis presents two Models of portfolio optimization, namely the Markowitz Mean Variance Optimization Model and the Rockefeller and Uryasev CVaR Optimization Model. It then presents an application of these models to a portfolio of clean energy assets for optimal allocation of financial resources in terms of maximum returns and low risk. This is done by writing GAMS programs for these optimization problems. An in-depth analysis of the results is conducted, and we see that the difference between both models is not very significant even though these results are data-specific.
3
Isaksson, Daniel. "Robust portfolio optimization with Expected Shortfall." Thesis, KTH, Matematisk statistik, 2016. http://urn.kb.se/resolve?urn=urn:nbn:se:kth:diva-187888.
Full textAbstract:
This thesis project studies robust portfolio optimization with Expected Short-fall applied to a reference portfolio consisting of Swedish linear assets with stocks and a bond index. Specifically, the classical robust optimization definition, focusing on uncertainties in parameters, is extended to also include uncertainties in log-return distribution. My contribution to the robust optimization community is to study portfolio optimization with Expected Shortfall with log-returns modeled by either elliptical distributions or by a normal copula with asymmetric marginal distributions. The robust optimization problem is solved with worst-case parameters from box and ellipsoidal un-certainty sets constructed from historical data and may be used when an investor has a more conservative view on the market than history suggests. With elliptically distributed log-returns, the optimization problem is equivalent to Markowitz mean-variance optimization, connected through the risk aversion coefficient. The results show that the optimal holding vector is almost independent of elliptical distribution used to model log-returns, while Expected Shortfall is strongly dependent on elliptical distribution with higher Expected Shortfall as a result of fatter distribution tails. To model the tails of the log-returns asymmetrically, generalized Pareto distributions are used together with a normal copula to capture multivariate dependence. In this case, the optimization problem is not equivalent to Markowitz mean-variance optimization and the advantages of using Expected Shortfall as risk measure are utilized. With the asymmetric log-return model there is a noticeable difference in optimal holding vector compared to the elliptical distributed model. Furthermore the Expected Shortfall in-creases, which follows from better modeled distribution tails. The general conclusions in this thesis project is that portfolio optimization with Expected Shortfall is an important problem being advantageous over Markowitz mean-variance optimization problem when log-returns are modeled with asymmetric distributions. The major drawback of portfolio optimization with Expected Shortfall is that it is a simulation based optimization problem introducing statistical uncertainty, and if the log-returns are drawn from a copula the simulation process involves more steps which potentially can make the program slower than drawing from an elliptical distribution. Thus, portfolio optimization with Expected Shortfall is appropriate to employ when trades are made on daily basis.Examensarbetet behandlar robust portföljoptimering med Expected Shortfall tillämpad på en referensportfölj bestående av svenska linjära tillgångar med aktier och ett obligationsindex. Specifikt så utvidgas den klassiska definitionen av robust optimering som fokuserar på parameterosäkerhet till att även inkludera osäkerhet i log-avkastningsfördelning. Mitt bidrag till den robusta optimeringslitteraturen är att studera portföljoptimering med Expected Shortfall med log-avkastningar modellerade med antingen elliptiska fördelningar eller med en norma-copul med asymmetriska marginalfördelningar. Det robusta optimeringsproblemet löses med värsta tänkbara scenario parametrar från box och ellipsoid osäkerhetsset konstruerade från historiska data och kan användas när investeraren har en mer konservativ syn på marknaden än vad den historiska datan föreslår. Med elliptiskt fördelade log-avkastningar är optimeringsproblemet ekvivalent med Markowitz väntevärde-varians optimering, kopplade med riskaversionskoefficienten. Resultaten visar att den optimala viktvektorn är nästan oberoende av vilken elliptisk fördelning som används för att modellera log-avkastningar, medan Expected Shortfall är starkt beroende av elliptisk fördelning med högre Expected Shortfall som resultat av fetare fördelningssvansar. För att modellera svansarna till log-avkastningsfördelningen asymmetriskt används generaliserade Paretofördelningar tillsammans med en normal-copula för att fånga det multivariata beroendet. I det här fallet är optimeringsproblemet inte ekvivalent till Markowitz väntevärde-varians optimering och fördelarna med att använda Expected Shortfall som riskmått används. Med asymmetrisk log-avkastningsmodell uppstår märkbara skillnader i optimala viktvektorn jämfört med elliptiska fördelningsmodeller. Därutöver ökar Expected Shortfall, vilket följer av bättre modellerade fördelningssvansar. De generella slutsatserna i examensarbetet är att portföljoptimering med Expected Shortfall är ett viktigt problem som är fördelaktigt över Markowitz väntevärde-varians optimering när log-avkastningar är modellerade med asymmetriska fördelningar. Den största nackdelen med portföljoptimering med Expected Shortfall är att det är ett simuleringsbaserat optimeringsproblem som introducerar statistisk osäkerhet, och om log-avkastningar dras från en copula så involverar simuleringsprocessen flera steg som potentiellt kan göra programmet långsammare än att dra från en elliptisk fördelning. Därför är portföljoptimering med Expected Shortfall lämpligt att använda när handel sker på daglig basis.
4
McLeod, Warren. "Enhancements to the Markowitz mean-variance optimisation process of asset allocation." Master's thesis, University of Cape Town, 1998. http://hdl.handle.net/11427/9687.
Full textAbstract:
Includes bibliographical references.[The focus of this thesis is on the practical application of portfolio selection. It is a field that receives much attention, no more so than after the world market crashes (i.e. October 1997) which highlighted the importance of risk management. Consequently there is a need to examine the current tools in current use to create our portfolios and to look at ways in which they could be improved. The Bayesians have certainly contributed in this area, and more noticeably in the 1990's. We shall examine their contributions quite extensively in this thesis.
5
Djehiche, Younes, and Erik Bröte. "Implementation of mean-variance and tail optimization based portfolio choice on risky assets." Thesis, KTH, Skolan för teknikvetenskap (SCI), 2016. http://urn.kb.se/resolve?urn=urn:nbn:se:kth:diva-198071.
Full textAbstract:
An asset manager's goal is to provide a high return relative the risk taken, and thus faces the challenge of how to choose an optimal portfolio. Many mathematical methods have been developed to achieve a good balance between these attributes and using di erent risk measures. In thisthesis, we test the use of a relatively simple and common approach: the Markowitz mean-variance method, and a more quantitatively demanding approach: the tail optimization method. Using active portfolio based on data provided by the Swedish fund management company Enter Fonderwe implement these approaches and compare the results. We analyze how each method weighs theunderlying assets in order to get an optimal portfolio.
6
Fan, Kevin, and Rasmus Larsson. "Portföljoptimering med courtageavgifter." Thesis, KTH, Optimeringslära och systemteori, 2014. http://urn.kb.se/resolve?urn=urn:nbn:se:kth:diva-146748.
Full textAbstract:
Ever since it was first introduced in an article in the Journal of Finance 1952, Harry Markowitz’ mean - variance model for portfolio selection has become one of the best known models in finance. The model was one of the first in the world to deal with portfolio optimization mathematically and have directly or indirectly inspired the rest of the world to develop new portfolio optimization methods. Although the model is one of the greatest contributions to modern portfolio theory, critics claim that it may have practical difficulties. Partly because the Markowitz model is based on various assumptions which do not necessarily coincide with the reality. The assumptions which are based on the financial markets and investor behavior contain the simplification that there are no transaction costs associated with financial trading. However, in reality, all financial products are subject to transaction costs such as brokerage fees and taxes. To determine whether this simplification leads to inaccurate results or not, we derive an extension of the mean-variance optimization model which includes brokerage fees occurred under the construction of an investment portfolio. We then compare our extension of the Markowitz model, including transaction costs, with the standard model. The results indicate that brokerage fees have a negligible effect on the standard model if the investor's budget is relatively large. Hence the assumption that no brokerage fees occur when trading financial securities seems to be an acceptable simplification if the budget is relatively high. Finally, we suggest that brokerage fees are negligible if the creation of the portfolio and hence the transactions only occurs once. However if an investor is active and rebalances his portfolio often, the brokerage fees could be of great importance.Harry Markowitz portföljoptimeringsmodell har sedan den publicerades år 1952 i en artikel i the journal of Finance, blivit en av de mest använda modellerna inom finansvärlden. Modellen var en av dem första i världen att hantera portföljoptimering matematiskt och har direkt eller indirekt inspirerat omvärlden att utveckla nya portföljoptimeringsmetoder. Men trots att Markowitz modell är ett av de största bidragen till dagens portföljoptimeringsteori har kritiker hävdat att den kan ha praktiska svårigheter. Detta delvis på grund av att modellen bygger på olika antaganden som inte nödvändigtvis stämmer överens med verkligheten. Antagandena, som är baserad på den finansiella marknaden och individers investeringsbeteende, leder till förenklingen att transaktionskostnader inte förekommer i samband med finansiell handel. Men i verkligheten förekommer transaktions-kostnader som courtageavgifter och skatter nästintill alltid vid handel av finansiella produkter som t.ex. värdepapper. För att avgöra om modellen påvisar felaktiga resultat på grund av bortfallet av courtageavgifter härleds en utvidgning av Markowitz modell som inkluderar courtageavgifter. Utvidgningen av Markowitz modell jämförs sedan med originalmodellen. Resultaten tyder på att courtageavgifter har en försumbar effekt på originalmodellen om investeraren har en stor investeringsbudget. Slutsatsen är därför att, förenklingen att inga courtageavgifter förekommer är en acceptabel förenkling om investeringsbudgeten är stor. Det föreslås slutligen att courtageavgiften är försumbar om transaktionen av aktier endast sker en gång. Men om en investerare är aktiv och ombalanserar sin portfölj flitigt, kan courtageavgifterna vara av stor betydelse.
7
Abdumuminov, Shuhrat, and David Emanuel Esteky. "Black-Litterman Model: Practical Asset Allocation Model Beyond Traditional Mean-Variance." Thesis, Mälardalens högskola, Akademin för utbildning, kultur och kommunikation, 2016. http://urn.kb.se/resolve?urn=urn:nbn:se:mdh:diva-32427.
Full textAbstract:
This paper consolidates and compares the applicability and practicality of Black-Litterman model versus traditional Markowitz Mean-Variance model. Although well-known model such as Mean-Variance is academically sound and popular, it is rarely used among asset managers due to its deficiencies. To put the discussion into context we shed light on the improvement made by Fisher Black and Robert Litterman by putting the performance and practicality of both Black- Litterman and Markowitz Mean-Variance models into test. We will illustrate detailed mathematical derivations of how the models are constructed and bring clarity and profound understanding of the intuition behind the models. We generate two different portfolios, composing data from 10-Swedish equities over the course of 10-year period and respectively select 30-days Swedish Treasury Bill as a risk-free rate. The resulting portfolios orientate our discussion towards the better comparison of the performance and applicability of these two models and we will theoretically and geometrically illustrate the differences. Finally, based on extracted results of the performance of both models we demonstrate the superiority and practicality of Black-Litterman model, which in our particular case outperform traditional Mean- Variance model.
8
Naidoo, Lushan. "A Markowitz mean-variance analysis of hedge fund investments for multi-asset class portfolio holders in South Africa." Master's thesis, University of Cape Town, 2015. http://hdl.handle.net/11427/28981.
Full textAbstract:
This research aims to provide insight into the hedge fund industry in South Africa. The focus is on retirement funds and the use of hedge funds in a multi-asset class portfolio. Diversification is an important tool for portfolio managers who make use of correlation to achieve higher risk-adjusted returns for investors. As such this paper tests whether higher risk-adjusted returns can be achieved in well diversified multi-asset class portfolios if hedge funds are included. To test for the optimal risk-adjusted returns that can be achieved, mean-variance, mean-semi variance and Omega portfolios were created. The results suggest that portfolios that include hedge fund investments outperformed those that exclude it using mean-variance, mean-semi variance and Omega analysis. Furthermore it was found that portfolios that included Pure Hedge Funds outperformed those that included Fund of Hedge Funds. The evidence suggests that hedge fund investments should be included in a well-diversified South African multi-asset class portfolio, with Pure Hedge Funds being preferred to Fund of Hedge Funds.
9
Anane, Asomani Kwadwo. "Sustainability for Portfolio Optimization." Thesis, Mälardalens högskola, Akademin för utbildning, kultur och kommunikation, 2019. http://urn.kb.se/resolve?urn=urn:nbn:se:mdh:diva-44560.
Full textAbstract:
The 2007-2008 financial crash and the looming climate change and global warming have heightened interest in sustainable investment. But whether the shift is as a result of the financial crash or a desire to preserve the environment, a sustainable investment might be desirable. However, to maintain this interest and to motivate investors in indulging in sustainability, there is the need to show the possibility of yielding positive returns. The main objective of the thesis is to investigate whether the sustainable investment can lead to higher returns. The thesis focuses primarily on incorporating sustainability into Markowitz portfolio optimization. It looks into the essence of sustainability and its impact on companies by comparing different concepts. The analysis is based on the 30 constituent stocks from the Dow Jones industrial average or simply the Dow. The constituents stocks of the Dow, from 2007-12-31 to 2018-12-31 are investigated. The thesis compares the cumulative return of the Dow with the sustainable stocks in the Dow based on their environmental, social and governance (ESG) rating. The results are then compared with the Dow Jones Industrial Average denoted by the symbol (^DJI) which is considered as the benchmark for my analysis. The constituent stocks are then optimized based on the Markowitz mean-variance framework and a conclusion is drawn from the constituent stocks, ESG, environmental, governance and social asset results. It was realized that the portfolio returns for stocks selected based on their environmental and governance ratings were the highest performers. This could be due to the fact that most investors base their investment selection on the environmental and governance performance of companies and the demand for stocks in that category could have gone up over the period, contributing significantly to their performance.
10
Strid, Alexander, and Daniel Liu. "Evaluation of a Portfolio in Dow Jones Industrial Average Optimized by Mean-Variance Analysis." Thesis, KTH, Matematisk statistik, 2020. http://urn.kb.se/resolve?urn=urn:nbn:se:kth:diva-275662.
Full textAbstract:
This thesis evaluates the mean-variance analysis framework by comparing the performance of an optimized portfolio consisting of stocks from the Dow Jones Industrial Average to the performance of the Dow Jones Industrial Average index itself. The results show that the optimized portfolio performs better than the corresponding index when evaluated on the period between 2015 and 2019. However, the variance of the returns are high and therefore it is difficult to determine if mean-variance analysis performs better than its corresponding index in the general case. Furthermore, it is shown that individual stocks can still influence the movement of an optimized portfolio significantly, even though the model is supposed to diversify firm-specific risk. Thus, the authors recommend modifying the model by restricting the amount that is allowed to be invested in a single stock, if one wishes to apply mean-variance analysis in reality. To be able to draw further conclusions, more practical research within the subject needs to be done.Denna uppsats utvärderar ramverket ”mean-variance analysis” genom att jämföra prestandan av en optimerad portfölj bestående av aktier från Dow Jones Industrial Average med prestandan av indexet Dow Jones Industrial Average självt. Resultaten visar att att den optimerade portföljen presterar bättre än motsvarande index när de utvärderas på perioden 2015 till 2019. Dock är variansen av avkastningen hög och det är därför svårt att bedöma om mean-variance analysis generellt sett presterar bättre än sitt motsvarande index. Vidare visas det att individuella aktier fortfarande kan påverka den optimerade portföljens rörelser, fastän modellen antas diversifiera företagsspecifik risk. På grund av detta rekommenderar författarna att modifiera modellen genom att begränsa mängden som kan investeras i en individuell aktie, om man önskar att tillämpa mean-variance analysis i verkligheten. För att kunna dra vidare slutsatser så krävs mer praktisk forskning inom området.
11
Cheng, Enoch. "Connections between no-arbitrage and the continuous time mean-variance framework." Diss., Restricted to subscribing institutions, 2009. http://proquest.umi.com/pqdweb?did=1836268281&sid=1&Fmt=2&clientId=1564&RQT=309&VName=PQD.
Full text
12
VELLOSO, MARIA LUIZA FERNANDES. "TIME SERIES MODEL WITH NEURAL COEFFICIENTS FOR NONLINEAR PROCESSES IN MEAN AND VARIANCE." PONTIFÍCIA UNIVERSIDADE CATÓLICA DO RIO DE JANEIRO, 1999. http://www.maxwell.vrac.puc-rio.br/Busca_etds.php?strSecao=resultado&nrSeq=8103@1.
Full textAbstract:
CONSELHO NACIONAL DE DESENVOLVIMENTO CIENTÍFICO E TECNOLÓGICOEsta tese apresenta uma nova classe de modelos não lineares inspirada no modelo ARN, apresentado por Mellem, 1997. Os modelos definidos nesta classe são aditivos com coeficientes variáveis modelados por redes neurais e, tanto a média quanto a variância condicionais, são modeladas explicitamente. Neste trabalho podem ser identificadas quatro partes principais: um estudo sobre os modelos mais comuns encontrados na literatura de séries temporais; um estudo sobre redes neurais, focalizando a rede backpropagation; a definição do modelo proposto e os métodos utilizados na estimação dos parâmetros e o estudo de casos. Modelos aditivos têm sido escolha preferencial na modelagem não linear: paramétrica ou não paramétrica, de média ou de variância condicional. Além disso, tanto a idéia de modelos de coeficientes variáveis quanto a de modelos híbridos. que reúnem paradigmas diferentes, não é novidade. Por esta razão, foi traçado um panorama dos modelos não lineares mais encontrados na literatura de séries temporais, focalizando-se naqueles que tinham relacionamento mais estreito com a classe de modelos proposta neste trabalho. No estudo sobre redes neurais, além da apresentação de seus conceitos básicos, analisou- se a rede backpropagation, ponto de partida para a modelagem dos coeficientes variáveis. Esta escolha deveu- se à constatação da predominância e constância no uso desta rede, ou de suas variantes, nos estudos e aplicações em séries temporais. Demonstrou-se que os modelos propostos são aproximadores universais e podem ser utilizados para modelar a variância condicional de uma série temporal. Foram desenvolvidos algoritmos, a partir dos métodos de mínimos quadrados e de máxima verossimilhança, para a estimação dos pesos, através da adaptação do algoritmo de backpropagation à esta nova classe de modelos. Embora tenham sido sugeridos outros algoritmos de otimização, este mostrou-se suficientemente apropriado para os casos testados neste trabalho. O estudo de casos foi dividido em duas partes: testes com séries sintéticas e testes com séries reais. Estas últimas, normalmente, utilizadas como benchmarking por analistas de séries temporais não lineares. Para auxiliar na identificação das variáveis do modelo, foram utilizadas regressões de lag não paramétricas. Os resultados obtidos foram comparados com outras modelagens e foram superiores ou, no mínimo, equivalentes. Além disso, é mostrado que o modelo híbrido proposto engloba vários destes outros modelos.
A class of nonlinear additive varyng coefficient models is introduced in this thesis, inspired by ARN model, presented by Mellem, 1997. the coefficients are explicitly modelled. This work is divided in four major parts: a study of most common models in the time series literature; a study of neural networks, focused in backpropagation network; the presentation of the proposed models and the methods used for parameter estimation: and the case studies. Additive models has been the preferencial choice in nonlinear modelling: idea of varyng coefficient and of hybrid models, aren`t news. Hence, the models in the time series literature were analysed, assentialy those closely related with the class of models proposed in this work. Sinse the predominance and constancy in the use of backpropagation network, or its variants, in time series studies and applications, was confirmed by this work, this network was analyzed with more details. This work demonstrated that the proposed models are universal aproximators and could model explicity conditional variance. Moreover, gradient calculus and algorithms for the weight estimation were developed based on the main estimation methods: least mean squares and maximum likelihood. Even though other gradient calculus and otimization algorithms have been sugested, this one was sufficiently adequate for the studied cases. The case studies were divided in two parts: tests with synthetic series and for the nonlinear time series analysts. The obtained results were compared with other models and were superior or, at least, equivalent. Also, these results confirmed that the proposed hybrid model encompass several of the others models
13
Hirani, Shyam, and Jonas Wallström. "The Black-Litterman Asset Allocation Model : An Empirical Comparison to the Classical Mean-Variance Framework." Thesis, Linköpings universitet, Nationalekonomi, 2014. http://urn.kb.se/resolve?urn=urn:nbn:se:liu:diva-111570.
Full textAbstract:
Within the scope of this thesis, the Black-Litterman Asset Allocation Model (as presented in He & Litterman, 1999) is compared to the classical mean-variance framework by simulating past performance of portfolios constructed by both models using identical input data. A quantitative investment strategy which favours stocks with high dividend yield rates is used to generate private views about the expected excess returns for a fraction of the stocks included in the sample. By comparing the ex-post risk-return characteristics of the portfolios and performing ample sensitivity analysis with respect to the numerical values assigned to the input variables, we evaluate the two models’ suitability for different categories of portfolio managers. As a neutral benchmark towards which both portfolios can be measured, a third market-capitalization-weighted portfolio is constructed from the same investment universe. The empirical data used for the purpose of our simulations consists of total return indices for 23 of the 30 stocks included in the OMXS30 index as of the 21st of February 2014 and stretches between January of 2003 and December of 2013. The results of our simulations show that the Black-Litterman portfolio has delivered risk-adjusted return which is superior not only to that of its market-capitalization-weighted counterpart but also to that of the classical mean-variance portfolio. This result holds true for four out of five simulated strengths of the investment strategy under the assumption of zero transaction costs, a rebalancing frequency of 20 trading days, an estimated risk aversion parameter of 2.5 and a five per cent uncertainty associated with the CAPM prior. Sensitivity analysis performed by examining how the results are affected by variations in these input variables has also shown notable differences in the sensitivity of the results obtained from the two models. While the performance of the Black-Litterman portfolio does undergo material changes as the inputs are varied, these changes are nowhere near as profound as those exhibited by the classical mean-variance portfolio. In the light of our empirical results, we also conclude that there are mainly two aspects which the portfolio manager ought to consider before committing to one model rather than the other. Firstly, the nature behind the views generated by the investment strategy needs to be taken into account. For the implementation of views which are of an α-driven character, the dynamics of the Black-Litterman model may not be as appropriate as for views which are believed to also influence the expected return on other securities. Secondly, the soundness of using market-capitalization weights as a benchmark towards which the final solution will gravitate needs to be assessed. Managers who strive to achieve performance which is fundamentally uncorrelated to that of the market index may want to either reconsider the benchmark weights or opt for an alternative model.
14
Griffiths, Kristi L. "Model selection and analysis tools in response surface modeling of the process mean and variance." Diss., Virginia Tech, 1995. http://hdl.handle.net/10919/38567.
Full textAbstract:
Product improvement is a serious issue facing industry today. And while response surface methods have been developed which address the process mean involved in improving the product there has been little research done on the process variability. Lack of quality in a product can be attributed to its inconsistency in performance thereby highlighting the need for a methodology which addresses process variability. The key to working with the process variability comes in the handling of the two types of factors which make up the product design: control and noise factors. Control factors can be fixed in both the lab setting and the real application. However, while the noise factors can be fixed in the lab setting, they are assumed to be random in the real application. A response-model can be created which models the response as a function of both the control and noise factors. This work introduces criteria for selecting an appropriate response-model which can be used to create accurate models for both the process mean and process variability. These two models can then be used to identify settings of the control factors which minimize process variability while maintaining an acceptable process mean.
If the response-model is known, or at least well estimated, response surface methods can be extended to building various confidence regions related to the process variance. Among these are a confidence region on the location of minimum process variance and a confidence region on the ratio of the process variance to the error variance. It is easy to see the importance for research on the process variability and this work offers practical methods for improving the design of a product.Ph. D.
15
Pasos, Jose E. "Mean-variance optimal portfolios for Lévy processes and a singular stochastic control model for capacity expansion." Thesis, London School of Economics and Political Science (University of London), 2018. http://etheses.lse.ac.uk/3771/.
Full textAbstract:
In the first part of the thesis, the problem of determining the optimal capacity expansion strategy for a firm operating within a random economic environment is studied. The underlying market uncertainty is modelled by means of a general one-dimensional positive diffusion with possible absorption at 0. The objective is to maximise a performance criterion that involves a general running payoff function and associates a cost with each capacity increase up to the first hitting time of 0, at which time the firm defaults. The resulting optimisation problem takes the form of a degenerate twodimensional singular stochastic control problem that is explicitly solved. The general results are further illustrated in the special cases in which market uncertainty is modelled by a Brownian motion with drift, a geometric Brownian motion or a square-root mean-reverting process such as the one in the CIR model. The second part of the thesis presents a study of mean-variance portfolio selection for asset prices modelled by Lévy processes under conic constraints on trading strategies. In this context, the combination of the price processes’ jumps and the trading constraints gives rise to a new qualitative behaviour of the optimal strategies. The existence and the behaviour of the optimal strategies are related to different no-arbitrage conditions that can be directly expressed in terms of the Lévy triplet. This allows for a fairly complete characterisation of mean-variance optimal portfolios under conic constraints.
16
Ferreira, Valéria Andreia Reyes. "Efficient frontier and the optimal risky portfolio : evidence from DAX30 and IBEX35 before and after the financial crisis of 2008." Master's thesis, Instituto Superior de Economia e Gestão, 2017. http://hdl.handle.net/10400.5/14502.
Full textAbstract:
Mestrado em FinançasA Avaliação de carteiras é uma tarefa importante tendo em vista a alocação prudente dos activos, particularmente em períodos de crise. O objectivo desta tese é a determinação da fronteira eficiente e portfólio óptimo para dois países nos períodos pré e pós crise. Os países selecionados são Espanha e Alemanha e os dados foram recolhidos dos dois indices: DAX 30 e IBEX 35. Um índice reflecte o mercado, assim os activos incluídos nos indices serão ponderados , alcançando o investimento perfeito para cada mercado usando a Teoria Moderna do Portfólio, que providencia o fundamento teórico para a construção do Portfólio. Este processo é aplicado num período de cinco anos , antes e depois de 2008 para ambos os indices, permitindo a comparação das duas fronteiras eficientes para os dois períodos. Os dados são recolhidos para o período compreendido entre 2003 e 2012 e a diversificação, correlação e covariância são utilizados para obter os portfólios óptimos através de uma metodologia baseada em optimização numérica e analítica. Da estimação da fronteira eficiente é possível compreender os efeitos da crise em ambos os mercados. Os portfólios ponderados são comparados ao índice de mercado, e com esta segunda análise é possível concluir se a partir da aplicação da Teoria Moderna do Portfólio os investidores obtém retornos maiores do que investindo no índice de mercado.
Stock market portfolio evaluation is an important task regarding a prudent asset allocation particularly in periods of crises. The purpose of this thesis is to compute the efficient frontier and the optimal risky portfolio for two countries in periods included before and after the crisis of 2008. The selected countries are Spain and Germany and data are collected from two indexes: DAX 30 and IBEX 35. An index reflects the market so the stocks included in the indexes will be reweighted at a preplanned schedule, achieving the perfect investment for each country using the modern portfolio theory, which provides a solid theoretical foundation for building portfolios strategies. These processes are applied in five year periods, before and after 2008 for both indexes enabling the comparison of two efficient frontiers for each country. The data inputs are gathered from 2003 to 2012 and diversification, correlation and covariance are used to achieve the optimal risky portfolios through a methodology based in numerical and analytical optimization. From the estimation of the efficient frontiers it is possible to understand the effects the crisis on these two markets. The reweighted portfolios are also compared to the stock index, and with this second analysis it is possible to understand if applying modern portfolio theory, the investor achieves a higher return than investing in an index portfolio.
info:eu-repo/semantics/publishedVersion
17
Sarver, Eric Andrew. "A Discrete Choice Mean Variance (EV) Cost Model to Measure Impact of Household Risk from Drinking Water Pipe Corrosion." Thesis, Virginia Tech, 2017. http://hdl.handle.net/10919/86199.
Full textAbstract:
In traditional investment decision making, one tool commonly used is the mean variance model, also known as an expected-value variance (EV) model, which evaluates the anticipated payout of different assets with respect to uncertainty where portfolios with higher risk demand higher expected returns from an individual. This thesis adapts this framework to a cost setting where decision makers are evaluating alternative physical assets that carry lifetime cost uncertainty for maintenance. Specifically, this paper examines homeowner choices for their home plumbing systems in the event of a pinhole leak, a tiny pin-sized hole that forms in copper, drinking-water pipes. These leaks can cause substantial damage and cost homeowners thousands of dollars in repairs. Since pinhole leaks are not related to the age of pipe material, a homeowner is subject to the risk of additional costs if a pinhole leak occurs again despite their repair efforts.
The EV cost model in this paper defines two discrete choices for the homeowner in the event of a leak; to apply a simple repair at lower cost and higher future cost uncertainty, or to replace their plumbing with new pipe material, usually made of plastic, at a higher upfront cost but lower likelihood of future expenses. The risk preference of homeowners are demonstrated by their repair strategy selection, as well as the level of cost they incur to reduce uncertainty. Risk neutral individuals will select the repair strategy with the lowest lifetime expected cost and high variance, while risk averse homeowners will prefer to replace their plumbing with higher cost but lower variance. Risk averse individuals are also exposed to indirect costs, which is an additional unobserved cost in the form of a risk premium the homeowner is willing to pay to remove all uncertainty of future pinhole leak expense.
Expected costs and variances are also higher for regions in the U.S. that experience elevated leak incident rates, known as hotspots. Using this mean variance cost framework, indirect cost can be quantified for homeowners in hotspot regions and compared to the rest of the U.S. to evaluate the magnitude of pinhole leak risk. The EV cost model estimates risk premiums on pinhole leaks to be $442 for homeowners in hotspots and $305 for those in the rest of the U.S. Finally, this paper examines the impact of pinhole leak cost uncertainty on the U.S. economy. Of an estimated $692 million in annual pinhole leak costs to homeowners, this study estimates a lower bound cost of $54 million per year (7.8% of estimated national annual cost) in risk premium that homeowners would be willing to pay to avoid pinhole leak cost uncertainty.
Information in this study on the role of risk in home plumbing decisions and indirect costs would be helpful to policymakers and water utility managers as they deal with infrastructure management decisions. Furthermore, the EV cost methodology established in this paper demonstrates an effective use of mean variance modeling under cost uncertainty.Master of Science
18
Martins, Luís Pedro Rosa. "A eficiência nas Carteiras de Markowitz, Variância Mínima e Naïve aplicada ao índice italiano." Master's thesis, Instituto Superior de Economia e Gestão, 2014. http://hdl.handle.net/10400.5/8198.
Full textAbstract:
Mestrado em FinançasO objectivo deste trabalho é verificar as possíveis vantagens da gestão activa face à gestão passiva de uma carteira de acções com a mesma composição do índice de acções italiano FTSE MIB. A gestão passiva baseia-se no método Naïve (1/N), onde a composição da carteira inclui todos os activos do indice com proporções iguais. A gestão activa baseia-se no método de Markowitz que tem como objectivo maximizar a rendibilidade tendo definido um determinado nível de risco, ou minimizar o risco tendo em conta um nível de rendibilidade esperada. Também é utilizado o método da variância mínima que consiste em minimizar o risco independentemente da rendibilidade. Nesta abordagem as proporções a investir em cada activo são revistas mensalmente tendo em conta a evolução do mercado. Para as determinar são consideradas ?janelas? de dados de 1 e 2 anos. O segundo objectivo deste trabalho é determinar o efeito dos custos de intermediação financeira no desempenho da carteira. São utilizados os títulos que compõem o índice FTSE MIB, representativo do mercado italiano desde Janeiro de 2004 até Dezembro de 2013. Os resultados mostram a superioridade da gestão activa face à passiva, sendo a carteira de Markowitz a que obteve melhor desempenho. A carteira de variância mínima obteve resultados inferiores à de Markowtiz, mantendo resultados superiores à Naïve quando se utilizam "janelas" de 2 anos. Os custos de intermediação têm impacto nas carteiras estudadas, não pondo em causa no entanto, o desempenho superior da gestão activa
The purpose of this paper is to determine to possible advantages of an actively managed portfolio over a passively managed portfolio, both of which are composed by the stocks on the FTSE MIB. The passive management approach is based on the Naïve method (1/N), where the portfolio includes all the stocks on the index with the same proportions. Active management is based on the Markowitz model whose objective is to maximize the return give a set risk level or, minimize the risk given an expected return. The minimum variance model is also used, whose goal is to minimize the risk independent of the return. On this approach the weights of each asset in the portfolio are revised monthly, based on the market evolution. In order for these to be determined, "windows" of 1 and 2 years were used. The second objective of this thesis is to determine the effect of the transaction costs on the portfolio' performance. The data used are the assets included on FTSE MIB index, which is representative of the Italian stock market, between January 2004 and December 2013. The results show the superiority of active management in relation to passive, Markowitz's method being the one with the best performance. The minimum variance portfolio showed inferior results compared to Markowitz, while showing a better performance than the Naïve portfolio when using 2 year windows. Although transaction costs impact the portfolios significantly, active management still has superior results.
19
Juutilainen, I. (Ilmari). "Modelling of conditional variance and uncertainty using industrial process data." Doctoral thesis, University of Oulu, 2006. http://urn.fi/urn:isbn:9514282620.
Full textAbstract:
Abstract
This thesis presents methods for modelling conditional variance and uncertainty of prediction at a query point on the basis of industrial process data. The introductory part of the thesis provides an extensive background of the examined methods and a summary of the results. The results are presented in detail in the original papers.
The application presented in the thesis is modelling of the mean and variance of the mechanical properties of steel plates. Both the mean and variance of the mechanical properties depend on many process variables. A method for predicting the probability of rejection in a quali?cation test is presented and implemented in a tool developed for the planning of strength margins. The developed tool has been successfully utilised in the planning of mechanical properties in a steel plate mill.
The methods for modelling the dependence of conditional variance on input variables are reviewed and their suitability for large industrial data sets are examined. In a comparative study, neural network modelling of the mean and dispersion narrowly performed the best.
A method is presented for evaluating the uncertainty of regression-type prediction at a query point on the basis of predicted conditional variance, model variance and the effect of uncertainty about explanatory variables at early process stages. A method for measuring the uncertainty of prediction on the basis of the density of the data around the query point is proposed. The proposed distance measure is utilised in comparing the generalisation ability of models. The generalisation properties of the most important regression learning methods are studied and the results indicate that local methods and quadratic regression have a poor interpolation capability compared with multi-layer perceptron and Gaussian kernel support vector regression.
The possibility of adaptively modelling a time-varying conditional variance function is disclosed. Two methods for adaptive modelling of the variance function are proposed. The background of the developed adaptive variance modelling methods is presented.
20
Jonsson, Robin. "Optimal Linear Combinations of Portfolios Subject to Estimation Risk." Thesis, Mälardalens högskola, Akademin för utbildning, kultur och kommunikation, 2015. http://urn.kb.se/resolve?urn=urn:nbn:se:mdh:diva-28524.
Full textAbstract:
The combination of two or more portfolio rules is theoretically convex in return-risk space, which provides for a new class of portfolio rules that gives purpose to the Mean-Variance framework out-of-sample. The author investigates the performance loss from estimation risk between the unconstrained Mean-Variance portfolio and the out-of-sample Global Minimum Variance portfolio. A new two-fund rule is developed in a specific class of combined rules, between the equally weighted portfolio and a mean-variance portfolio with the covariance matrix being estimated by linear shrinkage. The study shows that this rule performs well out-of-sample when covariance estimation error and bias are balanced. The rule is performing at least as good as its peer group in this class of combined rules.
21
Borrego, Daniel Alexandre Bourdain dos Santos. "Efficient frontier and capital market line on PSI 20." Master's thesis, Instituto Superior de Economia e Gestão, 2015. http://hdl.handle.net/10400.5/10462.
Full textAbstract:
Mestrado em FinançasEste trabalho faz a estimativa da Fronteira Eficiente de Markowitz e da Linha de Mercados de Capital para o mercado bolsista Português, considerando dois diferentes períodos, antes e depois da crise financeira de 2008. Os resultados mostram um forte impacto no GMV portfólio e no portfólio de mercado, com conclusões surpreendentes. A sensibilidade dos resultados perante a dimensão do período é também considerável.
This work estimates the efficient frontier of Markowitz and the capital market line for the Portuguese stock market, considering two different periods, before and after the 2008 financial crisis. The results show the strong impact on the global minimum variance portfolio and the market portfolio, with surprising conclusions. The sensitivity of the results to the period?s length is also considered and remarkable.
22
Lee, Bu Hyoung. "The use of temporally aggregated data on detecting a structural change of a time series process." Diss., Temple University Libraries, 2016. http://cdm16002.contentdm.oclc.org/cdm/ref/collection/p245801coll10/id/375511.
Full textAbstract:
StatisticsPh.D.
A time series process can be influenced by an interruptive event which starts at a certain time point and so a structural break in either mean or variance may occur before and after the event time. However, the traditional statistical tests of two independent samples, such as the t-test for a mean difference and the F-test for a variance difference, cannot be directly used for detecting the structural breaks because it is almost certainly impossible that two random samples exist in a time series. As alternative methods, the likelihood ratio (LR) test for a mean change and the cumulative sum (CUSUM) of squares test for a variance change have been widely employed in literature. Another point of interest is temporal aggregation in a time series. Most published time series data are temporally aggregated from the original observations of a small time unit to the cumulative records of a large time unit. However, it is known that temporal aggregation has substantial effects on process properties because it transforms a high frequency nonaggregate process into a low frequency aggregate process. In this research, we investigate the effects of temporal aggregation on the LR test and the CUSUM test, through the ARIMA model transformation. First, we derive the proper transformation of ARIMA model orders and parameters when a time series is temporally aggregated. For the LR test for a mean change, its test statistic is associated with model parameters and errors. The parameters and errors in the statistic should be changed when an AR(p) process transforms upon the mth order temporal aggregation to an ARMA(P,Q) process. Using the property, we propose a modified LR test when a time series is aggregated. Through Monte Carlo simulations and empirical examples, we show that the aggregation leads the null distribution of the modified LR test statistic being shifted to the left. Hence, the test power increases as the order of aggregation increases. For the CUSUM test for a variance change, we show that two aggregation terms will appear in the test statistic and have negative effects on test results when an ARIMA(p,d,q) process transforms upon the mth order temporal aggregation to an ARIMA(P,d,Q) process. Then, we propose a modified CUSUM test to control the terms which are interpreted as the aggregation effects. Through Monte Carlo simulations and empirical examples, the modified CUSUM test shows better performance and higher test powers to detect a variance change in an aggregated time series than the original CUSUM test.
Temple University--Theses
23
Sundqvist, Daniel. "Hedge Funds in a Traditional Portfolio : A Quantitative Case Study Made on the Swedish Hedge Fund Market." Thesis, Umeå University, Umeå School of Business, 2009. http://urn.kb.se/resolve?urn=urn:nbn:se:umu:diva-23363.
Full textAbstract:
Hedge funds are a debated subject in today’s financial industry. During 2008, despite hedge funds absolute return target, the global hedge fund industry showed a negative performance whilst the Swedish hedge fund market performed relatively well in comparison. Many studies have been made investigating the effect on incorporating hedge funds in a traditional portfolio though none focused separately on the Swedish market. In a global perspective it is quite easy to invest in hedge fund portfolios due to the existence of investable indices. To invest on the Swedish market is a more complex matter. SIX Harcourt HFXS Index is a Swedish hedge fund index representing the Swedish hedge fund market though it is not investable. Hence it would be interesting to see if it is possible to create an investable version of SIX Harcourt HFXS. When creating an investable index, several administrative costs will arise and in order to cover these costs it would be interesting to see whether or not it possible to optimize SIX Harcourt HFXS Index in purpose of achieving a outperformance which could cover any administrative costs for setting up the investable version. Also, since the optimized version must replicate the standard SIX Harcourt HFXS Index it must maintain a certain level of correlation.
This thesis, which is based on a positivistic epistemology, is built upon a quantitative case study where SIX Harcourt HFXS Index is optimized in purpose of achieving an outperformance in terms of the risk-adjusted return. The optimization uses an adjusted mean-variance methodology and is limited to a maintained correlation above 0,9 towards the standard SIX Harcourt HFXS Index. The optimization is created through the use of an Excel application created by Harcourt Investment Consulting.
Also, based on the outperformance by Swedish hedge funds compared to global hedge funds, this study aims to show the effect of incorporating Swedish hedge funds in a traditional portfolio consisting of equities and bonds. This effect is analyzed by the use of several performance-and risk measures.
The study shows that it is possible to optimize SIX Harcourt HFXS Index and produce an outperformance of approximately 1,5% per annum with a maintained correlation above 0,9. It also shows that the effect of incorporating Swedish hedge funds to a traditional portfolio is positive in regards to both risk and return.
24
Vasconcelos, Gabriel Filipe Rodrigues. "Precificação de ativos sob qualquer distribuição de retornos: a derivação e aplicação do Omega Capital Asset Pricing Model (OCAPM)." Universidade Federal de Juiz de Fora (UFJF), 2013. https://repositorio.ufjf.br/jspui/handle/ufjf/2402.
Full textAbstract:
Submitted by Renata Lopes (renatasil82@gmail.com) on 2016-09-02T14:39:05Z
No. of bitstreams: 1
gabrielfiliperodriguesvasconcelos.pdf: 1140696 bytes, checksum: e6bf5056f506b71583057bdeb7231773 (MD5)Approved for entry into archive by Adriana Oliveira (adriana.oliveira@ufjf.edu.br) on 2016-09-06T14:17:29Z (GMT) No. of bitstreams: 1 gabrielfiliperodriguesvasconcelos.pdf: 1140696 bytes, checksum: e6bf5056f506b71583057bdeb7231773 (MD5)
Made available in DSpace on 2016-09-06T14:17:29Z (GMT). No. of bitstreams: 1 gabrielfiliperodriguesvasconcelos.pdf: 1140696 bytes, checksum: e6bf5056f506b71583057bdeb7231773 (MD5) Previous issue date: 2013-11-25
CAPES - Coordenação de Aperfeiçoamento de Pessoal de Nível Superior
Esta dissertação propõe uma nova versão para o CAPM, denominada Ômega CAPM. Este novo modelo trabalha com uma condição suficiente mais simples do que a eficiência do mercado em termos de média e variância. Consequentemente, restrições na utilidade e nas distribuições de retornos não são necessárias, podendo os ativos ter distribuições diferentes entre si. Além disso, todos os momentos das distribuições de retornos são considerados de forma indireta, ou seja, não precisam ser calculados e observados pelos investidores. O OCAPM mantem a forma simples de um único fator do CAPM, bem como seu rigor teórico. Empiricamente o OCAPM mostrou-se superior ao CAPM, não sendo rejeitado em um número maior de vezes, além de obter coeficientes mais coerentes com a teoria. Além disso, foi mostrado que o OCAPM adiciona novas informações sobre os retornos esperados não consideradas pelo CAPM. Entretanto, este trabalho não rejeita nenhum dos dois modelos, ele apenas aponta a superioridade do OCAPM.
This dissertation proposes a new version for the well-known CAPM, the Omega CAPM. This new model has a simpler sufficient condition than the mean-variance efficiency required on the CAPM. Thus, restriction regarding utility functions and returns distributions are not required. Besides that, our model allows assets to have different distribution amongst themselves. The OCAPM considers all superior moments indirectly, i.e. they do not have to be calculated or observed by investors and it maintains the single factor simplicity and the theoretical rigor of the original model. On an empirical point of view, the OCAPM was superior to the CAPM, the model obtained coefficients which ware more consistent with the theory. Moreover, we showed that the OCAPM adds information of the expected returns that are not considered by the CAPM. Nevertheless, we do not reject any of the models, we just show that the OCAPM is superior.
25
Félix, João Pedro Santos Silva. "A gestão de carteira de acções aplicada ao mercado francês." Master's thesis, Instituto Superior de Economia e Gestão, 2011. http://hdl.handle.net/10400.5/10263.
Full textAbstract:
Mestrado em FinançasO principal objectivo deste estudo é avaliar as possíveis vantagens de uma carteira caracterizada por uma gestão activa face a uma carteira caracterizada pela gestão passiva, com base no índice de acções CAC-40. A gestão activa teve por base em 2 modelos: Modelo de Markowitz (carteira óptima) e Modelo de Variância Mínima. Já a gestão passiva é baseada numa carteira composta por todas as acções em proporções iguais (carteira naïve). Na gestão activa as proporções dos activos constituintes de cada carteira foram revistos mensal, trimestral, semestral e anualmente tendo em conta a evolução do mercado. Foram consideradas janelas de dados de 1 e 2 anos para determinar as ponderações a investir em cada activo. O segundo objectivo foi analisar o impacto dos custos de intermediação financeira no desempenho das carteiras calculadas anteriormente. Foram utilizados os títulos que se mantiveram em bolsa durante o período compreendido entre Janeiro de 1997 e Dezembro de 2006, o que corresponde a 31 acções do CAC-40. Depois de realizado este trabalho, concluiu-se que a 1 mês a carteira naïve é a melhor opção de investimento e a 3 meses tanto esta carteira como a carteira de mercado são boas opções de investimento. Já a 6 e 12 meses, parece não existir diferenças entre as carteiras geridas de forma activa e passiva. Os custos de intermediação financeiros têm um impacto negativo nas rendibilidades e rácios de Sharpe das várias carteiras e devem ser considerados quando se pretende investir em acções.
The main goal of this thesis is to evaluate and compare the advantages of an active managed portfolio versus a passive managed portfolio which are composed by CAC-40 stocks. The active management portfolio is based on 2 models: Markowitz Portfolio Theory (optimized portfolio) and Minimum Variance Portfolio. On the other hand the passive management portfolio is composed by all stocks with the same weight (naïve portfolio). In the active management portfolio the weight of the stocks are allocated periodically, monthly, quarterly, semiannually and annually according to the market behavior. This allocation process will be taken in data "windows" of 1 and 2 years to determine the weight of every stock. The second goal of this thesis is to evaluate the impact of management costs in the 3 portfolios performance (optimized, minimum variance and naïve). The stocks sample used in this work consists in all stocks that remain in the French index CAC-40 between January 1 1997 and December 31 2006 which makes a total of 31 stocks. The conclusions show that the passive management is the best option for the monthly and quarterly investment. For the semiannual and annual investment, there's no difference between the 3 portfolios. The management costs have a negative impact in all portfolios returns and Sharpe ratios and they should be considered when investing in stocks, mainly when the manager does many transactions like in minimum variance portfolio
26
Monteiro, Pedro Matoso Coimbra Sacramento. "A Gestão de Carteira de Acções aplicada ao mercado espanhol." Master's thesis, Instituto Superior de Economia e Gestão, 2011. http://hdl.handle.net/10400.5/10211.
Full textAbstract:
Mestrado em FinançasA presente dissertação teve como objetivo principal analisar e comparar a gestão ativa e passiva de um determinado portfolio constituído por ações do Índice Bolsista Espanhol (IBEX 35). Na gestão ativa utilizaram-se dois modelos: uma carteira de ações determinada através do modelo de otimização de Markowitz, e uma carteira de ações resultante do modelo de variância mínima. Na gestão passiva recorreu-se a uma carteira de ações com pesos iguais. O período de tempo considerado para o efeito foi de 10 anos, de 1997 a 2006. A gestão ativa do portfolio, com base nos dois modelos considerados, consistiu na revisão mensal das proporções investidas em cada uma das ações que compuseram a carteira tendo em conta a evolução do mercado. A gestão passiva implicou um investimento de proporções iguais nos ativos constituintes da carteira, proporções essas que se mantiveram inalteradas durante o período em análise e que, portanto, não tiveram em conta a evolução do mercado. Para a determinação das ponderações das carteiras dos três modelos, utilizou-se um ?sistema de janela? de 1 e 2 anos. Um segundo objetivo deste trabalho foi perceber o impacto dos custos de intermediação financeira no desempenho dos portfolios de ações. Com este estudo, chegou-se à conclusão que não compensa optar por uma gestão ativa face a uma gestão passiva, quando a carteira objeto de gestão for composta por títulos cotados no IBEX 35. Para esta conclusão contribuíram os custos de intermediação financeira e os erros cometidos na estimação dos principais inputs das carteiras otimizadas.
The main aim of this report was to analyze and compare the active and passive management of a given portfolio consisting of shares in the Spanish Stock Index (IBEX 35). Two models were considered in the active management: a portfolio of shares determined by the otimization model of Markowitz; and a portfolio based on the minimum variance model. Concerning the passive management, a portfolio of shares with equal weights was used. The time period considered for this purpose was 10 years, from 1997 to 2006. The active management of the portfolio, based on the two models considered, consisted in the monthly review of the proportions invested in each of the shares taking into account market evolution. The passive management involved an investment of equal proportions on the portfolio shares. Those proportions were kept unaltered during the period under review, therefore, not considering the evolution of the market. Also, a "window system" of 1 and 2 years was used to determine the weights of the portfolios of the three models. A second goal of this report was to understand the impact of the commission costs in the performance of the portfolios of shares. With this study, the conclusion reached shows that does not compensate choose active management in the face of a passive management, when the subject of portfolio management is composed of securities quoted on the IBEX 35. Costs like transaction costs, taxes, etc, and the estimation errors with the inputs, cover the potential return of an active management.
27
Sousa, Júnior Gabriel Faria de. "Active versus passive management : the case of BOVESPA." Master's thesis, Instituto Superior de Economia e Gestão, 2016. http://hdl.handle.net/10400.5/11647.
Full textAbstract:
Mestrado em FinançasO principal objetivo deste trabalho é analisar alguns modelos subjacente à gestão de carteiras ativa e passiva e qual seria seu impacto sobre a escolha de uma determinada carteira constituída por ações que estão integrados no índice BOVESPA, maior mercado bolsista do Brasil. A gestão passiva é baseada numa carteira que visa replicar o comportamento do Índice BOVESPA, tendo como base os preços históricos do índice e no método naïve (1/N), no qual composição da carteira inclui todos os ativos do índice com as mesmas proporções. A gestão ativa baseia-se no método de Markowitz, conhecido como modelo de média variância, que visa maximizar o retorno tendo definido um determinado nível de risco, ou minimizar o risco tendo em conta um nível de retorno esperado. Também é usado o método da variância mínima que consiste em minimizar o risco independentemente do retorno. Nesta abordagem as proporções a investir em cada ativo são revistas mensalmente tendo em conta a evolução do mercado. Outro modelo utilizado será um método ajustado da média variância em que serão mantidos os pesos ótimos do primeiro período para as restantes janelas de dados. Para as determinar são consideradas "janelas" de dados de 1 e 2 anos. É considerado um horizonte de investimento de 10 anos, a partir de Janeiro de 2005 a Dezembro de 2014. Com base nos resultados é possível afirmar que a carteira de média variância deve ser a escolhida, uma vez que apresenta os melhores resultados.
The main purpose of this paper is to analyze some models underlying the active and passive portfolio management and what would be its impact on the choice of a portfolio composed by stocks which are integrated in BOVESPA Index, Brazilian biggest stock market. The passive management approach is based on the historical prices of BOVESPA Index which replicates the behavior of the market and on the naïve method (1/N), in which the portfolio includes all the stocks on the index with the same proportions. Active management is based on the Markowitz model, also known as mean variance model, whose objective is to maximize the return give a set risk level or, minimize the risk given an expected return. The minimum variance model is also used, whose goal is to minimize the risk independent of the return. On these approach the weights of each asset in the portfolio are revised monthly, based on the market evolution. Another model used is a Mean Variance adjusted method in which the first period optimal weights will be maintained for the remaining data windows. In order for these to be determined, "windows" of 1 and 2 years were used. We are considering a 10 year investment horizon, from January 2005 to December 2014. Based on the results, we can affirm that the mean variance portfolio should be chosen, as performed better both in terms of returns and, especially, in terms of Sharpe ratio when compared with the other two portfolios.
28
Martins, Inês Andrade. "The efficient frontier and the capital market line : the case of the Swiss stock market index." Master's thesis, Instituto Superior de Economia e Gestão, 2017. http://hdl.handle.net/10400.5/14865.
Full textAbstract:
Mestrado em FinançasA crise dos créditos hipotecários de alto risco, que terá levado os investidores a perderem a sua confiança tanto nos bancos e no mercado como na economia norte-americana, trouxe consequências internacionais em todos os outros índices e mercados. Este projeto tem o objetivo estudar o impacto da crise num dos países mais desenvolvidos da Europa, o caso da Suíça - um país geralmente visto como neutro e quase imune a crises - em particular o estudo visa avaliar as mudanças presentes na bolsa. Assim, primeiramente a análise deste projeto foi dividida em dois períodos temporais de 1 de janeiro de 2001 a 31 de dezembro de 2008 e de 1 de janeiro de 2009 a 31 de dezembro de 2016. Posteriormente, o estudo foca-se em subperíodos mais curtos em torno da crise, com o intuito de analisar mais detalhadamente o seu impacto.
The subprime-crisis, which arguably led investors to lose their confidence in banks, in the market, and in the US economy, had international consequences in all indices and markets. In order to analyze the consequences of a crisis in one of the most developed countries of Europe, this project studies the case of Switzerland ? a country usually perceived as neutral and almost immune to crises - in particular it assesses the changes present in the Stock Market. The analysis is divided into two equal periods of time from January 1, 2001 to December 31, 2008 and from January 1, 2009 to December 31, 2016 firstly, and then the study focuses on shorter sub-periods around the crisis, to analyze the impact in more detail.
info:eu-repo/semantics/publishedVersion
29
Martins, Diego de Carvalho. "Otimização de carteiras regularizadas empregando informações de grupos de ativos para o mercado brasileiro." reponame:Repositório Institucional do FGV, 2015. http://hdl.handle.net/10438/13485.
Full textAbstract:
Submitted by Diego de Carvalho Martins (diego.cmartins@gmail.com) on 2015-03-03T17:37:26Z
No. of bitstreams: 1
Dissertação Diego Martins Vf.pdf: 5717457 bytes, checksum: 7b47eb855a437b18798c842352f083b8 (MD5)Rejected by Renata de Souza Nascimento (renata.souza@fgv.br), reason: Prezado Diego, Encaminharei por e-mail o que deve ser alterado, para que possamos aceita-lo junto à biblioteca. Att Renata on 2015-03-03T21:33:00Z (GMT)
Submitted by Diego de Carvalho Martins (diego.cmartins@gmail.com) on 2015-03-03T22:13:33Z No. of bitstreams: 1 Dissertação Diego Martins Vf.pdf: 5717977 bytes, checksum: 446abdc648b62abddb519b99648b6a3a (MD5)
Approved for entry into archive by Renata de Souza Nascimento (renata.souza@fgv.br) on 2015-03-04T17:27:29Z (GMT) No. of bitstreams: 1 Dissertação Diego Martins Vf.pdf: 5717977 bytes, checksum: 446abdc648b62abddb519b99648b6a3a (MD5)
Made available in DSpace on 2015-03-04T18:27:00Z (GMT). No. of bitstreams: 1 Dissertação Diego Martins Vf.pdf: 5717977 bytes, checksum: 446abdc648b62abddb519b99648b6a3a (MD5) Previous issue date: 2015-02-06
This work aims to analyze the performance of regularized mean-variance portfolios, employing financial assets available in Brazilian markets. In particular, regularized portfolios are obtained by restricting the norm of the portfolio-weights vector, following DeMiguel et al. (2009). Additionally, we analyze the performance of portfolios that take into account information about the group structure of assets with similar characteristics, as proposed by Fernandes, Rocha and Souza (2011). While the covariance matrix employed is the sample one, the expected returns are obtained by reverse optimization of market equilibrium portfolio proposed by Black and Litterman (1992). The empirical analysis out of the sample for the period between January 2010 and October 2014 indicates that, in line with previous studies, penalizing the norm of weights can (depending on the chosen standard and intensity of the restriction) lead to portfolios having best performances in terms of return and Sharpe, when compared to portfolios obtained via Markowitz models. In addition, the inclusion of group information can also be beneficial in order to calculate optimal portfolios, when compared to both Markowitz portfolios or without using group information.
Este trabalho se dedica a analisar o desempenho de modelos de otimização de carteiras regularizadas, empregando ativos financeiros do mercado brasileiro. Em particular, regularizamos as carteiras através do uso de restrições sobre a norma dos pesos dos ativos, assim como DeMiguel et al. (2009). Adicionalmente, também analisamos o desempenho de carteiras que levam em consideração informações sobre a estrutura de grupos de ativos com características semelhantes, conforme proposto por Fernandes, Rocha e Souza (2011). Enquanto a matriz de covariância empregada nas análises é a estimada através dos dados amostrais, os retornos esperados são obtidos através da otimização reversa da carteira de equilíbrio de mercado proposta por Black e Litterman (1992). A análise empírica fora da amostra para o período entre janeiro de 2010 e outubro de 2014 sinaliza-nos que, em linha com estudos anteriores, a penalização das normas dos pesos pode levar (dependendo da norma escolhida e da intensidade da restrição) a melhores performances em termos de Sharpe e retorno médio, em relação a carteiras obtidas via o modelo tradicional de Markowitz. Além disso, a inclusão de informações sobre os grupos de ativos também pode trazer benefícios ao cálculo de portfolios ótimos, tanto em relação aos métodos tradicionais quanto em relação aos casos sem uso da estrutura de grupos.
30
Lehmann, Rüdiger. "On the formulation of the alternative hypothesis for geodetic outlier detection." Hochschule für Technik und Wirtschaft Dresden, 2014. http://nbn-resolving.de/urn:nbn:de:bsz:520-qucosa-148629.
Full textAbstract:
The concept of outlier detection by statistical hypothesis testing in geodesy is briefly reviewed. The performance of such tests can only be measured or optimized with respect to a proper alternative hypothesis. Firstly, we discuss the important question whether gross errors should be treated as non-random quantities or as random variables. In the first case, the alternative hypothesis must be based on the common mean shift model, while in the second case, the variance inflation model is appropriate. Secondly, we review possible formulations of alternative hypotheses (inherent, deterministic, slippage, mixture) and discuss their implications. As measures of optimality of an outlier detection, we propose the premium and protection, which are briefly reviewed. Finally, we work out a practical example: the fit of a straight line. It demonstrates the impact of the choice of an alternative hypothesis for outlier detectionDas Konzept der Ausreißererkennung durch statistische Hypothesentests in der Geodäsie wird kurz überblickt. Die Leistungsfähigkeit solch eines Tests kann nur gemessen oder optimiert werden in Bezug auf eine geeignete Alternativhypothese. Als erstes diskutieren wir die wichtige Frage, ob grobe Fehler als nicht-zufällige oder zufällige Größen behandelt werden sollten. Im ersten Fall muss die Alternativhypothese auf das Mean-Shift-Modell gegründet werden, im zweiten Fall ist das Variance-Inflation-Modell passend. Als zweites stellen wir mögliche Formulierungen von Alternativhypothesen zusammen und diskutieren ihre Implikationen. Als Optimalitätsmaß schlagen wir das Premium-Protection-Maß vor, welches kurz überblickt wird. Schließlich arbeiten wir ein praktisches Beispiel aus: Die Anpassung einer ausgleichenden Gerade. Es zeigt die Auswirkung der Wahl einer Alternativhypothese für die Ausreißererkennung
31
Lehmann, Rüdiger. "On the formulation of the alternative hypothesis for geodetic outlier detection." Springer Verlag, 2013. https://htw-dresden.qucosa.de/id/qucosa%3A23274.
Full textAbstract:
The concept of outlier detection by statistical hypothesis testing in geodesy is briefly reviewed. The performance of such tests can only be measured or optimized with respect to a proper alternative hypothesis. Firstly, we discuss the important question whether gross errors should be treated as non-random quantities or as random variables. In the first case, the alternative hypothesis must be based on the common mean shift model, while in the second case, the variance inflation model is appropriate. Secondly, we review possible formulations of alternative hypotheses (inherent, deterministic, slippage, mixture) and discuss their implications. As measures of optimality of an outlier detection, we propose the premium and protection, which are briefly reviewed. Finally, we work out a practical example: the fit of a straight line. It demonstrates the impact of the choice of an alternative hypothesis for outlier detection.Das Konzept der Ausreißererkennung durch statistische Hypothesentests in der Geodäsie wird kurz überblickt. Die Leistungsfähigkeit solch eines Tests kann nur gemessen oder optimiert werden in Bezug auf eine geeignete Alternativhypothese. Als erstes diskutieren wir die wichtige Frage, ob grobe Fehler als nicht-zufällige oder zufällige Größen behandelt werden sollten. Im ersten Fall muss die Alternativhypothese auf das Mean-Shift-Modell gegründet werden, im zweiten Fall ist das Variance-Inflation-Modell passend. Als zweites stellen wir mögliche Formulierungen von Alternativhypothesen zusammen und diskutieren ihre Implikationen. Als Optimalitätsmaß schlagen wir das Premium-Protection-Maß vor, welches kurz überblickt wird. Schließlich arbeiten wir ein praktisches Beispiel aus: Die Anpassung einer ausgleichenden Gerade. Es zeigt die Auswirkung der Wahl einer Alternativhypothese für die Ausreißererkennung.
32
Tergny, Guillaume. "Allocation dynamique de portefeuille avec profil de gain asymétrique : risk management, incitations financières et benchmarking." Phd thesis, Conservatoire national des arts et metiers - CNAM, 2011. http://tel.archives-ouvertes.fr/tel-00629049.
Full textAbstract:
Les gérants de portefeuille pour compte de tiers sont souvent jugés par leur performance relative à celle d'un portefeuille benchmark. A ce titre, ils sont amenés très fréquemment à utiliser des modèles internes de "risk management" pour contrôler le risque de sous-performer le benchmark. Par ailleurs, ils sont de plus en plus nombreux à adopter une politique de rémunération incitative, en percevant une commission de sur-performance par rapport au benchmark. En effet, cette composante variable de leur rémunération leur permet d'augmenter leur revenu en cas de sur-performance sans contrepartie en cas de sous-performance. Or de telles pratiques ont fait récemment l'objet de nombreuses polémiques : la période récente de crise financière mondiale a fait apparaître certaines carences de plusieurs acteurs financiers en terme de contrôle de risque ainsi que des niveaux de prise de risque et de rémunération jugés excessifs. Cependant, l'étude des implications de ces pratiques reste un thème encore relativement peu exploré dans le cadre de la théorie classique des choix dynamiques de portefeuille en temps continu. Cette thèse analyse, dans ce cadre théorique, les implications de ces pratiques de "benchmarking" sur le comportement d'investissement de l'asset manager. La première partie étudie les propriétés de la stratégie dynamique optimale pour l'asset manager concerné par l'écart entre la rentabilité de son portefeuille et celle d'un benchmark fixe ou stochastique (sur ou sous-performance). Nous considérons plusieurs types d'asset managers, caractérisés par différentes fonctions d'utilité et qui sont soumis à différentes contraintes de risque de sous-performance. Nous montrons en particulier quel est le lien entre les problèmes d'investissement avec prise en compte de l'aversion à la sous-performance et avec contrainte explicite de "risk management". Dans la seconde partie, on s'intéresse à l'asset manager bénéficiant d'une rémunération incitative (frais de gestion variables, bonus de sur-performance ou commission sur encours additionnelle). On étudie, selon la forme de ses incitations financières et son degré d'aversion à la sous-performance, comment sa stratégie d'investissement s'écarte de celle de l'investisseur (ou celle de l'asset manager sans rémunération incitative). Nous montrons que le changement de comportement de l'asset manager peut se traduire soit par une réduction du risque pris par rapport à la stratégie sans incitation financière soit au contraire par une augmentation de celui-ci. Finalement, nous montrons en quoi la présence de contraintes de risque de sous-performance, imposées au gérant ou traduisant son aversion à la sous-performance, peut être bénéfique à l'investisseur donnant mandat de gestion financière.
33
Kao, Yu-Zhe, and 高裕哲. "Portfolio Selection Based on C-Vine Pair-Copula Constructionsand Markowitz Mean-Variance Model." Thesis, 2012. http://ndltd.ncl.edu.tw/handle/75874115634150029510.
Full textAbstract:
碩士國立中央大學
統計研究所
100
How to allocate his/her wealth among di erent investment tools more e ciently for individual investor is an important issue especially in the volatile economic situation. The stock index returns exhibit complex patterns of tail dependence which can be captured by copula models. We apply pair-copula constructions for reducing the load of estimation. Under Markowitz''s mean-variance framework, we construct two portfolios based on two di erent return models: the multivariate normal distribution and the C-vine pair-copula decomposed model. By examining four Taiwan stock indices from 2002 to 2011, we nd that C-vine provides a better performance.
34
Kao, Shih-Tung, and 高士騰. "Markowitz Mean-Variance Model在指數型基金建構上之應用." Thesis, 1998. http://ndltd.ncl.edu.tw/handle/52627356035897343849.
Full text
35
Seepi, Thoriso P. J. "Methods of optimizing investment portfolios." 2013. http://hdl.handle.net/11394/3883.
Full textAbstract:
>Magister Scientiae - MScIn this thesis, we discuss methods for optimising the expected rate of return of a portfolio with minimal risk. As part of the work we look at the Modern Portfolio Theory which tries to maximise the portfolio's expected rate of return for a cer- tain amount of risk. We also use Quadratic Programming to optimise portfolios. Generally it is recognised that portfolios with a high expected return, carry higher risk. The Modern Portfolio Theory assists when choosing portfolios with the lowest possible risk. There is a nite number of assets in a portfolio and we therefore want to allocate them in such a way that we're able to optimise the expected rate of return with minimal risk. We also use the Markowian approach to allocate these assets. The Capital Asset Pricing Model is also used, which will help us to reduce our e cient portfolio to a single portfolio. Furthermore we use the Black-Litterman model to try and optimise our portfolio with a view to understanding the current market conditions, as well as considering how the market will perform in the future. An additional tool we'll use is Value at Risk. This enables us to manage the market risk. To this end, we follow the three basic approaches from Jorion [Value at Risk. USA: McGraw-Hills, 2001]. The Value at Risk tool has become essential in calcu- lating a portfolio's risk over the last decade. It works by monitoring algorithms in order to nd the worst possible scenarios within the portfolio. We perform several numerical experiments in MATLAB and Microsoft Excel and these are presented in the thesis with the relevant descriptions.
36
Chen, Yu-Chen, and 陳佑賑. "A Passive Portfolio Model- Mean Variance and Semi-variance." Thesis, 2014. http://ndltd.ncl.edu.tw/handle/33375689823555964298.
Full textAbstract:
碩士靜宜大學
資訊碩士在職專班
102
Since researches have indicated that actively managed portfolios fail to beat the market, index investing, such as index funds and ETFs, which aim to track the market performance, and require few efforts on stock-picking and market-timing is more and more popular among the investors. Index investing, which aims to track the benchmark index return, has been one of the most popular financial tools and the research topics among the academic and the practitioners. However, there have been few studies on the constructing an effective index portfolio. The problems for existing models are tremendous monitoring expenses as well as the downside risk issues. This study aims to address these two issues. We propose a new model that takes account of downside risk and the number of stocks. Huge stocks historical data are stored in a database and given meaning using our model. Stocks that possess the feature of effectiveness are chosen and then given weights based on the optimum theory. The results show that our proposed model provides a new way of constructing an index portfolio, which provides implications for both the academic and the practitioners.
37
Chen, Yi-Ling, and 陳怡伶. "The Portfolio Performance of Mean Lower Partial Moment Model-In Comparison with Mean Variance Model." Thesis, 2002. http://ndltd.ncl.edu.tw/handle/60339629291376271336.
Full textAbstract:
碩士中原大學
國際貿易研究所
90
Abstract In the traditional portfolio theory, the investment risk is measured by the variance. But based on this method, an increase and a decrease in prices of financial asset are treated the same. However, the risk that investor really want to avoid is that the price of assets decrease. Due to the above reason, Bawa and Lindenberg (1977) and Fishburn (1977) develop a theory to evaluate the downside risk named “Mean Lower-Partial-Moment” (MLPM) which is derived from the concept of the Lower Partial Moment. (LPM) The main subject of this paper is to find out the optimal portfolio by the comparison and analysis of the portfolio risk measured by LPM and the portfolio risk measured by variance. In these several years, the financial markets become more diversified. One of the popular financial assets is stock market. In this paper, we will analyze the value at risk (VaR), returns, Sharpe index, Treynor index, and R/SV index of the two kinds of portfolios by simulating different historic estimation periods, different holding periods and different market timing. And the portfolios will consist of the eight sub-categories of Taiwan’s stock market index. According to the results from this study, generally, the performance of MLPM model is better than mean-variance (MV) model, no matter what kind of different historic periods, different holding periods, or different market timing. Because MLPM only considers the lost on value of the portfolio as a risk, therefore, it is reasonable for investors to select portfolio according to the theory of MLPM if they invest in Taiwan’s stock market.
38
KAO, CHEN-SHEN, and 高震紳. "Selection of Futures Strategies in Mean-Variance Portfolio Model." Thesis, 2019. http://ndltd.ncl.edu.tw/handle/t2t4a9.
Full textAbstract:
碩士世新大學
財務金融學研究所(含碩專班)
107
This paper studies the 350 Asian equity index futures trading strategies for six years from January 2013 to December 2018 as portfolio underlying asset, in different number of trading strategies using the "Mean-Variance Portfolio Model" proposed by Markowitz (1952), such as Equally Weighted Portfolio, Minimum Risk Portfolio and Tangency Portfolio to allocate trading strategies. By comparing the performance of the nine sets of optimal portfolios derived from three different number of trading strategies, to find out the best way for futures proprietary merchant to allocate trading strategies. The empirical results show that the increase in the number of trading strategies can not effectively improve the return of the portfolio but can effectively reduce the risk of the portfolio. Therefore, futures proprietary merchant should increase the types of trading commodities and the number of trading strategies in order to improve the diversification and performance of the portfolio. Equally weighted portfolio can get higher returns, but at the same time must bear greater risks. If the futures proprietary merchant is willing to take more risks under the premise of pursuing the rate of return, the equally weighted portfolio is the best portfolio. The tangecy portfolio can get higher returns under the same risk. The tangecy portfolio is the best portfolio if the futures proprietary merchant has a certain risk tolerance.
39
Yeu, Liang-I., and 禹良怡. "Mean-Variance-Skewness Portfolio Model in Taiwan''s Stock Market." Thesis, 1997. http://ndltd.ncl.edu.tw/handle/75924329279051347096.
Full text
40
Wei, Miao-Yun, and 魏妙芸. "Visual Representation of Mean-Variance-Skewness Model- An Empirical Study." Thesis, 2019. http://ndltd.ncl.edu.tw/cgi-bin/gs32/gsweb.cgi/login?o=dnclcdr&s=id=%22107NCHU5230023%22.&searchmode=basic.
Full textAbstract:
碩士國立中興大學
科技管理研究所
107
The use of a mean-variance-skewness model in portfolio performance has increasingly been the object of studies on mathematical guidance in recent years. However, there are few specific methods in empirical studies. The purpose of this paper focuses on the practical research and visualization results in the mean-variance-skewness model. This study demonstrates that there will be portfolio options conditional on mean-variance-skewness than conditional on mean-variance. The paper studies a mean-variance-skewness model in the Standard & Poor’s 500(S&P 500) Stock Index log-return. To begin with, the study generates random asset weight combinations. Then, calculating weights to estimate the proportion of each company stock in the S&P 500 Index. In addition, computing means, standard deviations, and skewness of portfolio return according to weights. Last but not least, the study visualizes data generated by the 3-dimension chart. Furthermore, this research visualizes to reveal projections results. The study examine the influence on mean-variance by means of comparing different points. According to the weights assets allocations indicate that there is more risk diversification based on the mean-variance-skewness model than based on the mean-variance model. These results have implications for empirical research of mean-variance-skewness model and data visualization.
41
LIN, YUN-HSUAN, and 林昀萱. "The Comparison of Portfolio Curve for Single Index Model and Mean Variance Model." Thesis, 2017. http://ndltd.ncl.edu.tw/handle/f7ujx3.
Full textAbstract:
碩士國立臺北大學
統計學系
105
This thesis is to study the main reasons for the change of portfolio curve constructed by Single-index model and Mean-variance model. The differences between Single-index model and Mean-variance model in the calculation of covariance will lead to different minimum variance points of the portfolio curves. We discuss at what circumstances that the portfolio curve constructed by Single-index model will be close to the portfolio curve constructed by Mean-variance model. In this study, monthly stock returns from three companies were used as examples to calculate the return rate and standard deviation of the individual portfolio and the standard deviation for Single-index and Mean-variance models to draw the portfolio curves. The calculated portfolio curve shall satisfy the target min: Var( ) and the restricted E( )= 、 =1.We also do the sensitivity analyses for parameter changes to see how the portfolio curves for Single-index and Mean-variance models move.
42
Feng, Su-Min, and 馮素敏. "An Application of Mean-Variance Model and Black-Litterman Model on Asset Allocation." Thesis, 2007. http://ndltd.ncl.edu.tw/handle/6cndjr.
Full textAbstract:
碩士銘傳大學
國際企業學系碩士在職專班
95
Due to the rapid change of the financial market; there are more and more financial tools. How to control and manage the risk, how to get higher return on investment, these discussions have already become a big issue for everyone today. For long decades, investment experts and scholars unanimously agree the most important factors are the "asset allocation" of the investment portfolio and risk. The motivation of this study for whether to expect a reasonable estimate based on the expectations of investment returns, variance, and covariance. Through this study provides a more objective expected rate of return, and improves the investment portfolio and the effectiveness of the overall remuneration. This study describes Mean-Variance Model and Black-Litterman Model on asset allocation. This study was focus on the disadvantage of Mean-Variance Model’s differentiation, and the practical application of the Black-Litterman Model. The application of the Black-Litterman model, there were two groups named invest group one and two. These two groups had different portfolios according to different investors, confidence level, and holding time. In this study, researcher used the five Taiwanese major categories of domestic stock index to be the data, and data time period was from January, 2002 to December, 2006. The empirical results obtained are as follow: 1. In terms of the comparison between Mean-Variance Model and Black-Litterman Model, the later gain more stable performance than the former. 2. With regard to the setup of the level of confidence, the performance is better at more conservative（low） level of confidence. 3. As far as the holding period of the portfolio is cocerned, the performance of 2 months is better than the performance of 1 month and 3 months.
43
Géczy, Christopher C. "Some generalized tests of mean-variance efficiency and multifactor model performance /." 1999. http://gateway.proquest.com/openurl?url_ver=Z39.88-2004&res_dat=xri:pqdiss&rft_val_fmt=info:ofi/fmt:kev:mtx:dissertation&rft_dat=xri:pqdiss:9943066.
Full text
44
Donnelly, Catherine. "Convex duality in constrained mean-variance portfolio optimization under a regime-switching model." Thesis, 2008. http://hdl.handle.net/10012/4004.
Full textAbstract:
In this thesis, we solve a mean-variance portfolio optimization problem with portfolio constraints under a regime-switching model. Specifically, we seek a portfolio process which minimizes the variance of the terminal wealth, subject to a terminal wealth constraint and convex portfolio constraints. The regime-switching is modeled using a finite state space, continuous-time Markov chain and the market parameters are allowed to be random processes. The solution to this problem is of interest to investors in financial markets, such as pension funds, insurance companies and individuals.
We establish the existence and characterization of the solution to the given problem using a convex duality method. We encode the constraints on the given problem as static penalty functions in order to derive the primal problem. Next, we synthesize the dual problem from the primal problem using convex conjugate functions. We show that the solution to the dual problem exists. From the construction of the dual problem, we find a set of necessary and sufficient conditions for the primal and dual problems to each have a solution. Using these conditions, we can show the existence of the solution to the given problem and characterize it in terms of the market parameters and the solution to the dual problem.
The results of the thesis lay the foundation to find an actual solution to the given problem, by looking at specific examples. If we can find the solution to the dual problem for a specific example, then, using the characterization of the solution to the given problem, we may be able to find the actual solution to the specific example.
In order to use the convex duality method, we have to prove a martingale representation theorem for processes which are locally square-integrable martingales with respect to the filtration generated by a Brownian motion and a finite state space, continuous-time Markov chain. This result may be of interest in problems involving regime-switching models which require a martingale representation theorem.
45
Huang, Hsien Fu, and 黃顯富. "An Examination of A VaR-Constrained Mean-Variance Model by Applying Simulation Method." Thesis, 2002. http://ndltd.ncl.edu.tw/handle/62744560569727917908.
Full textAbstract:
碩士國立雲林科技大學
財務金融系
90
Recently it is emphasized by a academic and business cycles to estimate market risk and evaluate portfolio decision by applying value at risk(VaR) method. However, the challenge for the VaR specific applications is that we must statistically deal with the tail existence problem of return or price distribution. The main purpose of this study is to examine Alexander and Baptista(2001) model, which is a VaR-Constrained Mean-Variance model for portfolio decision, by applying simulation method in order to induce some limit conditions when it is used, specially under consideration of non-normal return distribution. Empirical results show that if a normal return distribution is considered then we can accurately estimate VaR value no matter what sample is large or small, implying that Alexander and Baptista model can be accurately used for portfolio decision by investors. However, if a non-normal return is considered, a larger number of sample must be required. To estimated accurately VaR value, freedom degree of Sample must be larger when the level of confidence is smaller(or probability level is larger).
46
Xie, Shuichang. "A REGIME SWITCHING MULTIFACTOR MODEL FOR THE STOCK AND BOND RETURNS." 2012. http://hdl.handle.net/10222/15424.
Full textAbstract:
In contrast to the studies of constant or time-varying correlations between stock and bond returns, in this thesis, I explore the regime-dependent correlations between stock and bond returns. Specifically, I start with a comprehensive asset pricing model, i.e., a regime-switching multifactor model, and then investigate the regime-dependent correlations between stock and bond returns. Based on the BIC, the number of regimes in the regime-switching model is optimally determined to be two. For the two regimes, the directions of the regime-dependent correlations appear to be significantly different. Also, the magnitudes of the regime-dependent correlations are substantially larger in these two regimes than the correlation in the single regime.
With my findings in the regime-dependent correlations, I then examine the performance of portfolio strategies. Throughout the in-sample and out-of-sample tests, I find that the two portfolio strategies, regime inferred portfolio and probability implied portfolio, can outperform the benchmark, S&P 500.
47
"Sensitivity analysis of the benchmarked mean variance model and empirical study of calendar effect." 2012. http://library.cuhk.edu.hk/record=b5549186.
Full textAbstract:
本論文的第一部分介紹一個帶基準約束的連續時間均值方差資產組合選擇問題。這個非凸優化問題將採用拉格朗日乘數來解決，並求出相應的答案及其存在準則。為了進行敏感性分析，相應的最佳投資組合及其一些導數將被明確求出。在第二部分中，我們採用標準的線性回歸技巧來檢定三個日曆效應是否在統計上顯著。其中最顯著的效應是四月及十二月的回報比全年平均為高。The first part of this thesis presents a benchmarked continuous-time mean-variance portfolio selection problem. The method of Lagrange multipliers is employed to solve this non-convex optimization problem, and the criterion for the existence of solution is derived accordingly. The corresponding efficient portfolio and its derivatives are explicitly derived for sensitivity analysis. The second part we employ the standard linear regression technique to test whether three calendar effects are statistically significant. The most significant effect is that the returns in April and December are higher than the average in the whole year.
Detailed summary in vernacular field only.
Yip, Fai Lung.
Thesis (M.Phil.)--Chinese University of Hong Kong, 2012.
Includes bibliographical references (leaves 49-53).
Abstracts also in Chinese.
Chapter 1 --- Introduction --- p.1
Chapter 2 --- Mean Variance --- p.5
Chapter 2.1 --- Model --- p.5
Chapter 2.2 --- Portfolio Selection and the Solution --- p.9
Chapter 2.3 --- Existence and Uniqueness of Lagrange Multipliers --- p.21
Chapter 2.4 --- Optimal Trading Strategy --- p.29
Chapter 2.5 --- Sensitivity Analysis --- p.34
Chapter 3 --- Calendar Effect --- p.39
Chapter 3.1 --- Data and Method --- p.39
Chapter 3.2 --- Results --- p.42
Chapter 4 --- Appendix --- p.47
Chapter 4.1 --- Procedures Used to Obtain the Results in Chapter 4 --- p.47
Bibliography --- p.49
48
Tsai, Chih-Ying, and 蔡知螢. "Predicting VT Mean and Variance Based on Parallel Measurement and Model-Based Random Forest." Thesis, 2015. http://ndltd.ncl.edu.tw/handle/06907737244856379454.
Full textAbstract:
碩士國立交通大學
電子工程學系 電子研究所
104
To measure the variation of device Vt requires long test for conventional WAT test structures. This thesis presents a model-fitting framework that can efficiently and effectively obtain the mean and variance of Vt for a large number of DUTs. The proposed framework applies the model-based random forest as its core model-fitting technique to learn a model that can predict the mean and variance of Vt based on only the combined Id measured from parallel connected DUTs. The experimental results based on the SPICE simulation of a UMC 28nm technology demonstrate that the proposed model-fitting framework can achieve a more than 99% R-squared for predicting both of Vt mean and variance. Compared to conventional WAT test structures using binary search, our proposed framework can achieve 42.9X speedup in turn of the required iterations of Id measurement per DUT.
49
Wu, chia-lu, and 吳嘉茹. "Portfolio Performances of Mean-Variance Model and Lower Partial Moment Model — A Study of Far East Country." Thesis, 2004. http://ndltd.ncl.edu.tw/handle/86898640229266844091.
Full textAbstract:
碩士樹德科技大學
金融保險研究所
92
In the traditional portfolio theory（Mean-Variance model, MV）, the investment risk is measured by the variance. Based on this method, an increase and a decrease in prices of financial assets are treated the same. However, the risk that investors really want to avoid is the so-called downside risk. Therefore, Bawa（1975）and Fishburn（1977）introduce the Lower Partial Moment (LPM) approach to measure downside risk, and this approach is believed to obey the investors'' real feeling. The main subject of this paper is to investigate whether risk estimated by the Lower Partial Moment approach on asset allocation decisions is superior to that estimated by the traditional variance approach. This study uses historical monthly stock price index of MSCI Far East Index coverage countrys (ex China) over the time-period from 1987:12 to 2002:12. This study uses employ the Classical Bootstrap technique to generate ex-ante data and to estimate the ex-ante return distributions of MV and LPM portfolios. Thereafter, we also investigate the portfolio performances of these two approaches by using historical data and test whether there is an obvious difference between the portfolio performances of these two approaches. No matter we consider exchange rate and short sale or not, the result of this study shows that the return distributions of MV and LPM portfolios are similar and the null hypothesis of the same performance of MV and LPM portfolios could not be rejected. It implies that there is no significant difference between the performances of these two approaches. Although the popular belief is that the risk measured by the LPM approach could better describe the investors’ real feeling, this approach is much more complicated in calculating the risk and is lacking in superiority in performance of asset allocation. Therefore, we would recommend that the investors co uld simply employ the MV approach in their asset allocation decisions.
50
Huni, Sally. "Portfolio optimisation using the Johannesburg Securities Exchange tradable indices : an application of the Markowitz's mean-variance framework." Diss., 2018. http://hdl.handle.net/10500/25289.
Full textAbstract:
The aim of this study was to assess the feasibility of constructing optimal portfolios using the Johannesburg Securities Exchange tradable sector indices. Three indices were employed, namely Financials, Industrials and Resources and were benchmarked against the JSE All Share Index for the period January 2007 to December 2017. The period was split into three, namely before the 2007-2009 global financial crises, during the global financial crises and after the global financial crises. The Markowitz’s mean-variance optimisation framework was employed for the construction of global mean variance portfolios. The results of this study showed that it was feasible to construct mean-variance efficient portfolios using tradable sector indices from the Johannesburg Securities Exchange. It was also established that, on the other hand, global mean variance portfolios constructed in this study, outperformed the benchmark index in a bullish market in terms of the risk-return combinations. On the other hand, in bear markets, the global mean variance portfolios were observed to perform better than the benchmark index in terms of risk. Further, the results of the study showed that portfolios constructed from the three tradable indices yielded diversification benefits despite their positive correlation with each other. The results of the study corroborate the findings by other scholars that the mean-variance optimisation framework is effective in the construction of optimal portfolios using the Johannesburg Securities Exchange. The study also demonstrated that Markowitz’s mean-variance framework could be applied by investors faced with a plethora of investment choices to construct efficient portfolios utilising the Johannesburg Securities Exchange tradable sector indices to achieve returns commensurate with their risk preferences.Business Management
M. Com. (Business Management)