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Dissertations / Theses on the topic 'Mean-variance Analysis'

Author: Grafiati

Published: 4 June 2021

Last updated: 25 July 2025

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1

Skanke, Björn. "Analysis of Pension Strategies." Thesis, KTH, Matematisk statistik, 2014. http://urn.kb.se/resolve?urn=urn:nbn:se:kth:diva-143342.

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In a time where people tend to retire earlier and live longer in combination with an augmented personal responsibility of allocating or at least choosing adequately composed pension funds, the importance of a deeper understanding of long term investment strategies is inevitably accentuated. On the background of discrepancies in suggested pension fund strategies by influential fund providers, professional advisers and previous literature, this thesis aims at addressing foremost one particular research question: How should an investor optimally allocate between risky and risk-less assets in a pe

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2

Nyqvist, Vidar, and Mario Milic. "Bitcoins roll i en Investeringsportfölj : A Mean-Variance Analysis of the Diversification Benefits." Thesis, Linnéuniversitetet, Institutionen för ekonomistyrning och logistik (ELO), 2021. http://urn.kb.se/resolve?urn=urn:nbn:se:lnu:diva-104722.

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The aim of this thesis is to explore the role of bitcoin in an investment portfolio. The paper examines the nature of bitcoin and additionally how bitcoin compares to gold when included in an investment portfolio. This report uses the historical value of bitcoin and investigates with a Mean-Variance model how the risk-adjusted return of an optimized portfolio is affected when bitcoin is a constituent. By comparing Sharpe Ratios from the optimized portfolios, a conclusion can be drawn as to whether bitcoin affects the maximum Sharpe ratio or the global minimum variance point. Our study suggests

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3

Liu, Qinyan. "Optimal coordinate sensor placements for estimating mean and variance components of variation sources." Thesis, Texas A&M University, 2003. http://hdl.handle.net/1969.1/2238.

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In-process Optical Coordinate Measuring Machine (OCMM) offers the potential of diagnosing in a timely manner variation sources that are responsible for product quality defects. Such a sensor system can help manufacturers improve product quality and reduce process downtime. Effective use of sensory data in diagnosing variation sources depends on the optimal design of a sensor system, which is often known as the problem of sensor placements. This thesis addresses coordinate sensor placement in diagnosing dimensional variation sources in assembly processes. Sensitivity indices of detecting proce

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4

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.

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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 indi

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Adiga, Nagesh. "Contributions to variable selection for mean modeling and variance modeling in computer experiments." Diss., Georgia Institute of Technology, 2012. http://hdl.handle.net/1853/43592.

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This thesis consists of two parts. The first part reviews a Variable Search, a variable selection procedure for mean modeling. The second part deals with variance modeling for robust parameter design in computer experiments. In the first chapter of my thesis, Variable Search (VS) technique developed by Shainin (1988) is reviewed. VS has received quite a bit of attention from experimenters in industry. It uses the experimenters' knowledge about the process, in terms of good and bad settings and their importance. In this technique, a few experiments are conducted first at the best and worst s

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6

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.

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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 fixe

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7

Ansell, Seth. "A study of ellipsoidal variance as a function of mean CIELAB values in a textile data set /." Online version of thesis, 1995. http://hdl.handle.net/1850/12232.

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8

Cho, Gyo-Young. "Multivariate control charts for the mean vector and variance-covariance matrix with variable sampling intervals." Diss., Virginia Tech, 1991. http://hdl.handle.net/10919/37242.

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9

Boehlandt, Florian. "The applicability of mean-variance analysis and beta-factors in the risk assessment of hedge funds." Thesis, Stellenbosch : Stellenbosch University, 2007. http://hdl.handle.net/10019.1/19812.

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Thesis (MBA) -- Stellenbosch University, 2007.<br>ENGLISH ABSTRACT: Hedge funds are amongst the fastest growing types of investment funds, both in tenns of worldwide assets under management, as well as the number of private and institutional investors. More recently, analysts and investors focussed their attention on accurately estimating the inherent risks of hedge funds (e.g, Brooks & Kat, 2001; Fung & Hsieh, 2004). Past research suggests that the traditional approach of assessing the risks of investment funds through mean-variance analysis can lead to severe underestimation of left-han

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10

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.

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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 re

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11

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.

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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

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Jahng, Seungmin. "Analysis of affective instability on ecological momentary assessments data successive difference, variance decomposition, and mean comparison via multilevel modeling /." Diss., Columbia, Mo. : University of Missouri-Columbia, 2007. http://hdl.handle.net/10355/5077.

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Thesis (M.A.)--University of Missouri-Columbia, 2007.<br>The entire dissertation/thesis text is included in the research.pdf file; the official abstract appears in the short.pdf file (which also appears in the research.pdf); a non-technical general description, or public abstract, appears in the public.pdf file. Title from title screen of research.pdf file (viewed on May 11, 2009) Includes bibliographical references.

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Sari, Martina <1996&gt. "ESG integration and financial performance. Investment analysis of ESG portfolios compared with traditional ones utilising equally weighted and mean-variance methods." Master's Degree Thesis, Università Ca' Foscari Venezia, 2021. http://hdl.handle.net/10579/19033.

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Nowadays, Environmental, Social, and Governance (ESG) factors have gained significant attention from investors, consequently playing a key role in investment decision-making. Several studies have shown the importance of ESG factors, documenting that portfolio management strategies that integrate ESG criteria perform better compared to other traditional approaches based solely on considering financial value. Since ESG integration is a relatively new concept that is still undergoing development by legislators and financial services companies, this study aims to present the main elements that d

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14

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.

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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

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15

Lindstedt, Gustaf. "Simulation & Analysis of Peer-to-Peer Network Quality for Measurement Scheduling : Online algorithms, Application for Network QoS Monitoring." Thesis, KTH, Skolan för elektroteknik och datavetenskap (EECS), 2019. http://urn.kb.se/resolve?urn=urn:nbn:se:kth:diva-240959.

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With the growing dependency on Internet connectivity in our daily lives, monitoring connection quality to ensure a good quality of service has become increasingly important. The CheesePi project aims to build a platform for monitoring connection quality from the home user’s perspective. And with peer to peer technologies becoming more prevalent the need for quality of service monitoring between peers become more important. This thesis analyses the problem of scheduling connection quality measurements between peers in a network. A method is presented for scheduling measurements which make use o

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16

Jesus, Marta Sofia da Paz Almeida Simões de. "Análise média-variância aplicada a um plano de pensões de benefício definido." Master's thesis, Instituto Superior de Economia e Gestão, 2011. http://hdl.handle.net/10400.5/3756.

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Mestrado em Ciências Actuariais<br>Um dos principais desafios que se colocam para o futuro é encontrar uma forma sustentável de financiamento do sistema público de Segurança Social, em especial das pensões, num contexto em que a idade média da população tende a subir e a proporção de activos face aos reformados tende a descer. Tendo em conta a incerteza ligada à sustentabilidade financeira da Segurança Social a longo prazo, os fundos de pensões representam cada vez mais um papel fundamental na constituição de poupança para a reforma, bem como um meio de desenvolvimento do mercado financeiro e

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17

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.

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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 show

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Bianchi, Robert John. "Portfolio selection and hedge funds : linearity, heteroscedasticity, autocorrelation and tail-risk." Thesis, Queensland University of Technology, 2007. https://eprints.qut.edu.au/16477/1/Robert_Bianchi_Thesis.pdf.

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Portfolio selection has a long tradition in financial economics and plays an integral role in investment management. Portfolio selection provides the framework to determine optimal portfolio choice from a universe of available investments. However, the asset weightings from portfolio selection are optimal only if the empirical characteristics of asset returns do not violate the portfolio selection model assumptions. This thesis explores the empirical characteristics of traditional assets and hedge fund returns and examines their effects on the assumptions of linearity-in-the-mean testing and p

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Bianchi, Robert John. "Portfolio selection and hedge funds : linearity, heteroscedasticity, autocorrelation and tail-risk." Queensland University of Technology, 2007. http://eprints.qut.edu.au/16477/.

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Portfolio selection has a long tradition in financial economics and plays an integral role in investment management. Portfolio selection provides the framework to determine optimal portfolio choice from a universe of available investments. However, the asset weightings from portfolio selection are optimal only if the empirical characteristics of asset returns do not violate the portfolio selection model assumptions. This thesis explores the empirical characteristics of traditional assets and hedge fund returns and examines their effects on the assumptions of linearity-in-the-mean testing and p

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20

Santos, Maria Inês Valente Pereira Trindade. "Evolution of tangent portfolios : an analysis of the european industries from 2000 to 2014." Master's thesis, Instituto Superior de Economia e Gestão, 2015. http://hdl.handle.net/10400.5/10704.

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Mestrado em Finanças<br>O objetivo do presente estudo é analisar o impacto de quatro grandes choques financeiros no mercado europeu de ações, por setor. Em particular, são analisadas as variações no ótimo de Markowitz (1952) de Carteiras Tangentes de Investidores Europeus. Estes são carteiras reais, sem erros de estimação. O período em análise é de 2000 a 2014, que compreende os seguintes choques financeiros: (i) 11 de Setembro, 2001; (ii) a crise Dot-Com, entre 2000 e 2001; (iii) a crise de hipotecas do sub-prime, entre 2007 e 2008; e (iv) a crise da dívida soberana europeia, durante 2011. Pa

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21

NAKMAI, SIWAT. "'Correlation and portfolio analysis of financial contagion and capital flight'." Doctoral thesis, Università Cattolica del Sacro Cuore, 2018. http://hdl.handle.net/10280/79341.

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This dissertation mainly studies correlation and then portfolio analysis of financial contagion and capital flight, focusing on currency co-movements around the political uncertainty due to the Brexit referendum on 26 June 2016. The correlation, mean, and covariance computations in the analysis are both time-unconditional and time-conditional, and the generalized autoregressive conditional heteroskedasticity (GARCH) and exponentially weighted moving average (EWMA) methods are applied. The correlation analysis in this dissertation (Chapter 1) extends the previous literature on contagion testin

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NAKMAI, SIWAT. "'Correlation and portfolio analysis of financial contagion and capital flight'." Doctoral thesis, Università Cattolica del Sacro Cuore, 2018. http://hdl.handle.net/10280/79341.

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This dissertation mainly studies correlation and then portfolio analysis of financial contagion and capital flight, focusing on currency co-movements around the political uncertainty due to the Brexit referendum on 26 June 2016. The correlation, mean, and covariance computations in the analysis are both time-unconditional and time-conditional, and the generalized autoregressive conditional heteroskedasticity (GARCH) and exponentially weighted moving average (EWMA) methods are applied. The correlation analysis in this dissertation (Chapter 1) extends the previous literature on contagion testin

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23

SOUZA, Dennis Marinho Oliveira Ramalho de. "Concordância de testes de comparação de médias na avaliação volumétricas de clones de Eucalyptus spp. no Pólo Gesseiro do Araripe-PE." Universidade Federal Rural de Pernambuco, 2011. http://www.tede2.ufrpe.br:8080/tede2/handle/tede2/4879.

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Submitted by (ana.araujo@ufrpe.br) on 2016-06-28T16:41:02Z No. of bitstreams: 1 Dennis Marinho Oliveira Ramalho de Souza.pdf: 1003295 bytes, checksum: 60937307ae603aef0fcf28c69dd304b6 (MD5)<br>Made available in DSpace on 2016-06-28T16:41:02Z (GMT). No. of bitstreams: 1 Dennis Marinho Oliveira Ramalho de Souza.pdf: 1003295 bytes, checksum: 60937307ae603aef0fcf28c69dd304b6 (MD5) Previous issue date: 2011-02-16<br>When choosing the ideal test to perform the comparison of the experimental treatments means, there is no standard way or a manual or a solution to define the optimal test. The a

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Hussain, Mohd Razali. "Estimating the process mean shift from out-of-control points on autocorrelated x̄ charts." Ohio : Ohio University, 1996. http://www.ohiolink.edu/etd/view.cgi?ohiou1178309692.

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25

Lu, I.-Chen (Jennifer). "Robust portfolio management with multiple financial analysts." Thesis, Loughborough University, 2015. https://dspace.lboro.ac.uk/2134/18045.

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Portfolio selection theory, developed by Markowitz (1952), is one of the best known and widely applied methods for allocating funds among possible investment choices, where investment decision making is a trade-off between the expected return and risk of the portfolio. Many portfolio selection models have been developed on the basis of Markowitz's theory. Most of them assume that complete investment information is available and that it can be accurately extracted from the historical data. However, this complete information never exists in reality. There are many kinds of ambiguity and vaguenes

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Hussain, Zahir M. "Adaptive instantaneous frequency estimation: Techniques and algorithms." Thesis, Queensland University of Technology, 2002. https://eprints.qut.edu.au/36137/7/36137_Digitised%20Thesis.pdf.

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This thesis deals with the problem of the instantaneous frequency (IF) estimation of sinusoidal signals. This topic plays significant role in signal processing and communications. Depending on the type of the signal, two major approaches are considered. For IF estimation of single-tone or digitally-modulated sinusoidal signals (like frequency shift keying signals) the approach of digital phase-locked loops (DPLLs) is considered, and this is Part-I of this thesis. For FM signals the approach of time-frequency analysis is considered, and this is Part-II of the thesis. In part-I we have uti

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27

"Mean-variance analysis for supply chain management models." Thesis, 2002. http://library.cuhk.edu.hk/record=b6073936.

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In light of all these, we study in this dissertation the application of the classical Mean-Variance Theory in finance for supply chain models. In mathematical finance, pioneered by the Nobel laureate Harry Markowitz in the 1950s, the Mean-Variance Theory has been an important theory for risk control in portfolio management. Under the Mean-Variance Theory, we can quantify the profit and risk in a portfolio investment by the expected return and variance of return, respectively. The Mean-Variance Theory has been demonstrated to be very applicable in practice. Based on the spirit of the Mean-Varia

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28

LO, JUN-SHENG, and 駱潤生. "Mean-Variance Portfolio Performance Analysis - Evidence From Taiwan Market." Thesis, 2019. http://ndltd.ncl.edu.tw/handle/72asaz.

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碩士<br>德明財經科技大學<br>財務金融系理財與稅務管理碩士班<br>107<br>Investment and financial management is a very important knowledge in life. The effective allocation of assets in the investment portfolio is to achieve the goal of minimizing risks and maximizing profits through effective diversification of investment. It is an issue that investors need to seriously consider.The mean-variance model proposed by Markowitz provides a modern approach to asset allocation for modern investors and has been extensively studied and applied.Based on this, this paper proposes the research

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"Dynamic portfolio analysis: mean-variance formulation and iterative parametric dynamic programming." 1998. http://library.cuhk.edu.hk/record=b5889737.

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by Wan-Lung Ng.<br>Thesis submitted in: November 1997.<br>On added t.p.: January 19, 1998.<br>Thesis (M.Phil.)--Chinese University of Hong Kong, 1998.<br>Includes bibliographical references (leaves 114-119).<br>Abstract also in Chinese.<br>Chapter 1 --- Introduction --- p.1<br>Chapter 1.1 --- Overview --- p.1<br>Chapter 1.2 --- Organization Outline --- p.5<br>Chapter 2 --- Literature Review --- p.7<br>Chapter 2.1 --- Modern Portfolio Theory --- p.7<br>Chapter 2.1.1 --- Mean-Variance Model --- p.9<br>Chapter 2.1.2 --- Setting-up the relationship between the portfolio and its component sec

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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.

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31

Xie, Shuichang. "A REGIME SWITCHING MULTIFACTOR MODEL FOR THE STOCK AND BOND RETURNS." 2012. http://hdl.handle.net/10222/15424.

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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 differen

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"Minimax solution to multi-mode portfolio selection models with a mean-variance formulation." 2003. http://library.cuhk.edu.hk/record=b5891628.

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Li, Rui.<br>Thesis (M.Phil.)--Chinese University of Hong Kong, 2003.<br>Includes bibliographical references (leaves 69-71).<br>Abstracts in English and Chinese.<br>Chapter 1 --- Introduction --- p.1<br>Chapter 1.1 --- Portfolio Selection Models --- p.1<br>Chapter 1.1.1 --- Single Period Models --- p.2<br>Chapter 1.1.2 --- Multi-Period Models --- p.4<br>Chapter 1.1.3 --- Continuous-Time Model --- p.5<br>Chapter 1.2 --- Description and Motivation of New Model --- p.6<br>Chapter 1.3 --- Major Contributions --- p.7<br>Chapter 1.4 --- Thesis Organization --- p.8<br>Chapter 2 --- Formulation

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"Sensitivity analysis of the benchmarked mean variance model and empirical study of calendar effect." 2012. http://library.cuhk.edu.hk/record=b5549186.

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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。<br>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 linea

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Dat, Vu Thanh, and 武成達. "An Analysis of Mean – Variance Performance for Hanoi stock Hanoi Stock Market Portfolio of the Efficient Frontier." Thesis, 2010. http://ndltd.ncl.edu.tw/handle/31238730327328661105.

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碩士<br>國立高雄應用科技大學<br>商務經營研究所<br>98<br>In this paper, the purpose is to investigate the portfolio performance of Hanoi 90 index and choose the constituent stocks. The risk preference of investor is according to efficient frontier divided into conservative, moderate and active types. The sample data is using rolling time periods computations and collocation mean-variance（MV）. The results shows that have better returns of three risk criterion over the passively index and the MV portfolio performance is the best. However, the analysis the performance for portfolio with varying holding periods have

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Roesad, Kurnya. "Barriers to Renewable Energy Investment in the Indonesian Power Sector." Phd thesis, 2017. http://hdl.handle.net/1885/154656.

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Indonesia has set ambitious targets of increasing the share of renewable energy in electricity supply and reducing greenhouse gas emissions relative to a baseline. But despite abundant renewable energy resources and policies to promote renewable energy, the country has experienced only slow additions in renewable electricity supply. Future expansions in generation capacity are planned to rely heavily on coal-based power supply. This thesis examines the barriers to renewable energy in Indonesia, provides a detailed case study on the effectiveness of

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Khor, Cheng Seong. "A Hybrid of Stochastic Programming Approaches with Economic and Operational Risk Management for Petroleum Refinery Planning under Uncertainty." Thesis, 2006. http://hdl.handle.net/10012/3096.

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In view of the current situation of fluctuating high crude oil prices, it is now more important than ever for petroleum refineries to operate at an optimal level in the present dynamic global economy. Acknowledging the shortcomings of deterministic models, this work proposes a hybrid of stochastic programming formulations for an optimal midterm refinery planning that addresses three factors of uncertainties, namely price of crude oil and saleable products, product demand, and production yields. An explicit stochastic programming technique is utilized by employing compensating slack variables t

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Rajani, Vishaal. "Quantitative analysis of single particle tracking experiments: applying ecological methods in cellular biology." Master's thesis, 2010. http://hdl.handle.net/10048/1316.

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Single-particle tracking (SPT) is a method used to study the diffusion of various molecules within the cell. SPT involves tagging proteins with optical labels and observing their individual two-dimensional trajectories with a microscope. The analysis of this data provides important information about protein movement and mechanism, and is used to create multistate biological models. One of the challenges in SPT analysis is the variety of complex environments that contribute to heterogeneity within movement paths. In this thesis, we explore the limitations of current methods used to analyze mole

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Noumon, Codjo Nérée Gildas Maxime. "Choix de portefeuille de grande taille et mesures de risque pour preneurs de décision pessimistes." Thèse, 2013. http://hdl.handle.net/1866/10560.

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Cette thèse de doctorat consiste en trois chapitres qui traitent des sujets de choix de portefeuilles de grande taille, et de mesure de risque. Le premier chapitre traite du problème d’erreur d’estimation dans les portefeuilles de grande taille, et utilise le cadre d'analyse moyenne-variance. Le second chapitre explore l'importance du risque de devise pour les portefeuilles d'actifs domestiques, et étudie les liens entre la stabilité des poids de portefeuille de grande taille et le risque de devise. Pour finir, sous l'hypothèse que le preneur de décision est pessimiste, le troisième chapitr

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