Relevant bibliographies by topics / Portfolio optimisation / Dissertations / Theses
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Dissertations / Theses on the topic 'Portfolio optimisation'

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Published: 4 June 2021
Last updated: 26 July 2025

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1

Arbex, Valle Cristiano. "Portfolio optimisation models." Thesis, Brunel University, 2013. http://bura.brunel.ac.uk/handle/2438/10343.

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In this thesis we consider three different problems in the domain of portfolio optimisation. The first problem we consider is that of selecting an Absolute Return Portfolio (ARP). ARPs are usually seen as financial portfolios that aim to produce a good return regardless of how the underlying market performs, but our literature review shows that there is little agreement on what constitutes an ARP. We present a clear definition via a three-stage mixed-integer zero-one program for the problem of selecting an ARP. The second problem considered is that of designing a Market Neutral Portfolio (MNP)
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2

Hagströmer, Björn. "Liquidity and portfolio optimisation." Thesis, Aston University, 2009. http://publications.aston.ac.uk/15679/.

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This thesis presents research within empirical financial economics with focus on liquidity and portfolio optimisation in the stock market. The discussion on liquidity is focused on measurement issues, including TAQ data processing and measurement of systematic liquidity factors (FSO). Furthermore, a framework for treatment of the two topics in combination is provided. The liquidity part of the thesis gives a conceptual background to liquidity and discusses several different approaches to liquidity measurement. It contributes to liquidity measurement by providing detailed guidelines on the data
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3

Woodside-Oriakhi, Maria. "Portfolio optimisation with transaction cost." Thesis, Brunel University, 2011. http://bura.brunel.ac.uk/handle/2438/5839.

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Portfolio selection is an example of decision making under conditions of uncertainty. In the face of an unknown future, fund managers make complex financial choices based on the investors perceptions and preferences towards risk and return. Since the seminal work of Markowitz, many studies have been published using his mean-variance (MV) model as a basis. These mathematical models of investor attitudes and asset return dynamics aid in the portfolio selection process. In this thesis we extend the MV model to include the cardinality constraints which limit the number of assets held in the portfo
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4

Pillay, Divanisha. "Robustness of bond portfolio optimisation." Master's thesis, University of Cape Town, 2016. http://hdl.handle.net/11427/20783.

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Korn and Koziol (2006) apply the Markowitz (1952) mean-variance framework to bond portfolio selection by proposing the use of term structure models to estimate the time-varying moments of bond returns. Duffee (2002) introduces a distinction between completely affine and essentially affine term structure models. A completely affine model uses a market price of risk specification that is proportional to the volatility of the risk factors. However, this assumption of proportionality of the market price of risk contradicts the observed behaviour of bond returns. In response, Duffee (2002) introduc
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5

Landman, Jayson. "Flexible risk-based portfolio optimisation." Master's thesis, Faculty of Commerce, 2021. http://hdl.handle.net/11427/32787.

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The purpose of this study is to present and test a general framework for risk-based investing. It permits various risk-based portfolios such as the global minimum variance, equal risk contribution and equal weight portfolios. The framework also allows for different estimation techniques to be used in finding the portfolios. The design of the study is to collate the existing research on risk-based investing, to analyse some modern methods to reduce estimation risk, to incorporate them in a single coherent framework, and to test the result with South African equity data. The techniques to reduce
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6

Wang, Jianshen. "Portfolio optimisation and dynamic trading." Thesis, University of Bristol, 2016. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.702879.

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Chatsanga, Nonthachote. "International portfolio optimisation under uncertainty." Thesis, University of Nottingham, 2017. http://eprints.nottingham.ac.uk/42729/.

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Portfolio optimisation problems are generally concerned with allocating funds to investments. The goal is to find an allocation that minimises risk subject to some certain constraints. To attain robust solutions from the optimisation, it is vital to ensure that the model is able to properly represent the underlying uncertainty in portfolio management. The main source of uncertainty in managing portfolios is from asset returns fluctuation. Typically, it is depicted through scenarios or return distributions which are commonly assumed to be normal. Such assumption, however, does not illustrate th
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8

Mårtensson, Jonathan. "Portfolio optimisation : improved risk-adjusted return?" Thesis, Uppsala University, Department of Economics, 2006. http://urn.kb.se/resolve?urn=urn:nbn:se:uu:diva-6397.

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<p>In this thesis, portfolio optimisation is used to evaluate if a specific sample of portfolios have</p><p>a higher risk level or lower expected return, compared to what may be obtained through</p><p>optimisation. It also compares the return of optimised portfolios with the return of the original</p><p>portfolios. The risk analysis software Aegis Portfolio Manager developed by Barra is used for</p><p>the optimisations. With the expected return and risk level used in this thesis, all portfolios can</p><p>obtain a higher expected return and a lower risk. Over a six-month period, the optimised</
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9

Zuo, Fei. "Passive and active currency portfolio optimisation." Thesis, University of Exeter, 2016. http://hdl.handle.net/10871/22612.

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This thesis examines the performance of currency-only portfolios with different strategies, in out-of-sample analysis. I first examine a number of passive portfolio strategies into currency market in out-of-sample analysis. The strategies I applied in this chapter include sample-based mean-variance portfolio and its extension, minimum variance portfolio, and equally-weighted risk contribution model. Moreover, I consider GDP portfolio and Trade portfolio as market value portfolio for currency market. With naïve portfolio, there are 12 different asset allocation models. In my out-of-sample analy
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10

Jin, Yan. "Advanced computational methods in portfolio optimisation." Thesis, University of Nottingham, 2017. http://eprints.nottingham.ac.uk/39023/.

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Portfolio optimisation is the process of making optimal investment decisions, where a set of assets are selected and invested with certain amount of the capital in the portfolio. Since the milestone work, Markowitz’s Mean-Variance (MV) model, it has boosted the research for new portfolio optimisation models and applications for last 60 years. Despite its theoretical values, the MV model has been widely criticised for underlying simplistic assumptions which ignore real world conditions and fail to take the market uncertainty of the mean and variance into account. To correct these, a large numbe
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11

Simões, Gonçalo. "Robust portfolio optimisation with filtering uncertainty." Thesis, University of Oxford, 2017. http://ora.ox.ac.uk/objects/uuid:210c56b6-d005-4bf7-a3ee-9aa85416f908.

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This thesis focuses on how portfolio optimisation can be carried out under different types of uncertainty, which we often measure through the use of filters. Chapter 1 motivates the problem, gives an overview of the thesis and covers some necessary background material. Chapter 2 deals with uncertainty in the covariance matrix and how by identifying different regimes we can solve optimisation problems of interest to practitioners. Chapter 3 focuses on the uncertainty over tail events and how we can not only extract relevant information by filtering the data but also how we can use that informat
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12

Guertler, Marion. "Modelling and solution methods for portfolio optimisation." Thesis, Brunel University, 2004. http://bura.brunel.ac.uk/handle/2438/4855.

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In this thesis modelling and solution methods for portfolio optimisation are presented. The investigations reported in this thesis extend the Markowitz mean-variance model to the domain of quadratic mixed integer programming (QMIP) models which are 'NP-hard' discrete optimisation problems. In addition to the modelling extensions a number of challenging aspects of solution algorithms are considered. The relative performances of sparse simplex (SSX) as well as the interior point method (IPM) are studied in detail. In particular, the roles of 'warmstart' and dual simplex are highlighted as applie
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13

Dub, Alice. "Large markets : asymptotic arbitrage and portfolio optimisation." Thesis, University of Oxford, 2016. https://ora.ox.ac.uk/objects/uuid:e259b18a-ee63-45f0-9ccd-30e78c1b6805.

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In this thesis, we aim to shed some light on the intricate behaviour of large, correlated financial markets, the existence or absence of asymptotic arbitrage in such a model and its connection to optimal investing. Therefore we will approximate these finite large markets by infinite-sized markets, and derive strategies describing how to invest optimally, based on the modelling coefficients. Our correlated finite real world market, spanning n ? N single secu- rities as well as at most the fixed number of J ? N, global assets is similar to the approach known from the well-established Capital Ass
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14

Remsing, Razvan Alexandru. "Portfolio optimisation with quantitative and qualitative views." Master's thesis, University of Cape Town, 2005. http://hdl.handle.net/11427/4356.

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Includes bibliographical references.<br>Portfolio construction with quantitative and qualitative forecasts is described through the exposition of two asset allocation models. The two models arc the Black-Litterman Asset Allocation moodel and the Qualitative Forecasts : Model developed by Herold Ulf. The models are developed theoretically and made intuitively accessible with real market data examples. Methodology is developed using the two models to transport alpha across benchmarks.
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15

Dubois, Mathieu. "Topics in portfolio optimisation and systemic risk." Thesis, London School of Economics and Political Science (University of London), 2015. http://etheses.lse.ac.uk/3235/.

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This thesis is concerned with different sources of risk occurring in financial markets. We follow a bottom-up approach by carrying out an analysis from the perspective of a single investor to the whole banking system. We first consider an investor who faces parameter uncertainty in a continuous-time financial market. We model the investor’s preference by a power utility function leading to constant relative risk aversion. We show that the loss in expected utility is large when using a simple plug-in strategy for unknown parameters. We also provide theoretical results that show the tradeoff bet
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16

Gregory, Christine. "Robust optimisation and its application to portfolio planning." Thesis, Brunel University, 2009. http://bura.brunel.ac.uk/handle/2438/3638.

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Decision making under uncertainty presents major challenges from both modelling and solution methods perspectives. The need for stochastic optimisation methods is widely recognised; however, compromises typically have to be made in order to develop computationally tractable models. Robust optimisation is a practical alternative to stochastic optimisation approaches, particularly suited for problems in which parameter values are unknown and variable. In this thesis, we review robust optimisation, in which parameter uncertainty is defined by budgeted polyhedral uncertainty sets as opposed to ell
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17

Kapsos, Michalis. "Robust portfolio optimisation using risk measures and applications." Thesis, Imperial College London, 2013. http://hdl.handle.net/10044/1/10949.

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Portfolio selection is a decision problem that can be formulated as a mathematical optimisation program. Ever since portfolio selection has been first modelled as a mathematical optimisation problem, a number of frameworks have emerged. These different frameworks aim to address the shortfalls and limitations of previous models. However, most of these models rely on the weak assumption, that the input parameters are known exactly. In the existence of uncertainty surrounding the input parameters, the outcome of a deterministic optimisation problem might be overoptimistic with unexpected conseque
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18

Wang, Nancy. "Spectral Portfolio Optimisation with LSTM Stock Price Prediction." Thesis, KTH, Matematisk statistik, 2020. http://urn.kb.se/resolve?urn=urn:nbn:se:kth:diva-273611.

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Nobel Prize-winning modern portfolio theory (MPT) has been considered to be one of the most important and influential economic theories within finance and investment management. MPT assumes investors to be riskaverse and uses the variance of asset returns as a proxy of risk to maximise the performance of a portfolio. Successful portfolio management reply, thus on accurate risk estimate and asset return prediction. Risk estimates are commonly obtained through traditional asset pricing factor models, which allow the systematic risk to vary over time domain but not in the frequency space. This ap
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19

Li, Yibo. "Solving cardinality constrained portfolio optimisation problem using genetic algorithms and ant colony optimisation." Thesis, Brunel University, 2015. http://bura.brunel.ac.uk/handle/2438/10867.

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In this thesis we consider solution approaches for the index tacking problem, in which we aim to reproduces the performance of a market index without purchasing all of the stocks that constitute the index. We solve the problem using three different solution approaches: Mixed Integer Programming (MIP), Genetic Algorithms (GAs), and Ant-colony Optimization (ACO) Algorithm by limiting the number of stocks that can be held. Each index is also assigned with different cardinalities to examine the change to the solution values. All of the solution approaches are tested by considering eight market ind
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20

Cen, Zhihao. "Optimisation d'un portfolio GNL, par l'approche de programmation stochastique." Phd thesis, Ecole Polytechnique X, 2011. http://pastel.archives-ouvertes.fr/pastel-00645441.

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Le travail présenté dans cette thèse est motivé par le problème de gestion de transport de gaz naturel liquéfié (GNL) par cargo proposé par Total. Le gestion de portefeuille doit satisfaire toute les contraintes et faire arbitrage entre les différents marchés. Donc, il traduit mathématiquement un problème d'optimisation stochastique, dynamique et en nombre entiers. Cette thèse se compose de quatre parties: 1 Nous introduisons une méthode numérique pour résoudre le problème de relaxation continue. Nous nous appuyons sur la méthode de quantification pour discrétiser le processus et nous utilison
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21

Cui, Tianxiang. "Hybridising metaheuristics and exact methods for portfolio optimisation problem." Thesis, University of Nottingham, 2016. http://eprints.nottingham.ac.uk/36196/.

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This thesis focuses on the portfolio optimisation problems, which concern with allocating the limited capital to invest in a number of potential assets (investments) in order to achieve the investors risk appetites and the return objectives. In the 1950s, Harry Markowitz proposed a mean-variance portfolio optimisation model, which is widely regarded as the foundation of the modern portfolio theory. However, the basic Markowitz mean-variance model has limited practical utilities since it omits many constraints existed in real world trading. The problem quickly becomes more complex with the addi
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22

Ericsson, Oskar. "Risk Analysis Against Electricity Market Index and Portfolio Optimisation." Thesis, KTH, Matematisk statistik, 2014. http://urn.kb.se/resolve?urn=urn:nbn:se:kth:diva-146657.

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There has been a lack of a transparent index to compare electricity portfolios against for many years. Most industrial firms hedge the risks for their electricity needs by buying forward contracts which guarantee the price of a certain amount of power for a year or part of a year. The problem is to know if the company has made good deals since the available comparisons are average spot prices. In this thesis the objectives are to construct a relevant index and then evaluate possible portfolios against this index, giving risk measures such as Value-at-Risk and Expected Shortfall. The resulting
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23

Chernyy, Vladimir. "On portfolio optimisation under drawdown and floor type constraints." Thesis, University of Oxford, 2012. http://ora.ox.ac.uk/objects/uuid:19dee50e-466b-46b5-83ae-5816d3b27c62.

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This work is devoted to portfolio optimisation problem arising in the context of constrained optimisation. Despite the classical convex constraints imposed on proportion of wealth invested in the stock this work deals with the pathwise constraints. The drawdown constraint requires an investor's wealth process to dominate a given function of its up-to-date maximum. Typically, fund managers are required to post information about their maximum portfolio drawdowns as a part of the risk management procedure. One of the results of this work connects the drawdown constrained and the unconstrained asy
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24

Miao, Jia. "Volatility filters for active asset trading and portfolio optimisation." Thesis, Liverpool John Moores University, 2006. http://researchonline.ljmu.ac.uk/5793/.

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Šebestíková, Sabina. "Optimalizace portfolia akcií na čs. kapitálovém trhu." Master's thesis, Vysoké učení technické v Brně. Fakulta podnikatelská, 2009. http://www.nusl.cz/ntk/nusl-264840.

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The master's thesis is focused on Stock portfolio optimalization on Czech capital market. The analysis of each stock, estimation and portfolio optimalization proposal are included. In the practical part the Fundamental analysis is applied. The portfolio optimalization is estemated by portfolio theory which is consist in the relationship between stock price and market trends represents by PX Index and expressing correlation of them by beta coefficient.
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26

Yener, Haluk. "Portfolio optimisation for distance to barrier and survival time maximisation." Thesis, Imperial College London, 2011. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.538683.

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27

Liu, Jialin. "Portfolio Methods in Uncertain Contexts." Thesis, Université Paris-Saclay (ComUE), 2015. http://www.theses.fr/2015SACLS220/document.

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Les problèmes d’investissements d’énergie sont difficiles à cause des incertitudes. Certaines incertitudes peuvent être modélisées par les probabilités. Mais il y a des problèmes difficiles tels que l'évolution de technologie et la pénalisation de CO2, délicats à modéliser par des probabilités. Aussi, les travaux sur l’optimisation des systèmes d’énergie est souvent déterministe. Cette thèse s’intéresse à appliquer l’optimisation bruitée aux systèmes d’énergie. Cette thèse se concentre sur trois parties principales: les études des méthodes pour gérer le bruit, y compris utiliser des méthodes d
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Schiess, David. "Consumption and portfolio optimisation at the end of the life-cycle." kostenfrei, 2007. http://www.unisg.ch/www/edis.nsf/wwwDisplayIdentifier/3405.

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Wang, Zhi. "Essays in quantitative finance on risk management and credit portfolio optimisation." Thesis, University of Essex, 2011. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.572845.

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This thesis discusses three topics in the area of quantitative finance in relation to risk and credit portfolio management. Chapter 2 investigates the issue of estimating and testing the goodness-of-fit of a model for a dependence break. The dependence is modelled by copulas and an unknown break of dependence structure is allowed for by including a dummy variable in the copula. The model is selected by minimizing the Akaike Information Criterion (AIC) of each candidate breaking point. The candidate models are estimated by a well-established two-step Maximum Likelihood (ML) approach, namely "In
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Eismann, Eismann. "Markowitz vs Black--Litterman: A Comparison of Two Portfolio Optimisation Models." Thesis, Mälardalens högskola, Akademin för utbildning, kultur och kommunikation, 2018. http://urn.kb.se/resolve?urn=urn:nbn:se:mdh:diva-39411.

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Modern portfolio theory first gained its ground among researchers and academics, but has become increasingly popular among practitioners. This paper examines the two popular portfolio optimization models, Markowitz mean-variance model and Black-Litterman formula and compares their results on real data. In second chapter mean-variance model is derived step-by-step using Lagrange multipliers and matrices, whereas in third chapter Black-Litterman formula is proved by two different methods - by Maximum Likelihood method and Theil's model. Two portfolio optimization models are used on real data, mo
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31

Sivnarain, Resham. "The use of risk measures and its applications in portfolio optimisation." Diss., University of Pretoria, 2017. http://hdl.handle.net/2263/65944.

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In this dissertation, we study the application of risk measures to portfolio optimisation. A risk measure is a functional over the set of random portfolio returns mappings . We present the various risk measures in this dissertation within an axiomatic framework. Although Value-at-Risk (VaR) has been widely used, the Conditional-Value-at-Risk (CVaR) has become the more popular risk measure since it is a coherent and convex risk measure. We solve a CVaR based optimisation model that is used for portfolio optimisation and hedging a target portfolio. Additionally, we solve a CVaR based optimisatio
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Storey, Emmeline. "The effect of transaction costs on portfolio optimisation in discrete time." Thesis, Imperial College London, 2007. http://hdl.handle.net/10044/1/8940.

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There are different theoretical approaches to the construction of a portfolio which offer maximum expected returns for a given level of risk tolerance and where the goal is to find the optimal investment rule. Each investor has a certain utility for money which is reflected by the choice of a utility function. In this work, two different types of risk averse utility functions (the power utility function and an exponential one) are studied in discrete time without making any assumptions about the underlying probability distribution of the returns of the asset prices. Each investor chooses, at t
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Quek, Gary Sze Huat. "Portfolio optimisation and option pricing in discrete time with transaction costs." Thesis, Imperial College London, 2012. http://hdl.handle.net/10044/1/14706.

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Discrete time models of portfolio optimisation and option pricing are studied under the effects of proportional transaction costs. In a multi-period portfolio selection problem, an investor maximises expected utility of terminal wealth by rebalancing the portfolio between a risk-free and risky asset at the start of each time period. A general class of probability distributions is assumed for the returns of the risky asset. The optimal strategy involves trading to reach the boundaries of a no-transaction region if the investor’s holdings in the risky asset fall outside this region. Dynamic prog
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Bouveret, Géraldine. "A contribution in hedging and portfolio optimisation under weak stochastic target constraints." Thesis, Imperial College London, 2016. http://hdl.handle.net/10044/1/33726.

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This thesis aims at investigating hedging and portfolio optimisation problems under weak stochastic target constraints. Our first contribution consists in the representation of the hedging price of some contingent claims under both probabilistic and expected shortfall ("weak") constraints holding on a set of dates. We consider a Markovian and complete market framework and favour a dual approach. This work is an extension to Föllmer and Leukert (1999,2000). We then extend the previous results to the case where the wealth process diffusion is semi-linear in the control/strategy variable. The pr
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Niklewski, Jacek. "Multivariate GARCH and portfolio optimisation : a comparative study of the impact of applying alternative covariance methodologies." Thesis, Coventry University, 2014. http://curve.coventry.ac.uk/open/items/a8d7bf49-198d-49f2-9894-12e22ce2d7f1/1.

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This thesis investigates the impact of applying different covariance modelling techniques on the efficiency of asset portfolio performance. The scope of this thesis is limited to the exploration of theoretical aspects of portfolio optimisation rather than developing a useful tool for portfolio managers. Future work may entail taking the results from this work further and producing a more practical tool from a fund management perspective. The contributions made by this thesis to the knowledge of the subject are that it extends literature by applying a number of different covariance models to a
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Harding, Peter Andrew. "Risk control under a dynamised linear optimisation model of the portfolio management problem." Thesis, Henley Business School, 2002. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.247550.

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Kleniati, Polyxeni M. "Decomposition schemes for polynomial optimisation, semidefinite programming and applications to nonconvex portfolio decisions." Thesis, Imperial College London, 2010. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.509792.

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Sammartin, Matteo <1993&gt. "A Cumulative Prospect Theory approach for portfolio optimisation: empirical investigations using PSO algorithms." Master's Degree Thesis, Università Ca' Foscari Venezia, 2019. http://hdl.handle.net/10579/15912.

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One of the most important and influential economic theories dealing with portfolio optimisation is Cumulative Prospect Theory. Developed by Tversky and Kahneman, it is accepted worldwide as an alternative theory of Expected Utility Theory, which has faced several behaviourally criticisms in the last decades. After exploring how these two theories are implemented into the selection portfolio problem, the thesis fully describes both Index-Tracking and Cumulative Prospect Theory (CPT) models in terms of the optimisation problem. Next, an application of the CPT model for index tracking is derived.
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Triki, Emna. "Optimisation de portefeuille en présence des biais comportementaux." Thesis, Cergy-Pontoise, 2019. http://www.theses.fr/2019CERG1039.

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La finance comportementale est une nouvelle science qui remet en question les principes de la finance classique qui est basée sur la rationalité des investisseurs et l’efficience du marché financier. Elle consiste à mieux intégrer la psychologie à la finance et d'expliquer les anomalies du marché financier causées par le comportement humain réel. Ces anomalies sont essentiellement liées à des facteurs psychologiques (des biais psychologiques) qui sont susceptibles d’influencer la prise de décision de l’investisseur, à savoir notamment l'aversion à l'ambiguïté, l'aversion au regret et l'aversio
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Khuman, Anil. "Investigating portfolio insurance strategies including applications of heuristic optimisation and evolutionary artificial neural networks." Thesis, University of Essex, 2012. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.571480.

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This work examines the Constant Proportion Portfolio Insurance (CPPI) investment strategy under the assumption of a cumulative prospect theory (CPT) investor. It is found that such an investor who alters their reference point, dependent on the underlying risky asset, prefers strategies that extend the functionality of the CPP!. These other strategies either modify the floor or multiplier components of the CPPI to protect greater levels of interim wealth, or allow for faster allocation or deallocation of capital. Furthermore, it is established, with regards to transaction costs, that an investo
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Brouwer, Pieter. "A model for the optimisation of an individual investor's portfolio of exchange traded funds." Thesis, Stellenbosch : Stellenbosch University, 2015. http://hdl.handle.net/10019.1/97315.

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Thesis (MBA)--Stellenbosch University, 2015.<br>ENGLISH ABSTRACT: Facilities are available to individual investors to enable them to invest directly in a multitude of investments without making use of investment brokers or financial advisors. Although this facility offers the benefit of reduced administration and management fees, it also puts the investor in a position where he is responsible for making his own investment decisions. Since Markowitz’s publication fifty years ago, it has been known that diversification is necessary in order to reduce the investor’s exposure to any unsystematic i
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Philip, Richard Charles. "Doubling Times in Finance." Thesis, The University of Sydney, 2011. http://hdl.handle.net/2123/8372.

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This dissertation proposes an alternative measure of performance, termed doubling time. Doubling time is defined as the time taken for an initial investment in an asset to double in value. This alternative performance metric has an intuitive appeal yet has received little attention in the academic literature to date. This thesis provides the foundations required for the use of doubling times in finance.The work begins by examining the problem of computing the expected doubling time from a sample of doubling times. Analytical formulae and a simulation are proposed as alternative approaches to
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Smit, Barend. "The Markowitz approach to portfolio optimisation and its application in determining the optimal internationally diversified portfolio for a South African investor in unit trusts." Thesis, Stellenbosch : Stellenbosch University, 2000. http://hdl.handle.net/10019.1/51993.

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Thesis (MBA)--Stellenbosch University, 2000.<br>ENGLISH ABSTRACT: The purpose of this report is to determine how much international diversification a South African investor should practice in order to minimise his portfolio risk and to maximise his portfolio return. The most recent budget allows the South African investor to invest up to R500 000 in overseas investments. The analysis was performed over the period December 1993 to May 2000 for an investor investing in Investec Guinness Flight unit trusts. Unit trusts were used instead of general indices, because it is a well-known invest
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Letho, Lehlohonolo. "Assessing the attractiveness of cryptocurrencies in relation to traditional investments in South Africa." Master's thesis, Faculty of Commerce, 2019. http://hdl.handle.net/11427/30406.

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The dissertation examined the effect of cryptocurrencies on the portfolio risk-adjusted returns of traditional and alternative investments using daily arithmetic returns from August 2015 to October 2018 of traditional assets (South African stocks, bonds, currencies), alternative assets (commodities, South African real estate) and cryptocurrencies (Cryptocurrency index (CRIX) and ten other individual cryptocurrencies). This is worth investigating as cryptocurrencies have been performing well while the listed equities in South Africa and most alternative investments have been underperforming (Sr
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45

Dondi, Gabriel Arnon. "Models and dynamic optimisation for the asset and liability management of pension funds." Zürich : Measurement and Control Laboratory, ETH Zentrum ML, 2005. http://e-collection.ethbib.ethz.ch/show?type=diss&nr=16257&part=abstracts.

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46

Grishina, Nina. "A behavioural approach to financial portfolio selection problem : an empirical study using heuristics." Thesis, Brunel University, 2014. http://bura.brunel.ac.uk/handle/2438/9173.

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The behaviourally based portfolio selection problem with investor's loss aversion and risk aversion biases in portfolio choice under uncertainty are studied. The main results of this work are developed heuristic approaches for the prospect theory and cumulative prospect theory models proposed by Kahneman and Tversky in 1979 and 1992 as well as an empirical comparative analysis of these models and the traditional mean variance and index tracking models. The crucial assumption is that behavioural features of the (cumulative) prospect theory model provide better downside protection than tradition
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Mezali, Hakim. "Methods for solving problems in financial portfolio construction, index tracking and enhanced indexation." Thesis, Brunel University, 2013. http://bura.brunel.ac.uk/handle/2438/10183.

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The focus of this thesis is on index tracking that aims to replicate the movements of an index of a specific financial market. It is a form of passive portfolio (fund) management that attempts to mirror the performance of a specific index and generate returns that are equal to those of the index, but without purchasing all of the stocks that make up the index. Additionally, we consider the problem of out-performing the index - Enhanced Indexation. It attempts to generate modest excess returns compared to the index. Enhanced indexation is related to index tracking in that it is a relative retur
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Salih, Ali. "The Omega Function : A Comparison Between Optimized Portfolios." Thesis, Mälardalens högskola, Akademin för utbildning, kultur och kommunikation, 2011. http://urn.kb.se/resolve?urn=urn:nbn:se:mdh:diva-13272.

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The traditional way to analyze stocks and portfolios within the area of finance have been restricted to Sharpe and Markovitz. The Omega function and its properties enlighten the field of finance and differs from the traditional ways when it comes to the volatility of the stocks. The Omega function, the Sharpe performance criteria and mean-variance model by Markovitz will be used. All calculations are done in Matlab and the data sheets are excel tables. The aim of this thesis is to investigate the nordic small cap market by using the Omega function, Sharpe performance criteria and the mean vari
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Minot, Maël. "Investigating decomposition methods for the maximum common subgraph and sum colouring problems." Thesis, Lyon, 2017. http://www.theses.fr/2017LYSEI120/document.

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Notre objectif est d’évaluer et de rendre opérationnelle la décomposition de problèmes d’optimisation sous contraintes. Nous nous sommes intéressés à deux problèmes en particulier : le problème de la recherche d’un plus grand sous-graphe commun (MCIS), et le problème de somme coloration minimale (MSCP). Il s’agit de problèmes NP-difficiles pour lesquels les approches de résolution complètes passent difficilement à l’échelle, et nous proposons de les améliorer à cet égard en décomposant ces problèmes en sous-problèmes indépendants. Les décompositions que nous proposons s’appuient sur la structu
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Rostami, Alexander Mazyar. "Evaluating SEB Investment Strategy´s Recommended Mutual Fund Portfolios." Thesis, Mälardalens högskola, Institutionen för matematik och fysik, 2010. http://urn.kb.se/resolve?urn=urn:nbn:se:mdh:diva-9750.

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Preview:     SEB Investment Strategy is the function in SEB that supports business units SEB      Private Banking and SEB Retail with investment philosophy and investment            process. The framework of SEB Investment Strategy encompasses to manage a     structured investment philosophy and process to produce a range of investment                    options and portfolios for different target groups. From January 2006 to October        2009 forty “Proposal for fund portfolios” were produced each containing         writing on market condition and expectations plus portfolio recommendations
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