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Relevant bibliographies by topics / Multi-Asset Portfolio / Dissertations / Theses

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Dissertations / Theses on the topic 'Multi-Asset Portfolio'

Author: Grafiati

Published: 4 June 2021

Last updated: 26 July 2025

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1

Lekander, Jon. "Institutional Real Investments : Real Estate in a Multi-Asset Portfolio." Doctoral thesis, KTH, Bygg- och fastighetsekonomi, 2016. http://urn.kb.se/resolve?urn=urn:nbn:se:kth:diva-196536.

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The purpose of this thesis is to analyze real estate investments from the vantage point of an institutional multi asset investor perspective, both in terms of the potential benefits real estate can bring as well as the challenges it can pose. The thesis consists of six papers and approaches the research question from three distinct perspectives. The quantitative papers consists of paper 1 and 5. Paper 1 analyses the portfolio characteristics of domestic and international real estate in a mean variance framework over seven investor domiciles. It is found that the optimal allocation to real esta

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2

Chagas, Guido Marcelo Borma. "Long-term asset allocation based on stochastic multistage multi-objective portfolio optimization." reponame:Repositório Institucional do FGV, 2016. http://hdl.handle.net/10438/17044.

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Submitted by Guido Chagas (guido.chagas@fgv.br) on 2016-09-09T15:34:13Z No. of bitstreams: 1 Long-Term Asset Allocation Based on Stochastic Multistage Multi-Objective Portfolio Optimization.pdf: 6336618 bytes, checksum: 67d3dd1c3b982252c5012b3078278f95 (MD5)<br>Approved for entry into archive by Suzinei Teles Garcia Garcia (suzinei.garcia@fgv.br) on 2016-09-09T17:20:03Z (GMT) No. of bitstreams: 1 Long-Term Asset Allocation Based on Stochastic Multistage Multi-Objective Portfolio Optimization.pdf: 6336618 bytes, checksum: 67d3dd1c3b982252c5012b3078278f95 (MD5)<br>Made available in DSpace on

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3

Johnson, Calum. "Multi-Factor Extensions of the Capital Asset Pricing Model: An Empirical Study of the UK Market." Thesis, Mälardalens högskola, Akademin för utbildning, kultur och kommunikation, 2015. http://urn.kb.se/resolve?urn=urn:nbn:se:mdh:diva-29829.

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The point of this thesis is to compare classic asset pricing models using historic UK data. It looks at three of the most commonly used asset pricing models in Finance and tests the suitability of each for the UK market. The models considered are the Capital Asset Pricing Model (1964, 65 and 66) (CAPM), the Fama-French 3-Factor Model (1993) (FF3F) and the Carhart 4-Factor Model (1997) (C4F). The models are analysed using a 34 year sample period (1980-2014). The sample data follows the structure explained in Gregory et al (2013) and is compiled of stocks from the London Stock Exchange (LSE). Th

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4

Li, Jiang. "Financial Mathematics Project." Digital WPI, 2012. https://digitalcommons.wpi.edu/etd-theses/263.

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This project describes the underlying principles of Modern Portfolio Theory, the Capital Asset Pricing Model (CAPM), and multi-factor models in detail, explores the process of constructing optimal portfolios using the Modern Portfolio Theory, estimates the expected return and covariance matrix of assets using CAPM and multi-factor models, and finally, applies these models in real markets to analyze our portfolios and compare their performances.

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5

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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6

Di, Tang. "Diversification in multi-asset portfolios in the context of the chinese real estate and stock market." Master's thesis, Instituto Superior de Economia e Gestão, 2014. http://hdl.handle.net/10400.5/8135.

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Mestrado em Finanças<br>This study uses a single index model to examine the correlation between Chinese real estate and the stock market. The real estate market is reflected by 3 years' monthly data of 13 listed real estate companies and the stock market is represented by Shanghai Composite index and Shenzhen Component index. According to the analysis, it is found that the correlation between the real estate and the stock market is in fact very low, and thus real estate is a good option for diversification is a multi-asset portfolio.

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7

Malm, Fabian, and Emil Javelius. "Market frictions effect on optimal real estate allocation in a multi-asset portfolio : A study of the Swedish market." Thesis, KTH, Fastigheter och byggande, 2017. http://urn.kb.se/resolve?urn=urn:nbn:se:kth:diva-211196.

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The weight of real estate in a multi-asset portfolio is a highly discussed matter and the main purpose for every investor is to reach an optimal diversification. The aim of the thesis is to apply a new allocation model, which considers market imperfections characterized by real estate. The most known and used method today is the mean-variance approach, founded in the modern portfolio theory. Modern portfolio theory is based on several assumptions, where one of these is the assumption of an efficient market. However, real estate is not considered the be a part of the efficient market due to sev

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8

Nabholz, Rodrigo de Barros. "Seleção ótima de ativos multi-período com restrições intermediárias utilizando o critério de média-variância." Universidade de São Paulo, 2006. http://www.teses.usp.br/teses/disponiveis/3/3139/tde-11122006-171121/.

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Esta tese é dedicada ao estudo de modelos de otimização de carteiras de investimento multi-período. Daremos ênfase a um modelo com restrições intermediárias formulado como um problema de controle ótimo e resolvido utilizando técnicas de programação dinâmica. Serão tratados aspectos teóricos e práticos desta classe de problemas. Primeiramente faremos uma revisão das principais hipóteses dos modelos de otimização de carteiras e o caso uni-período. Analisaremos a seguir as generalizações para o caso multi-período, onde os modelos utilizam apenas restrições para o valor esperado e/ou para a variân

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9

Schmelck, Anders. "Modelling risk in multi asset-class portfolios." Thesis, Norges teknisk-naturvitenskapelige universitet, Institutt for matematiske fag, 2010. http://urn.kb.se/resolve?urn=urn:nbn:no:ntnu:diva-14977.

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Using a simulation based model, with the Black-Scholes framework for equity andThe LIBOR Market Model for interest rates, we study market risk in multi assetclassportfolios, with static and dynamic weighting. The risk measures consideredare Value-at-Risk and Expected-Tail-Loss. The theoretical foundation is introducedand imperfections in the models and their assumptions are pointed out.The validity of the models and risk measures is tested using a backtesting procedureagainst data ranging from September 1999 to September 2009, with particularemphasis on the turbulent period of 2007 to Septembe

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10

Pule, Lebohang. "Constructing efficient multi-asset class portfolios: Top-down or bottom-up?" Master's thesis, University of Cape Town, 2017. http://hdl.handle.net/11427/27753.

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This dissertation concerns itself with the problem of constructing multi asset class portfolios. The investment process is aimed at solving two problems. The first problem is estimating the future returns of individual securities, which is an exercise fraught with uncertainty as the future is fundamentally unpredictable. This uncertainty means that the investor must allocate his portfolio to a number of assets instead of just one, in case his predicted future returns do not materialize. This leads the investor to the second problem of how best to construct the portfolio. It is this part of the

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11

Groll, Christian [Verfasser], and Stefan [Akademischer Betreuer] Mittnik. "Dynamic risk management of multi-asset portfolios / Christian Groll ; Betreuer: Stefan Mittnik." München : Universitätsbibliothek der Ludwig-Maximilians-Universität, 2018. http://d-nb.info/116244343X/34.

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Groll, Christian Verfasser], and Stefan [Akademischer Betreuer] [Mittnik. "Dynamic risk management of multi-asset portfolios / Christian Groll ; Betreuer: Stefan Mittnik." München : Universitätsbibliothek der Ludwig-Maximilians-Universität, 2018. http://nbn-resolving.de/urn:nbn:de:bvb:19-223007.

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13

Galhardas, Carlota Rendeiro. "The effectiveness of adding commodities to a multi-asset portfolio." Master's thesis, 2021. http://hdl.handle.net/10400.14/35249.

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Commodity investment is fundamentally motivated by a desire to improve the performance of portfolios composed of stocks and bonds. Throughout this paper we analyze the out-of-sample performance effects derived from including commodities in a stock-bond portfolio for seven distinct asset allocation models – equally and strategically weighted portfolios, risk-parity, reward-to-risk timing, as well as, minimum-variance, mean-variance, and Black-Litterman. We analyze seven commodity groups and consider two distinct investor profiles, while constructing portfolios in which commodities are picked in

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14

Kuehne, Daniel. "Asset allocation based on asymmetric risk measures : a multi-criteria approach /." 2006. http://www.gbv.de/dms/zbw/520651413.pdf.

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15

Hsu, Jung-Kun, and 許榮焜. "Application of Multi-attribute Decision Making on Selection of Asset Capital Spending Planning Portfolio." Thesis, 2010. http://ndltd.ncl.edu.tw/handle/64265416251243906626.

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碩士<br>國立高雄應用科技大學<br>工業工程與管理系<br>98<br>Asset capital spending planning (ACSP) is one of the most important activities of asset maintenance management in an organization. Because of uncertain economic conditions, resource constraints and closed information, decision makers often are not satisfied with the decision-making made for the ACSP. Therefore, many perspectives need to be considered in planning stage. The plan needs to be provided in time and suitably and is used to support organization’s operation and sustainability. The current study proposed a method of multi-attribute decision making

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16

Royden-Turner, Stuart Jack. "Asset allocation in wealth management using stochastic models." Diss., 2016. http://hdl.handle.net/10500/22129.

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Modern financial asset pricing theory is a broad, and at times, complex field. The literature review in this study covers many of the asset pricing techniques including factor models, random walk models, correlation models, Bayesian methods, autoregressive models, moment-matching models, stochastic jumps and mean reversion models. An important topic in finance is portfolio opti-misation with respect to risk and reward such as the mean variance optimisation introduced by Markowitz (1952). This study covers optimisation techniques such as single period mean variance optimisation, optimisation w

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