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Dissertations / Theses on the topic 'Portfolio selection'
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Souza, Thiago de Oliveira. "Essays on portfolio selection." Thesis, Queen Mary, University of London, 2012. http://qmro.qmul.ac.uk/xmlui/handle/123456789/8682.
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This thesis began with an introduction and literature review in Chapter 1. In Chapter 2, I propose a new intertemporal asset-pricing model based on heterogeneous beliefs to bring together the concurrent theories that could generate value and momentum effects. In this model, I assume that such behaviour occurs simply due to an agnostic view of forecasting returns considering the dominant strategy in the market. Given the endogenous price determination in the model, individuals were expected to adjust their own strategies to match the dominant strategy to obtain higher profits (from more accurate fore- casts). The idea was to bridge the literature on intertemporal asset allocation with the one on heterogeneous beliefs. In Chapters 3 and 4, I consider the empirical problem of implementing Markowitz (1952) mean-variance optimisation on a portfolio of stocks. In particular, I focus on the out-of-sample performance of the minimum-variance portfolio obtained from the use of asset group information and regularisation methods to obtain more stable estimates of the parameters in the model. Specifically, in Chapter 3, I introduce the use of regularisation methods to the portfolio selection problem and a literature review on the subject. In Chapter 4, I propose two alternative approaches for the use of the group structure information and to obtain more stable and regularised minimum-variance portfolios. I show that these procedures produce significantly better results in the portfolios compared with the unconstrained minimum-variance portfolios estimated from the whole data set in terms of portfolio variance and the Sharpe ratio.
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Memmel, Christoph. "Schätzrisiken in der Portfoliotheorie : Auswirkungen und Möglichkeiten der Reduktion /." Lohmar ; Köln : Eul, 2004. http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&doc_number=012869843&line_number=0002&func_code=DB_RECORDS&service_type=MEDIA.
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Brinkmann, Ulf. "Robuste Asset-Allocation /." Bad Soden/Ts. : Uhlenbruch, 2007. http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&doc_number=016280816&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA.
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Schmieder, Christian. "Multi-period credit portfolio selection /." Marburg : Tectum-Verl, 2006. http://deposit.ddb.de/cgi-bin/dokserv?id=2771399&prov=M&dok_var=1&dok_ext=htm.
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Schmieder, Christian. "Multi-period credit portfolio selection." Marburg Tectum-Verl, 2005. http://deposit.ddb.de/cgi-bin/dokserv?id=2771399&prov=M&dok_var=1&dok_ext=htm.
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Norman, Andrew R. "Portfolio selection with transaction costs." Thesis, Imperial College London, 1988. http://hdl.handle.net/10044/1/11848.
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Ferreira, Pedro Miguel Barreirão. "Diversification and portfolio selection methods." Master's thesis, Instituto Superior de Economia e Gestão, 2010. http://hdl.handle.net/10400.5/2227.
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Mestrado em FinançasThis paper studies several portfolio selection methods in order to achieve higher returns and lower risk than the market. The main objective of this paper is to conclude if it is possible to achieve higher returns and lower risk than the market using only daily close stocks price data. It is important however, to know how the number of assets affects the risk of portfolio (benefits of diversification). Therefore, in the early stage, the impact of the introduction of stocks in the portfolio in terms of risk will be analyzed in order to choose a minimum number of stocks to maximize the benefits of diversification. Several techniques of portfolio selection (optimal portfolio, minimum variance and equal weights) are tested in order to achieve higher returns and lower risk levels than the sectors indexes. The benefits of diversification can be achieved with few stocks. This is the first conclusion of this paper that allows a reduction of the cost of transactions in the techniques used. Some of the portfolio selection methods in this paper achieved quite good results, revealed better performance than the index markets over the ten year period. However the best technique isn't equal to all sectors, there are slight differences between the best techniques among sectors.
Este trabalho estuda diversos métodos de selecção de carteiras de forma a obter maiores retornos e menor risco que o mercado. O principal objectivo é obter maiores rendibilidades e menores níveis de risco que o mercado usando apenas os preços das acções. Contudo, é importante saber como o número de activos afecta o risco de uma carteira (benefícios da diversificação). Portanto, numa primeira fase, será analisado o impacto da introdução de activos numa carteira em termos de risco, para escolher um número mínimo de acções para constituir uma carteira maximizando o benefício da diversificação. Diversas técnicas de selecção de carteiras (carteira óptima, variância mínima e pesos iguais) são testadas de forma a obter maiores retornos e menores nível de risco que o índice sectorial. Os benefícios da diversificação podem ser atingidos com poucas acções. Esta foi a primeira conclusão, que permitiu a redução dos custos de transacção nas técnicas utilizadas. Alguns métodos de selecção de carteiras estudados obtiveram bons resultados, revelando melhor performance que o índice de mercado ao longo dos dez anos. Contudo, a melhor técnica não é igual para todos os sectores, existem ligeiras diferenças entre as melhores técnicas entre os sectores.
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Ashwood, Andrew J. "Portfolio selection using artificial intelligence." Thesis, Queensland University of Technology, 2014. https://eprints.qut.edu.au/66229/1/Andrew_Ashwood_Thesis.pdf.
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The application of artificial intelligence in finance is relatively new area of research. This project employed artificial neural networks (ANNs) that use both fundamental and technical inputs to predict future prices of widely held Australian stocks and use these predicted prices for stock portfolio selection over a long investment horizon. The research involved the creation and testing of a large number of possible network configurations and draws conclusions about ANN architectures and their overall suitability for the purpose of stock portfolio selection.
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Ciani, Gabriele <1993>. "Portfolio Selection with Swarm Intelligence." Master's Degree Thesis, Università Ca' Foscari Venezia, 2018. http://hdl.handle.net/10579/12769.
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The introduction of budget, cardinality and composition constraints to the portfolio selection problem implies the utilization of modern techniques for the achievement of the solution.
In particular, this thesis will analyse Particle Swarm Optimization, a bio-inspired metaheuristic algorithm that aims to explore the search space in order to find optimal solutions.
The problem considered consists in the minimization of a coherent risk measure, the expected shortfall, subject to risk adjusted performance constraints, budget, cardinality and fractions constraints.
In practice, a chosen number of particles are exploring the set of feasible solutions. To the position of each particle is assigned a value of the objective function which accounts for the risk measure and for penalties associated to the constraints.
Particles move according to signals given by their neighbors, by the particle with the best result and by their own memory.
The implementation of the PSO algorithm is used to find a feasible and well diversified portfolio composed by Exchange Traded Funds sold on the Italian market, Borsa Italiana.
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Puhle, Michael. "Bond portfolio optimization." Berlin Heidelberg Springer, 2007. http://d-nb.info/985928115/04.
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Mertens, Detlef. "Portfolio-Optimierung nach Markowitz /." Frankfurt am Main : Bankakademie-Verlag, 2004. http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&doc_number=012908193&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA.
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Marx, Stefan. "Aktienprognosen zur Portfolio-Optimierung /." Wiesbaden : Wiesbaden : Dt. Univ.-Verl. ; Gabler, 1996. http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&doc_number=007347803&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA.
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Liu, Cheng-Wei. "Portfolio Management - Project Selection & Prioritisation." Thesis, University of Canterbury. Engineering Management, 2012. http://hdl.handle.net/10092/7456.
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Selecting the right project is critical for an organisation's success because resources are limited. From an economics perspective, the loss in opportunity for an organisation in doing the wrong project is expensive. This investment can be used for doing the right project for achieving competitive advantage and implementing business strategies. As a result, there are many frameworks with techniques and tools available in the literature for assisting organisations in project selection and prioritisation. All techniques or tools have their own advantages and disadvantages and these frameworks do not fit “one for all”. The framework can be business specific; therefore it is necessary to understand what the targeted industry considers as the “best practice”.
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Deijk, Manuel. "Behavioral Selection Criteria And Portfolio Performance." St. Gallen, 2006. http://www.biblio.unisg.ch/org/biblio/edoc.nsf/wwwDisplayIdentifier/00642330001/$FILE/00642330001.pdf.
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Drut, Bastien. "Socially responsible investment and portfolio selection." Doctoral thesis, Universite Libre de Bruxelles, 2011. http://hdl.handle.net/2013/ULB-DIPOT:oai:dipot.ulb.ac.be:2013/209829.
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This thesis aims at determining the theoretical and empirical consequences of the consideration of socially responsible indicators in the traditional portfolio selection. The first chapter studies the significance of the mean-variance efficiency loss of a sovereign bond portfolio when introducing a constraint on the average socially responsible ratings of the governments. By using a sample of developed sovereign bonds on the period 1995-2008, we show that it is possible to increase sensibly the average socially responsible rating without significantly losing in terms of diversification. The second chapter proposes a theoretical analysis of the impact on the efficient frontier of a constraint on the socially responsible ratings of the portfolio. We highlight that different cases may arise depending on the correlation between the expected returns and the socially responsible ratings and on the investor’s risk aversion. Lastly, as the issue of the efficiency of socially responsible portfolios is a central point in the financial literature, the last chapter proposes a new mean-variance efficiency test in the realistic case where there is no available risk-free asset.Doctorat en Sciences économiques et de gestion
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Kandasamy, Hariharan. "Portfolio selection under various risk measures." Connect to this title online, 2008. http://etd.lib.clemson.edu/documents/1219848541/.
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Vasilellis, George A. "Forecasting the inputs for portfolio selection." Thesis, Imperial College London, 1993. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.312478.
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CALDEIRA, ANDRE MACHADO. "PORTFOLIO SELECTION USING NON PARAMETRIC TECHNIQUES." PONTIFÍCIA UNIVERSIDADE CATÓLICA DO RIO DE JANEIRO, 2005. http://www.maxwell.vrac.puc-rio.br/Busca_etds.php?strSecao=resultado&nrSeq=6988@1.
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PONTIFÍCIA UNIVERSIDADE CATÓLICA DO RIO DE JANEIRONos anos 50, Henrry Markowitz criou um modelo que maximiza a razão entre a média e o desvio padrão [Markowitz, 1952 & 1959]. Esse modelo é muito utilizado até os dias de hoje. Porém ele supõe que os retornos dos ativos do portifólio sejam normalmente distribuídos, e isso não é tão comum, logo seu uso é limitado. Esse trabalho propõe um modelo mais robusto em termos de risco, que possa ser utilizado sem restrições de distribuições, não necessitando do conhecimento a priori das distribuições e que seja uma aproximação do modelo de Markowitz, caso os retornos dos ativos sejam normalmente distribuídos. Para possibilitar isso, o índice maximizado pelo modelo de Markowitz é escrito como uma função da média e da entropia. A seleção do portifólio é dada pelo portifólio que obtiver o maior índice proposto dentro da amostra selecionada.
In the 50 s, Henrry Markowitz created a model that maximizes the mean to standard deviation ratio [Markowitz, 1952]. This model is largely use in the financial market. However, it assumes that portfolio s equities returns are normally distributed, and this not always happens, therefore limiting its use. This work proposes a more robust model in risk measure that can be used without any distribution constraint, however it reduces to Markowitz model if the assets returns are normal distributed. To make it possible, the index maximized by Markowitz will be written as a function of the mean and the entropy. The portfolio selection is that one witch has the largest proposed index in the selected sample.
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Filho, Émerson Bitarães de Moura. "Risk parity approach to portfolio selection." Master's thesis, Instituto Superior de Economia e Gestão, 2020. http://hdl.handle.net/10400.5/20721.
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Mestrado em FinançasEste estudo compara de forma empírica a performance de estratégias de investimento baseadas em paridade de risco (RP) e outras estratégias comuns, resultantes tanto da teoria de média variância - carteira tangente ou de mínima variância - ou de estratégias naïve como as carteiras 60/40 ou homogénea (H). Analisámos a performance de cinco estratégias baseadas em RP face a quatro estratégias de referência durante quatro diferentes horizontes de investimento entre 2000 e 2019. Baseamos a nossa análise numa amostragem de 30 anos sobre cinco índices representantes de diferentes classes de ativos. Concluímos que estratégias de paridade de risco são mais balanceadas de um ponto de vista de risco (contribuição de risco, VaR e máxima perda) e que algumas obtiveram resultados mais consitentes do que as carteiras naïve em termos de retornos ajustados, provando ser uma alternativa efetiva. Contudo, as estratégias RP não foram capazes de bater regularmente as carteias da teoria de média variância.
This study empirically compares the performance of risk parity (RP) investment strategy with other common investment strategies, resulting either from mean variance theory (MVT) - tangent and minimum variance portfolios - or naïve investments such as the 60/40 or the homogeneous (H) portfolios. We analysed five RP-based strategies and tested their performances against four benchmark strategies, considering four different investment horizons from 2000 to 2019. We based our analysis in a 30-year data sample ended in December 2019 of five broad indexes representing different asset classes. We concluded that RP strategies are more balanced from a purely risk point of view (risk contributions, VaR and maximum drawdown), and that some of them consistently outperformed naïve benchmark strategies in risk-adjusted returns, proving to be an effective alternative. However, RP strategies are not able to consistently outperform MVT based portfolios.
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Magoč, Tanja. "New algorithms for optimal portfolio selection." To access this resource online via ProQuest Dissertations and Theses @ UTEP, 2009. http://0-proquest.umi.com.lib.utep.edu/login?COPT=REJTPTU0YmImSU5UPTAmVkVSPTI=&clientId=2515.
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Jiang, Lin. "Robust and Multi-objective Portfolio Selection." Thesis, Curtin University, 2020. http://hdl.handle.net/20.500.11937/82486.
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In this thesis, robust and multi-objective portfolio selection problem will be studied. New models and computational algorithms will be developed to solve the proposed models. In particularly, we have studied multi-objective portfolio selection with inexact information on investment return and covariance matrix. The problems have been transformed into easily solvable problems through theoretical analysis. Numerical experiments are presented to validate the methods.
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BONOMELLI, Marco. "Models and methods for portfolio selection." Doctoral thesis, Università degli studi di Bergamo, 2020. http://hdl.handle.net/10446/181483.
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Scarpa, Giulia <1991>. "PSO for CVaR-based Portfolio Selection." Master's Degree Thesis, Università Ca' Foscari Venezia, 2016. http://hdl.handle.net/10579/8970.
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In questo elaborato si intende proporre un nuovo modello di selezione di portafogli che utilizza il Conditional Value at Risk come misura del rischio finanziario, servendosi si una metaeuristica che concentra la ricerca della soluzione ottima nell’area più promettente dello spazio delle soluzioni: la Particle Swarm Optimization.
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Eggers, Rainer. "Martingalansätze in der Portfolioselektion /." [S.l.] : [s.n.], 2004. http://www.gbv.de/dms/zbw/470721057.pdf.
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Malyon, Brett Edwin. "Project interactions and emergent portfolio attributes in multi-criteria portfolio selection." Thesis, University of Strathclyde, 2005. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.416194.
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Müller, Stephan. "Constrained portfolio optimization /." [S.l.] : [s.n.], 2005. http://aleph.unisg.ch/hsgscan/hm00133325.pdf.
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Niebuhr, Philippe. "Branchenstrategien in der integrierten Asset-Allocation /." [S.l.] : [s.n.], 2001. http://aleph.unisg.ch/hsgscan/hm00151707.pdf.
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Lang, Sebastian. "Core-Satellite Portfoliomanagement : Theorie und empirische Analyse /." Bern ; Stuttgart Wien : Haupt, 2009. http://d-nb.info/99103418X/04.
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Lorenz, Julian Michael. "Optimal trading algorithms : portfolio transactions, multiperiod portfolio selection, and competitive online search /." Zürich : ETH, 2008. http://e-collection.ethbib.ethz.ch/show?type=diss&nr=17746.
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Potaptchik, Marina. "Portfolio Selection Under Nonsmooth Convex Transaction Costs." Thesis, University of Waterloo, 2006. http://hdl.handle.net/10012/2940.
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We consider a portfolio selection problem in the presence of transaction costs. Transaction costs on each asset are assumed to be a convex function of the amount sold or bought. This function can be nondifferentiable in a finite number of points. The objective function of this problem is a sum of a convex twice differentiable function and a separable convex nondifferentiable function. We first consider the problem in the presence of linear constraints and later generalize the results to the case when the constraints are given by the convex piece-wise linear functions. Due to the special structure, this problem can be replaced by an equivalent differentiable problem in a higher dimension. It's main drawback is efficiency since the higher dimensional problem is computationally expensive to solve.
We propose several alternative ways to solve this problem which do not require introducing new variables or constraints. We derive the optimality conditions for this problem using subdifferentials. First, we generalize an active set method to this class of problems. We solve the problem by considering a sequence of equality constrained subproblems, each subproblem having a twice differentiable objective function. Information gathered at each step is used to construct the subproblem for the next step. We also show how the nonsmoothness can be handled efficiently by using spline approximations. The problem is then solved using a primal-dual interior-point method.
If a higher accuracy is needed, we do a crossover to an active set method. Our numerical tests show that we can solve large scale problems efficiently and accurately.
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Ghasemzadeh, Fereidoun. "Project portfolio selection : a decision support approach /." Thesis, National Library of Canada = Bibliothèque nationale du Canada, 1998. http://www.collectionscanada.ca/obj/s4/f2/dsk1/tape10/PQDD_0003/NQ42738.pdf.
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Zuev, Denis. "New and improved robust portfolio selection models." Thesis, University of Oxford, 2009. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.526412.
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SILVA, PIERRY SOUTO MACEDO DA. "A RISK-CONSTRAINED PROJECT PORTFOLIO SELECTION MODEL." PONTIFÍCIA UNIVERSIDADE CATÓLICA DO RIO DE JANEIRO, 2018. http://www.maxwell.vrac.puc-rio.br/Busca_etds.php?strSecao=resultado&nrSeq=34628@1.
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PONTIFÍCIA UNIVERSIDADE CATÓLICA DO RIO DE JANEIROCOORDENAÇÃO DE APERFEIÇOAMENTO DO PESSOAL DE ENSINO SUPERIOR
PROGRAMA DE SUPORTE À PÓS-GRADUAÇÃO DE INSTS. DE ENSINO
PROGRAMA DE SUPORTE À PÓS-GRADUAÇÃO DE INSTITUIÇÕES COMUNITÁRIAS DE ENSINO PARTICULARES
No seu planejamento plurianual de investimentos, as organizações do setor de Exploração e Produção (EeP) estruturam alternativas de projetos de produção de petróleo e gás natural, sujeitas a diversas restrições e a incertezas técnicas e econômicas. Como não há como assegurar que os resultados dos projetos ocorram conforme o previsto, é possível que seu retorno seja inferior ao esperado, o que, dependendo da relevância, pode provocar um efeito adverso no resultado operacional e nas condições financeiras da companhia. Nesse mérito, a dissertação apresenta e aplica um modelo de programação estocástica linear inteira mista para seleção de portfólio de projetos que permita a maximização dos resultados, com restrição de risco. A aplicação considerou dados realistas do segmento de upstream de uma empresa do setor. Para representar os cenários econômicos, optou-se pela utilização da simulação de Monte Carlo do modelo Movimento Geométrico Browniano. Com o Valor Presente Líquido como retorno e Conditional Value-at-Risk representando a medida de risco, foi possível estabelecer a fronteira eficiente do risco-retorno, com a qual o decisor pode definir uma solução de portfólio, conforme sua aversão ao risco.
In their multi-annual investment planning, oil and gas companies consider alternatives of production projects, subject to a variety of constraints, and technical and economic uncertainties. Considering that it is not possible to guarantee that these projects will perform as predicted, the return can be less than expected and can lead to a significant adverse effect to the operational results and to financial conditions of a given organization. Therefore, this dissertation proposes a mixed integer linear stochastic programming model for project portfolio selection that maximizes the return with risk constraint. The application considered realistic data from the upstream segment of an oil and gas company. Monte Carlo simulation of the Geometric Brownian Motion model was considered to represent the economic scenarios. Using the Net Present Value as the function and Conditional Value-at-Risk as a risk measure, it was possible to establish the efficient frontier of risk-return, which can assist the decision-maker to define the project portfolio according to their risk aversion.
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Li, Siyuan. "Time inconsistent portfolio selection and indifference pricing." Thesis, University of Oxford, 2017. https://ora.ox.ac.uk/objects/uuid:0827fffd-077a-49a3-9399-cc086316799f.
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In this thesis, we study three time inconsistent portfolio selection and option pricing problems with regime switching via the equilibrium approach. We first completely solve a type of time inconsistent utility maximisation problems. We obtain the equilibrium policy laws for both the time inconsistent CARA and CRRA utility maximisation problems and point out that, for the CARA utility maximisation problem, the equilibrium policy law coincides with the naive policy law. We next study a time inconsistent option pricing problem in an incomplete market via the indifference pricing approach. We provide both the equilibrium utility and mean-variance indifference pricing rule. For the equilibrium utility indifference pricing rule, we give the PDE system characterising the equilibrium utility indifference price and show the local existence and uniqueness of this PDE system in a simplified model; for the equilibrium mean-variance indifference pricing rule, we give the explicit formula for the equilibrium mean-variance indifference price. We also discuss the marginal equilibrium indifference prices and some properties of the equilibrium pricing rules.
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Bergh, G. "Hedge funds and higher moment portfolio selection." Master's thesis, University of Cape Town, 2005. http://hdl.handle.net/11427/5881.
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Includes bibliographical references.This study confirms the findings of Davies, Kat and Lu (2003) and Feldman, Chen and Goda (2002) that Global Macro and Equity Market-Neutral strategies are crucial constituents in a fund of hedge funds portfolio. When comparing optimised multi-asset class portfolios including an allocation to hedge funds, the results show that meanvariance optimisation overallocates to the hedge fund class on the basis of its high reward to volatility ratio.
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Stein, Michael. "Mean-Variance Portfolio Selection With Complex Constraints." [S.l. : s.n.], 2007. http://digbib.ubka.uni-karlsruhe.de/volltexte/1000007246.
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Nowak, Dimitri. "Portfolio selection problem under uncertainty and risk." Connect to this title online, 2009. http://etd.lib.clemson.edu/documents/1252937972/.
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Ganouati, Janet. "A Cross-efficiency approach to portfolio selection." Thesis, Lille 1, 2018. http://www.theses.fr/2018LIL1A013.
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Le processus de sélection de portefeuille peut être effectué en deux étapes: la première consiste à évaluer les actifs financiers et la deuxième à déterminer la combinaison d’actifs qui permettrai d‘allouer de façon optimale la richesse. La combinaison des actifs financiers retenue à la fin de ce processus se doit de répondre simultanément et de façon optimale aux différents objectifs de l‘investisseur. Le problème de sélection de portefeuille peut être considéré comme un processus de décision multicritère. Dans cette thèse, plusieurs critères ont été analysés et on a tenté de répondre à la question de combien et où investir ? On a proposé une nouvelle approche multicritère basée sur la méthode d‘enveloppement des données (DEA) et l‘approche de l‘efficacité croisée pour sélectionner un portefeuille d’actifs financier. La première méthodologie proposée consiste à incorporer la méthode d’efficacité croisée dans un espace Moyenne-Variance-Skewness-Kurtosis (MVSK). Le deuxième modèle combine la mesure de l'efficacité croisée par l'enveloppement de données vue comme solution d'un jeu avec la composante risque pour choisir un portefeuille. Finalement, on a proposé d’incorporer la mesure de l'efficacité croisée par l'enveloppement de données vue comme solution d'un jeu dans un modèle d’arbitrage entre profitabilité et efficacité afin de sélectionner un portefeuille. Globalement, ces méthodes ont permis la discrimination entre les actifs financiers et de leur donner un classement unique dans un premier temps, ensuite de sélectionner un portefeuille en prenant en considération les préférences du décideurThe process of portfolio selection could be divided into two stages: the first one is the evaluation of financial assets and the second is to choose the best ones to construct portfolio. It can be considered as Multi-Criteria-Decision-Making (MCDM) process. It consists in selecting a combination of financial assets that can best meet the investors’ objective. In this dissertation, different criteria are analyzed and the question of where and how much money to allocate to each of the financial asset is processed. We propose a new multi-criteria analysis approach to portfolio selection based on Data Envelopment Analysis (DEA) cross-efficiency model. The first methodology consists in nesting the DEA cross-efficiency model into the Mean-Variance-Skewness-Kurtosis (MVSK) space. The second model combines the DEA game cross-efficiency approach with risk component to select portfolio. Finally, we propose a model incorporating the DEA game cross-efficiency into Profitability-Efficiency. Overall, these methodologies provide more discrimination for financial assets by providing unique ranks in a first step and permit to select portfolio by underlying preferences of the decision-maker in a second step
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Wheeler, Douglas J. "Contributing factors to optimal project portfolio selection." Thesis, Queensland University of Technology, 2013. https://eprints.qut.edu.au/61988/2/Douglas_Wheeler_Thesis.pdf.
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A modified Delphi approach has been applied in this study to investigate best practice and to determine the factors that contribute to optimal selection of projects. There are various standards and practices that some may recognise as representing best practice in this area. Many of these have similar characteristics and this study has found no single best practice.
The study identified the factors that contribute to the optimal selection of projects as: culture, process, knowledge of the business, knowledge of the work, education, experience, governance, risk awareness, selection of players, preconceptions, and time pressures. All these factors were found to be significant; to be appropriate to public sector organisations, private sector organisations and government owned corporations; and to have a strong linkage to research on strategic decision making. These factors can be consolidated into two underlying factors of organisation culture and leadership.
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MALAVASI, Matteo. "Essays on Stochastic Orderings in Portfolio Selection." Doctoral thesis, Università degli studi di Bergamo, 2019. http://hdl.handle.net/10446/128712.
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Stochastic Orderings represent a relevant approach in portfolio selection for various reasons. Firstly, Stochastic Ordering are theoretically justified by Expected Utility theory. Typically, investors are classified according to their attitude toward risk. For each class of investors then, it is possible to define stochastic orderings coherent with investors' preference. Secondly, Stochastic Orderings are flexible enough to allow different definitions of efficiency suitable for each category of investors. This Thesis proposes several applications of Stochastic Orderings to portfolio selection problems. In the first chapter, an analysis of the relationship between Second order of Stochastic Dominance efficient set and Mean Variance Efficient Frontier is proposed. Not only the two sets differ under many aspects, but the Global Minimum Variance portfolio and other Mean Variance Efficient portfolios are dominated in the sense of Second order of Stochastic Dominance. Based on this fact, the chapter concludes proposing dominating strategies able to outperform the Global Minimum Variance portfolio. In the second chapter, starting from recent findings in the literature, that address the behavior of investors as non satiable, nor risk averting nor risk seeking, an extension of classic definition of Stochastic Dominance efficiency, linked to behavioral finance is given. In particular, investors' behavior changes according to market conditions. The last part of the chapter presents a methodology, based on estimation function theory, to test for portfolio efficiency with respect a general stochastic ordering. Both the analysis of efficiency for Second order of Stochastic Dominance and behavioral finance, questioned the validity of highly diversified choices. For this reason, this thesis concludes introducing Risk Diversification measures, a new class of functional quantifying the amount of idiosyncratic risk diversified among the assets in a portfolio. The Mean Risk Diversification Efficient Frontier is introduced, along with the concept of Mean Risk Diversification efficiency. The empirical analysis describes the relationship between risk aversion, Risk Diversification and classic diversification, and show how Risk Diversification based strategies perform under periods of financial distress.
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Jandura, Isabelle. "Immobilien im Mixed-Asset-Portfolio : eine empirische Analyse des Diversifikationspotentials von Immobilien-Aktien /." Frankfurt am Main : Lang, 2003. http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&doc_number=010402676&line_number=0002&func_code=DB_RECORDS&service_type=MEDIA.
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Stahlhut, Bettina. "Messung und Analyse der Performance von Aktienportfolios : theoretische Grundlagen ausgewählter Konzepte und deren praktische Bedeutung /." Frankfurt am Main : Bankakad.-Verl, 1997. http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&doc_number=007699319&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA.
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Schwerk, Thomas. "NELION: a non-linear stock prediction and portfolio management system." [S.l. : s.n.], 2001. http://www.diss.fu-berlin.de/2001/85/index.html.
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Emmer, Susanne. "Optimal portfolios with bounded downside risks." [S.l. : s.n.], 2002. http://deposit.ddb.de/cgi-bin/dokserv?idn=96577838X.
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Nunes, Madalena Baioa Paraíso. "Portfolio selection : a study using principal component analysis." Master's thesis, Instituto Superior de Economia e Gestão, 2017. http://hdl.handle.net/10400.5/14598.
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Mestrado em FinançasNesta tese aplicámos a análise de componentes principais ao mercado bolsista português usando os constituintes do índice PSI-20, de Julho de 2008 a Dezembro de 2016. Os sete primeiros componentes principais foram retidos, por se ter verificado que estes representavam as maiores fontes de risco deste mercado em específico. Assim, foram construídos sete portfólios principais e comparámo-los com outras estratégias de alocação. Foram construídos o portfólio 1/N (portfólio com investimento igual para cada um dos 26 ativos), o PPEqual (portfólio com igual investimento em cada um dos 7 principal portfólios) e o portfólio MV (portfólio que tem por base a teoria moderna de gestão de carteiras de Markowitz (1952)). Concluímos que estes dois últimos portfólios apresentavam os melhores resultados em termos de risco e retorno, sendo o portfólio PPEqual mais adequado a um investidor com maior grau de aversão ao risco e o portfólio MV mais adequado a um investidor que estaria disposto a arriscar mais em prol de maior retorno. No que diz respeito ao nível de risco, o PPEqual é o portfólio com melhores resultados e nenhum outro portfólio conseguiu apresentar valores semelhantes. Assim encontrámos um portfólio que é a ponderação de todos os portfólios principais por nós construídos e este era o portfólio mais eficiente em termos de risco.
In this thesis we apply principal component analysis to the Portuguese stock market using the constituents of the PSI-20 index from July 2008 to December 2016. The first seven principal components were retained, as we verified that these represented the major risk sources in this specific market. Seven principal portfolios were constructed and we compared them with other allocation strategies. The 1/N portfolio (with an equal investment in each of the 26 stocks), the PPEqual portfolio (with an equal investment in each of the 7 principal portfolios) and the MV portfolio (based on Markowitz's (1952) mean-variance strategy) were constructed. We concluded that these last two portfolios presented the best results in terms of return and risk, with PPEqual portfolio being more suitable for an investor with a greater degree of risk aversion and the MV portfolio more suitable for an investor willing to risk more in favour of higher returns. Regarding the level of risk, PPEqual is the portfolio with the best results and, so far, no other portfolio has presented similar values. Therefore, we found an equally-weighted portfolio among all the principal portfolios we built, which was the most risk efficient.
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Chang, Cody. "Portfolio Company Selection Criteria: Accelerators vs Venture Capitalists." Scholarship @ Claremont, 2013. http://scholarship.claremont.edu/cmc_theses/566.
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The explosive growth of ‘accelerators’ in the United States has given entrepreneurs and their startups the opportunity to pursue seed-stage financing. While the specific economic role of accelerators remains unclear, a study comparing the selection of portfolio companies between accelerators and venture capitalists was performed. A difference of means was performed on the responses per question between the collected 19 accelerators’ response and the 100 venture capitalists’ response, recorded from a prior study. It is found that venture capitalists place significantly more weight, than accelerators, on the potential of the startup’s product or service to be proprietary, to enter a high-growth market with little threat of competition within the first 3 years, and to deliver a high financial return within 5 to 10 years. The results also indicate that both accelerators and venture capitalists emphasize different attributes of the entrepreneur and venture team when considering selection.
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SCHLITTLER, JOAO GABRIEL FELIZARDO S. "PORTFOLIO SELECTION VIA DATA-DRIVEN DISTRIBUTIONALLY ROBUST OPTIMIZATION." PONTIFÍCIA UNIVERSIDADE CATÓLICA DO RIO DE JANEIRO, 2018. http://www.maxwell.vrac.puc-rio.br/Busca_etds.php?strSecao=resultado&nrSeq=36002@1.
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PONTIFÍCIA UNIVERSIDADE CATÓLICA DO RIO DE JANEIROCOORDENAÇÃO DE APERFEIÇOAMENTO DO PESSOAL DE ENSINO SUPERIOR
PROGRAMA DE SUPORTE À PÓS-GRADUAÇÃO DE INSTS. DE ENSINO
PROGRAMA DE EXCELENCIA ACADEMICA
Otimização de portfólio tradicionalmente assume ter conhecimento da distribuição de probabilidade dos retornos ou pelo menos algum dos seus momentos. No entanto, é sabido que a distribuição de probabilidade dos retornos muda com frequência ao longo do tempo, tornando difícil a utilização prática de modelos puramente estatísticos, que confiam indubitavelmente em uma distribuição estimada. Em contrapartida, otimização robusta considera um completo desconhecimento da distribuição dos retornos, e por isto, buscam uma solução ótima para todas as realizações possíveis dentro de um conjunto de incerteza dos retornos. Mais recentemente na literatura, técnicas de distributionally robust optimization permitem lidar com a ambiguidade com relação à distribuição dos retornos. No entanto essas técnicas dependem da construção do conjunto de ambiguidade, ou seja, distribuições de probabilidade a serem consideradas. Neste trabalho, propomos a construção de conjuntos de ambiguidade poliédricos baseado somente em uma amostra de retornos. Nestes conjuntos, as relações entre variáveis são determinadas pelos dados de maneira não paramétrica, sendo assim livre de possíveis erros de especificação de um modelo estocástico. Propomos um algoritmo para construção do conjunto e, dado o conjunto, uma reformulação computacionalmente tratável do problema de otimização de portfólio. Experimentos numéricos mostram que uma melhor performance do modelo em comparação com benchmarks selecionados.
Portfolio optimization traditionally assumes knowledge of the probability distribution of returns or at least some of its moments. However is well known that the probability distribution of returns changes over time, making difficult the use of purely statistic models which undoubtedly rely on an estimated distribution. On the other hand robust optimization consider a total lack of knowledge about the distribution of returns and therefore it seeks an optimal solution for all the possible realizations wuthin a set of uncertainties of the returns. More recently the literature shows that distributionally robust optimization techniques allow us to deal with ambiguity regarding the distribution of returns. However these methods depend on the construction of the set of ambiguity, that is, all distribution of probability to be considered. This work proposes the construction of polyhedral ambiguity sets based only on a sample of returns. In those sets, the relations between variables are determined by the data in a non-parametric way, being thus free of possible specification errors of a stochastic model. We propose an algorithm for constructing the ambiguity set, and then a computationally treatable reformulation of the portfolio optimization problem. Numerical experiments show that a better performance of the model compared to selected benchmarks.
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Platanakis, Emmanouil. "Essays on robust portfolio selection and pension finance." Thesis, University of Reading, 2016. http://centaur.reading.ac.uk/64081/.
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This thesis examines three different, but related problems in the broad area of portfolio management for long-term institutional investors, and focuses mainly on the case of pension funds. The first idea (Chapter 3) is the application of a novel numerical technique – robust optimization – to a real-world pension scheme (the Universities Superannuation Scheme, USS) for first time. The corresponding empirical results are supported by many robustness checks and several benchmarks such as the Bayes-Stein and Black-Litterman models that are also applied for first time in a pension ALM framework, the Sharpe and Tint model and the actual USS asset allocations. The second idea presented in Chapter 4 is the investigation of whether the selection of the portfolio construction strategy matters in the SRI industry, an issue of great importance for long term investors. This study applies a variety of optimal and naïve portfolio diversification techniques to the same SRI-screened universe, and gives some answers to the question of which portfolio strategies tend to create superior SRI portfolios. Finally, the third idea (Chapter 5) compares the performance of a real-world pension scheme (USS) before and after the recent major changes in the pension rules under different dynamic asset allocation strategies and the fixed-mix portfolio approach and quantifies the redistributive effects between various stakeholders. Although this study deals with a specific pension scheme, the methodology can be applied by other major pension schemes in countries such as the UK and USA that have changed their rules.
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Zhu, Min. "Return predictability and its implications for portfolio selection." Thesis, The University of Sydney, 2012. http://hdl.handle.net/2123/8680.
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This thesis inquires into a range of issues in return predictability and its implications. First, the thesis investigates estimation bias in predictive regressions. This research stresses the importance of accounting for the bias when studying predictability. To tackle the problem of biased estimation, a general and convenient method based on the jackknife technique is proposed. The proposed method reduces the bias for both single- and multiple-regressor models and for both short- and long-horizon regressions. Compared with the existing bias-reduction methods in the literature, the proposed method is more stable, robust and flexible. More importantly, it can successfully reduce the estimation bias in long-horizon regressions, whereas the existing bias-reduction methods in the literature cease to work. The effectiveness of the proposed method is demonstrated by simulations and empirical estimates of common predictive models in finance. Empirical results show that the significant predictive variables under ordinary least squares become insignificant after adjusting for the finite-sample bias. These results cast doubt on conclusions drawn in earlier studies on the return predictability by these variables. Next, this thesis examines the predictability of return distributions. It provides detailed insights into predictability of the entire stock and bond return distributions in a quantile regression framework. The difficulty experienced in establishing predictability of the conditional mean through lagged predictor variables does not imply that other parts of the return distribution cannot be predicted. Indeed, many variables are found to have significant but heterogenous effects on the return distributions of stocks and bonds. The thesis establishes a quantile-copula framework for modelling conditional joint return distributions. This framework hinges on quantile regression for marginal return distributions and a copula for the return dependence structure. The framework is shown to be flexible and general enough to model a joint distribution while, at the same time, capturing any non-Gaussian characteristics in both marginal and joint returns. The thesis then explores the implications of return distribution predictability for portfolio selection. A distribution-based framework for portfolio selection is developed which consists of the joint return distribution modelled by the quantile-copula approach and an objective function accommodating higher-order moments. Threshold-accepting optimisation technique is used for obtaining optimal allocation weights. This proposed framework extends traditional moment-based portfolio selection in order to utilise the whole predicted return distribution. The last part of the thesis studies nonlinear dynamics of cross-sectional stock returns using classification and regression trees (CART). The CART models are demonstrated to be a valuable alternative to linear regression analysis in identifying primary drivers of the stock returns. Moreover, a novel hybrid approach combining CART and logistic regression is proposed. This hybrid approach takes advantage of the strengths in both CART and linear parametric models. An empirical application to cross-sectional stock return prediction shows that the hybrid approach captures return dynamics better than either a standalone CART or a logistic model.
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Oppenheimer, Fabian. "Impact investing: portfolio company selection in Latin America." reponame:Repositório Institucional do FGV, 2014. http://hdl.handle.net/10438/11814.
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The paper analyses how Impact Investors select their portfolio companies in Latin America and what criteria are assessed in the process. Since virtually no research on this has been conducted to date, and since the selection process model applied in Venture Capital is not dissimilar, that approach has been adopted. The findings reveal that Impact Investors originate and assess deals in a similar way to Venture Capitalists, but that some criteria are adjusted and others added in order to reflect the dual objective of Impact Investing. Impact Investors can originate deals passively, but they prefer searching for social ventures proactively: personal contacts, access to networks and industry events are crucial in this context. Impact Investors considering an investment in Latin America search for integer, honest and reliable social entrepreneurs committed to social impact; eligible social ventures must be profitable with potential for further scalability; the product must have a social impact, i.e. create value for the individual consumer and for the wider community; market size and market growth are crucial external factors; and the deal features depend on the investor’s risk attitude and the prospects of a successful exit in both financial and social terms. Impact Investors are also willing to provide non-financial support prior to an investment, if a social venture shows high potential for achieving their dual objective.
O documento analisa como investidores de impacto selecionar suas companhias de portfólio na América Latina e que critérios são avaliados no processo. Uma vez que praticamente ne-nhuma pesquisa sobre isso foi con conduzidos até à data, e desde que o modelo de processo de seleção aplicados em capital de risco não é dissemelhantes, foi adotado essa abordagem. Os resultados revelam que os investidores de impacto originar e avaliar negócios de uma for-ma semelhante a capitalistas de risco , mas que alguns critérios são ajustados e outros adicio-nados a fim de refletir o duplo objectivo de investimento de impacto. Os investidores de im-pacto podem originar ofertas passivamente, mas eles preferem procurar empreendimentos sociais de forma proativa: contatos pessoais, o acesso a redes e eventos do setor são cruciais neste contexto. Impacto Investidores considerando um investimento em pesquisa para a Amé-rica Latina inteira, empreendedores sociais honestos e confiáveis comprometidos com impacto social; empreendimentos sociais elegíveis devem ser rentáveis com potencial de escalabilidade; o produto deve ter um impacto social, ou seja, criar valor para o consumidor individual e para a comunidade em geral; tamanho do mercado e crescimento do mercado são fatores externos cruciais; e as características de negócio dependem de atitude de risco do investidor e as perspectivas de uma saída bem sucedida, tanto em termos financeiros e sociais. Os investi-dores de impacto também estão dispostos a dar apoio não financeiro antes de um investimen-to, se um empreendimento social, mostra alto potencial para atingir o seu objectivo dual.