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You searched for `subject:(Portfolio Optimization)`

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130 total matches.

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Dates

- 2015 – 2019 (57)
- 2010 – 2014 (64)
- 2005 – 2009 (14)

Universities

- KTH (13)
- University of Waterloo (10)

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Cornell University

1.
Mull-Osborn, Alexander.
*Portfolio**Optimization* In Incomplete Markets In The Presence Of Asset Price Bubbles
.

Degree: 2014, Cornell University

URL: http://hdl.handle.net/1813/37016

► In this work, the effect an asset price bubble has on optimal *portfolio* allocations is investigated. A price bubble is an economic phenomenon that occurs…
(more)

Subjects/Keywords: Portfolio Optimization; Price Bubbles

Record Details Similar Records

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APA · Chicago · MLA · Vancouver · CSE | Export to Zotero / EndNote / Reference Manager

APA (6^{th} Edition):

Mull-Osborn, A. (2014). Portfolio Optimization In Incomplete Markets In The Presence Of Asset Price Bubbles . (Thesis). Cornell University. Retrieved from http://hdl.handle.net/1813/37016

Note: this citation may be lacking information needed for this citation format:

Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16^{th} Edition):

Mull-Osborn, Alexander. “Portfolio Optimization In Incomplete Markets In The Presence Of Asset Price Bubbles .” 2014. Thesis, Cornell University. Accessed November 15, 2019. http://hdl.handle.net/1813/37016.

Note: this citation may be lacking information needed for this citation format:

Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7^{th} Edition):

Mull-Osborn, Alexander. “Portfolio Optimization In Incomplete Markets In The Presence Of Asset Price Bubbles .” 2014. Web. 15 Nov 2019.

Vancouver:

Mull-Osborn A. Portfolio Optimization In Incomplete Markets In The Presence Of Asset Price Bubbles . [Internet] [Thesis]. Cornell University; 2014. [cited 2019 Nov 15]. Available from: http://hdl.handle.net/1813/37016.

Note: this citation may be lacking information needed for this citation format:

Not specified: Masters Thesis or Doctoral Dissertation

Council of Science Editors:

Mull-Osborn A. Portfolio Optimization In Incomplete Markets In The Presence Of Asset Price Bubbles . [Thesis]. Cornell University; 2014. Available from: http://hdl.handle.net/1813/37016

Not specified: Masters Thesis or Doctoral Dissertation

University of Waterloo

2. Agatonovic, Marko. Heavy-tail Sensitivity of Stable Portfolios.

Degree: 2010, University of Waterloo

URL: http://hdl.handle.net/10012/5427

► This thesis documents a heavy-tailed analysis of stable portfolios. Stock market crashes occur more often than is predicted by a normal distribution,which provides empirical evidence…
(more)

Subjects/Keywords: Stable Portfolios; Portfolio Optimization

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APA (6^{th} Edition):

Agatonovic, M. (2010). Heavy-tail Sensitivity of Stable Portfolios. (Thesis). University of Waterloo. Retrieved from http://hdl.handle.net/10012/5427

Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16^{th} Edition):

Agatonovic, Marko. “Heavy-tail Sensitivity of Stable Portfolios.” 2010. Thesis, University of Waterloo. Accessed November 15, 2019. http://hdl.handle.net/10012/5427.

Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7^{th} Edition):

Agatonovic, Marko. “Heavy-tail Sensitivity of Stable Portfolios.” 2010. Web. 15 Nov 2019.

Vancouver:

Agatonovic M. Heavy-tail Sensitivity of Stable Portfolios. [Internet] [Thesis]. University of Waterloo; 2010. [cited 2019 Nov 15]. Available from: http://hdl.handle.net/10012/5427.

Not specified: Masters Thesis or Doctoral Dissertation

Council of Science Editors:

Agatonovic M. Heavy-tail Sensitivity of Stable Portfolios. [Thesis]. University of Waterloo; 2010. Available from: http://hdl.handle.net/10012/5427

Not specified: Masters Thesis or Doctoral Dissertation

Uppsala University

3.
Barkino, Iliam.
Enough is Enough : Sufficient number of securities in an optimal * portfolio*.

Degree: Business Studies, 2016, Uppsala University

URL: http://urn.kb.se/resolve?urn=urn:nbn:se:uu:diva-298462

►

This empirical study has shown that optimal portfolios need approximately 10 securities to diversify away the unsystematic risk. This challenges previous studies of randomly… (more)

Subjects/Keywords: Optimal Portfolio; Random Portfolio; Optimization; Modern Portfolio Theory; Variance; Covariance; Diversification; Relative Standard Deviation

Record Details Similar Records

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APA (6^{th} Edition):

Barkino, I. (2016). Enough is Enough : Sufficient number of securities in an optimal portfolio. (Thesis). Uppsala University. Retrieved from http://urn.kb.se/resolve?urn=urn:nbn:se:uu:diva-298462

Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16^{th} Edition):

Barkino, Iliam. “Enough is Enough : Sufficient number of securities in an optimal portfolio.” 2016. Thesis, Uppsala University. Accessed November 15, 2019. http://urn.kb.se/resolve?urn=urn:nbn:se:uu:diva-298462.

Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7^{th} Edition):

Barkino, Iliam. “Enough is Enough : Sufficient number of securities in an optimal portfolio.” 2016. Web. 15 Nov 2019.

Vancouver:

Barkino I. Enough is Enough : Sufficient number of securities in an optimal portfolio. [Internet] [Thesis]. Uppsala University; 2016. [cited 2019 Nov 15]. Available from: http://urn.kb.se/resolve?urn=urn:nbn:se:uu:diva-298462.

Not specified: Masters Thesis or Doctoral Dissertation

Council of Science Editors:

Barkino I. Enough is Enough : Sufficient number of securities in an optimal portfolio. [Thesis]. Uppsala University; 2016. Available from: http://urn.kb.se/resolve?urn=urn:nbn:se:uu:diva-298462

Not specified: Masters Thesis or Doctoral Dissertation

McMaster University

4. Mbodji, Oumar. Time Consistent Behaviour and Discount Rates.

Degree: PhD, 2018, McMaster University

URL: http://hdl.handle.net/11375/23890

►

Decisions such as saving, investing, policymaking, have consequences in multiple time periods and are called intertemporal. These choices require decision-makers to trade-off costs and benefits… (more)

Subjects/Keywords: time consistent; portfolio; optimization; discount rates

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APA (6^{th} Edition):

Mbodji, O. (2018). Time Consistent Behaviour and Discount Rates. (Doctoral Dissertation). McMaster University. Retrieved from http://hdl.handle.net/11375/23890

Chicago Manual of Style (16^{th} Edition):

Mbodji, Oumar. “Time Consistent Behaviour and Discount Rates.” 2018. Doctoral Dissertation, McMaster University. Accessed November 15, 2019. http://hdl.handle.net/11375/23890.

MLA Handbook (7^{th} Edition):

Mbodji, Oumar. “Time Consistent Behaviour and Discount Rates.” 2018. Web. 15 Nov 2019.

Vancouver:

Mbodji O. Time Consistent Behaviour and Discount Rates. [Internet] [Doctoral dissertation]. McMaster University; 2018. [cited 2019 Nov 15]. Available from: http://hdl.handle.net/11375/23890.

Council of Science Editors:

Mbodji O. Time Consistent Behaviour and Discount Rates. [Doctoral Dissertation]. McMaster University; 2018. Available from: http://hdl.handle.net/11375/23890

5. Chan, Yuk Fung. Financial Models for Commodity, Energy and Equity Markets .

Degree: PhD, 2015, Princeton University

URL: http://arks.princeton.edu/ark:/88435/dsp01pz50gz48f

► In this thesis, we propose several financial models to better understand the dramatic price behavior observed in the commodity and energy markets over the past…
(more)

Subjects/Keywords: Financialization; Mean Field Games; Portfolio Optimization

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APA (6^{th} Edition):

Chan, Y. F. (2015). Financial Models for Commodity, Energy and Equity Markets . (Doctoral Dissertation). Princeton University. Retrieved from http://arks.princeton.edu/ark:/88435/dsp01pz50gz48f

Chicago Manual of Style (16^{th} Edition):

Chan, Yuk Fung. “Financial Models for Commodity, Energy and Equity Markets .” 2015. Doctoral Dissertation, Princeton University. Accessed November 15, 2019. http://arks.princeton.edu/ark:/88435/dsp01pz50gz48f.

MLA Handbook (7^{th} Edition):

Chan, Yuk Fung. “Financial Models for Commodity, Energy and Equity Markets .” 2015. Web. 15 Nov 2019.

Vancouver:

Chan YF. Financial Models for Commodity, Energy and Equity Markets . [Internet] [Doctoral dissertation]. Princeton University; 2015. [cited 2019 Nov 15]. Available from: http://arks.princeton.edu/ark:/88435/dsp01pz50gz48f.

Council of Science Editors:

Chan YF. Financial Models for Commodity, Energy and Equity Markets . [Doctoral Dissertation]. Princeton University; 2015. Available from: http://arks.princeton.edu/ark:/88435/dsp01pz50gz48f

6.
Blom, Joakim.
Does copula beat linearity? : Comparison of copulas and linear correlation in portfolio *optimization*.

Degree: Mathematics and Mathematical Statistics, 2016, Umeå University

URL: http://urn.kb.se/resolve?urn=urn:nbn:se:umu:diva-124634

► Modern *portfolio* theory (MPT) is an investment theory which was introduced by Harry Markowitz in 1952 and describes how risk averse investors can optimize…
(more)

Subjects/Keywords: Copula; Portfolio Optimization; Extreme Value Theory; CVaR Optimization

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APA (6^{th} Edition):

Blom, J. (2016). Does copula beat linearity? : Comparison of copulas and linear correlation in portfolio optimization. (Thesis). Umeå University. Retrieved from http://urn.kb.se/resolve?urn=urn:nbn:se:umu:diva-124634

Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16^{th} Edition):

Blom, Joakim. “Does copula beat linearity? : Comparison of copulas and linear correlation in portfolio optimization.” 2016. Thesis, Umeå University. Accessed November 15, 2019. http://urn.kb.se/resolve?urn=urn:nbn:se:umu:diva-124634.

Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7^{th} Edition):

Blom, Joakim. “Does copula beat linearity? : Comparison of copulas and linear correlation in portfolio optimization.” 2016. Web. 15 Nov 2019.

Vancouver:

Blom J. Does copula beat linearity? : Comparison of copulas and linear correlation in portfolio optimization. [Internet] [Thesis]. Umeå University; 2016. [cited 2019 Nov 15]. Available from: http://urn.kb.se/resolve?urn=urn:nbn:se:umu:diva-124634.

Not specified: Masters Thesis or Doctoral Dissertation

Council of Science Editors:

Blom J. Does copula beat linearity? : Comparison of copulas and linear correlation in portfolio optimization. [Thesis]. Umeå University; 2016. Available from: http://urn.kb.se/resolve?urn=urn:nbn:se:umu:diva-124634

Not specified: Masters Thesis or Doctoral Dissertation

7.
Liagkouras, Konstantinos.
Novel multiobjective evolutionary algorithm approaches with application in the constrained *portfolio* * optimization*.

Degree: 2016, University of Piraeus (UNIPI); Πανεπιστήμιο Πειραιώς

URL: http://hdl.handle.net/10442/hedi/37602

► Multiobjective *optimization* (MO) is the problem of simultaneously optimizing two or more conflicting objectives *subject* to certain constraints. Many real-world problems involve simultaneous *optimization* of…
(more)

Subjects/Keywords: Πολυαντικειμενικοί Εξελικτικοί Αλγόριθμοι; Βελτιστοποίηση χαρτοφυλακίου; Multiobjective optimization; Evolutionary algorithms; Portfolio optimization

Record Details Similar Records

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APA · Chicago · MLA · Vancouver · CSE | Export to Zotero / EndNote / Reference Manager

APA (6^{th} Edition):

Liagkouras, K. (2016). Novel multiobjective evolutionary algorithm approaches with application in the constrained portfolio optimization. (Thesis). University of Piraeus (UNIPI); Πανεπιστήμιο Πειραιώς. Retrieved from http://hdl.handle.net/10442/hedi/37602

Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16^{th} Edition):

Liagkouras, Konstantinos. “Novel multiobjective evolutionary algorithm approaches with application in the constrained portfolio optimization.” 2016. Thesis, University of Piraeus (UNIPI); Πανεπιστήμιο Πειραιώς. Accessed November 15, 2019. http://hdl.handle.net/10442/hedi/37602.

Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7^{th} Edition):

Liagkouras, Konstantinos. “Novel multiobjective evolutionary algorithm approaches with application in the constrained portfolio optimization.” 2016. Web. 15 Nov 2019.

Vancouver:

Liagkouras K. Novel multiobjective evolutionary algorithm approaches with application in the constrained portfolio optimization. [Internet] [Thesis]. University of Piraeus (UNIPI); Πανεπιστήμιο Πειραιώς; 2016. [cited 2019 Nov 15]. Available from: http://hdl.handle.net/10442/hedi/37602.

Not specified: Masters Thesis or Doctoral Dissertation

Council of Science Editors:

Liagkouras K. Novel multiobjective evolutionary algorithm approaches with application in the constrained portfolio optimization. [Thesis]. University of Piraeus (UNIPI); Πανεπιστήμιο Πειραιώς; 2016. Available from: http://hdl.handle.net/10442/hedi/37602

Not specified: Masters Thesis or Doctoral Dissertation

Georgia Tech

8.
Morris, Carl.
Dynamic *portfolio* *optimization* using mean-semivariance.

Degree: PhD, Industrial and Systems Engineering, 2017, Georgia Tech

URL: http://hdl.handle.net/1853/59245

► This dissertation studies the mean-semivariance *portfolio* *optimization* problem. We describe the relationship of this kind of *optimization* in the context of other types of *portfolio*…
(more)

Subjects/Keywords: Multi-period stochastic optimization; Robust optimization; Portfolio optimization; Piecewise quadratic qptimization; Parametric qptimization

Record Details Similar Records

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APA (6^{th} Edition):

Morris, C. (2017). Dynamic portfolio optimization using mean-semivariance. (Doctoral Dissertation). Georgia Tech. Retrieved from http://hdl.handle.net/1853/59245

Chicago Manual of Style (16^{th} Edition):

Morris, Carl. “Dynamic portfolio optimization using mean-semivariance.” 2017. Doctoral Dissertation, Georgia Tech. Accessed November 15, 2019. http://hdl.handle.net/1853/59245.

MLA Handbook (7^{th} Edition):

Morris, Carl. “Dynamic portfolio optimization using mean-semivariance.” 2017. Web. 15 Nov 2019.

Vancouver:

Morris C. Dynamic portfolio optimization using mean-semivariance. [Internet] [Doctoral dissertation]. Georgia Tech; 2017. [cited 2019 Nov 15]. Available from: http://hdl.handle.net/1853/59245.

Council of Science Editors:

Morris C. Dynamic portfolio optimization using mean-semivariance. [Doctoral Dissertation]. Georgia Tech; 2017. Available from: http://hdl.handle.net/1853/59245

University of Arizona

9.
Chernikov, Dmitry.
PDE Constrained *Optimization* in Stochastic and Deterministic Problems of Multiphysics and Finance
.

Degree: 2017, University of Arizona

URL: http://hdl.handle.net/10150/626368

► In this dissertation we investigate methods of solving various *optimization* problems with PDE constraints, i.e. *optimization* problems that have a system of partial differential equations…
(more)

Subjects/Keywords: adjoint differentiation; automatic differentiation; multiphysics; nonlinear optimization; optimization of portfolio of options; PDE-constrained optimization

Record Details Similar Records

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APA · Chicago · MLA · Vancouver · CSE | Export to Zotero / EndNote / Reference Manager

APA (6^{th} Edition):

Chernikov, D. (2017). PDE Constrained Optimization in Stochastic and Deterministic Problems of Multiphysics and Finance . (Doctoral Dissertation). University of Arizona. Retrieved from http://hdl.handle.net/10150/626368

Chicago Manual of Style (16^{th} Edition):

Chernikov, Dmitry. “PDE Constrained Optimization in Stochastic and Deterministic Problems of Multiphysics and Finance .” 2017. Doctoral Dissertation, University of Arizona. Accessed November 15, 2019. http://hdl.handle.net/10150/626368.

MLA Handbook (7^{th} Edition):

Chernikov, Dmitry. “PDE Constrained Optimization in Stochastic and Deterministic Problems of Multiphysics and Finance .” 2017. Web. 15 Nov 2019.

Vancouver:

Chernikov D. PDE Constrained Optimization in Stochastic and Deterministic Problems of Multiphysics and Finance . [Internet] [Doctoral dissertation]. University of Arizona; 2017. [cited 2019 Nov 15]. Available from: http://hdl.handle.net/10150/626368.

Council of Science Editors:

Chernikov D. PDE Constrained Optimization in Stochastic and Deterministic Problems of Multiphysics and Finance . [Doctoral Dissertation]. University of Arizona; 2017. Available from: http://hdl.handle.net/10150/626368

Université Catholique de Louvain

10.
Oger, Marie-Odile.
Behavioral Finance applied to *Portfolio* theory: An empirical challenge to Markowitz’ framework.

Degree: 2016, Université Catholique de Louvain

URL: http://hdl.handle.net/2078.1/thesis:3983

►

Over the past decades, assumptions related to modern *portfolio* theory such as investors‟ rationality, market efficiency and Gaussian returns have been challenged, namely through the…
(more)

Subjects/Keywords: Behavioral portfolio theory; Mean-variance theory; Mental Account; Portfolio optimization; Decision making

Record Details Similar Records

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APA (6^{th} Edition):

Oger, M. (2016). Behavioral Finance applied to Portfolio theory: An empirical challenge to Markowitz’ framework. (Thesis). Université Catholique de Louvain. Retrieved from http://hdl.handle.net/2078.1/thesis:3983

Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16^{th} Edition):

Oger, Marie-Odile. “Behavioral Finance applied to Portfolio theory: An empirical challenge to Markowitz’ framework.” 2016. Thesis, Université Catholique de Louvain. Accessed November 15, 2019. http://hdl.handle.net/2078.1/thesis:3983.

Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7^{th} Edition):

Oger, Marie-Odile. “Behavioral Finance applied to Portfolio theory: An empirical challenge to Markowitz’ framework.” 2016. Web. 15 Nov 2019.

Vancouver:

Oger M. Behavioral Finance applied to Portfolio theory: An empirical challenge to Markowitz’ framework. [Internet] [Thesis]. Université Catholique de Louvain; 2016. [cited 2019 Nov 15]. Available from: http://hdl.handle.net/2078.1/thesis:3983.

Not specified: Masters Thesis or Doctoral Dissertation

Council of Science Editors:

Oger M. Behavioral Finance applied to Portfolio theory: An empirical challenge to Markowitz’ framework. [Thesis]. Université Catholique de Louvain; 2016. Available from: http://hdl.handle.net/2078.1/thesis:3983

Not specified: Masters Thesis or Doctoral Dissertation

NSYSU

11.
Chiang, Bing-Yang.
Using Fuzzy Sets to Speed up the *Optimization* of Group Stock * Portfolio*.

Degree: Master, Institute Of Computer Science And Engineering, 2018, NSYSU

URL: http://etd.lib.nsysu.edu.tw/ETD-db/ETD-search/view_etd?URN=etd-0727118-000856

► Investment is always an interesting and important issue for people since international financial crisis is hard to predict and governmentâs policy may have influence on…
(more)

Subjects/Keywords: diverse group stock portfolio; fuzzy grouping genetic algorithm; grouping problem; individual repair mechanism; portfolio optimization

Record Details Similar Records

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APA · Chicago · MLA · Vancouver · CSE | Export to Zotero / EndNote / Reference Manager

APA (6^{th} Edition):

Chiang, B. (2018). Using Fuzzy Sets to Speed up the Optimization of Group Stock Portfolio. (Thesis). NSYSU. Retrieved from http://etd.lib.nsysu.edu.tw/ETD-db/ETD-search/view_etd?URN=etd-0727118-000856

Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16^{th} Edition):

Chiang, Bing-Yang. “Using Fuzzy Sets to Speed up the Optimization of Group Stock Portfolio.” 2018. Thesis, NSYSU. Accessed November 15, 2019. http://etd.lib.nsysu.edu.tw/ETD-db/ETD-search/view_etd?URN=etd-0727118-000856.

Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7^{th} Edition):

Chiang, Bing-Yang. “Using Fuzzy Sets to Speed up the Optimization of Group Stock Portfolio.” 2018. Web. 15 Nov 2019.

Vancouver:

Chiang B. Using Fuzzy Sets to Speed up the Optimization of Group Stock Portfolio. [Internet] [Thesis]. NSYSU; 2018. [cited 2019 Nov 15]. Available from: http://etd.lib.nsysu.edu.tw/ETD-db/ETD-search/view_etd?URN=etd-0727118-000856.

Not specified: Masters Thesis or Doctoral Dissertation

Council of Science Editors:

Chiang B. Using Fuzzy Sets to Speed up the Optimization of Group Stock Portfolio. [Thesis]. NSYSU; 2018. Available from: http://etd.lib.nsysu.edu.tw/ETD-db/ETD-search/view_etd?URN=etd-0727118-000856

Not specified: Masters Thesis or Doctoral Dissertation

Iowa State University

12.
Lou, Chenlu.
Generation *portfolio* *optimization* under wind Production Tax Credit and Renewable *Portfolio* Standard.

Degree: 2011, Iowa State University

URL: https://lib.dr.iastate.edu/etd/11202

► In this thesis we construct and analyze a mean-variance utility maximization model for a risk-averse electric power generation company who wishes to determine the optimal…
(more)

Subjects/Keywords: Generation expansion planning; Portfolio optimization; Production Tax Credit; Renewable energy; Renewable Portfolio Standard; Industrial Engineering

Record Details Similar Records

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APA (6^{th} Edition):

Lou, C. (2011). Generation portfolio optimization under wind Production Tax Credit and Renewable Portfolio Standard. (Thesis). Iowa State University. Retrieved from https://lib.dr.iastate.edu/etd/11202

Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16^{th} Edition):

Lou, Chenlu. “Generation portfolio optimization under wind Production Tax Credit and Renewable Portfolio Standard.” 2011. Thesis, Iowa State University. Accessed November 15, 2019. https://lib.dr.iastate.edu/etd/11202.

Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7^{th} Edition):

Lou, Chenlu. “Generation portfolio optimization under wind Production Tax Credit and Renewable Portfolio Standard.” 2011. Web. 15 Nov 2019.

Vancouver:

Lou C. Generation portfolio optimization under wind Production Tax Credit and Renewable Portfolio Standard. [Internet] [Thesis]. Iowa State University; 2011. [cited 2019 Nov 15]. Available from: https://lib.dr.iastate.edu/etd/11202.

Not specified: Masters Thesis or Doctoral Dissertation

Council of Science Editors:

Lou C. Generation portfolio optimization under wind Production Tax Credit and Renewable Portfolio Standard. [Thesis]. Iowa State University; 2011. Available from: https://lib.dr.iastate.edu/etd/11202

Not specified: Masters Thesis or Doctoral Dissertation

13. Hirani, Shyam. The Black-Litterman Asset Allocation Model : An Empirical Comparison to the Classical Mean-Variance Framework.

Degree: Faculty of Arts and Sciences, 2014, Linköping UniversityLinköping University

URL: http://urn.kb.se/resolve?urn=urn:nbn:se:liu:diva-111570

► Within the scope of this thesis, the Black-Litterman Asset Allocation Model (as presented in He & Litterman, 1999) is compared to the classical mean-variance…
(more)

Subjects/Keywords: Black-Litterman mean-variance portfolio optimization efficient frontier sensitivity analysis high-yield strategy canonical reverse optimization equilibrium portfolio CAPM

Record Details Similar Records

❌

APA · Chicago · MLA · Vancouver · CSE | Export to Zotero / EndNote / Reference Manager

APA (6^{th} Edition):

Hirani, S. (2014). The Black-Litterman Asset Allocation Model : An Empirical Comparison to the Classical Mean-Variance Framework. (Thesis). Linköping UniversityLinköping University. Retrieved from http://urn.kb.se/resolve?urn=urn:nbn:se:liu:diva-111570

Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16^{th} Edition):

Hirani, Shyam. “The Black-Litterman Asset Allocation Model : An Empirical Comparison to the Classical Mean-Variance Framework.” 2014. Thesis, Linköping UniversityLinköping University. Accessed November 15, 2019. http://urn.kb.se/resolve?urn=urn:nbn:se:liu:diva-111570.

Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7^{th} Edition):

Hirani, Shyam. “The Black-Litterman Asset Allocation Model : An Empirical Comparison to the Classical Mean-Variance Framework.” 2014. Web. 15 Nov 2019.

Vancouver:

Hirani S. The Black-Litterman Asset Allocation Model : An Empirical Comparison to the Classical Mean-Variance Framework. [Internet] [Thesis]. Linköping UniversityLinköping University; 2014. [cited 2019 Nov 15]. Available from: http://urn.kb.se/resolve?urn=urn:nbn:se:liu:diva-111570.

Not specified: Masters Thesis or Doctoral Dissertation

Council of Science Editors:

Hirani S. The Black-Litterman Asset Allocation Model : An Empirical Comparison to the Classical Mean-Variance Framework. [Thesis]. Linköping UniversityLinköping University; 2014. Available from: http://urn.kb.se/resolve?urn=urn:nbn:se:liu:diva-111570

Not specified: Masters Thesis or Doctoral Dissertation

Anna University

14.
Suganya N C.
Studies on computational intelligence based strategies
for financial *portfolio* *optimization*;.

Degree: 2014, Anna University

URL: http://shodhganga.inflibnet.ac.in/handle/10603/15032

►

A financial *portfolio* is a basket of tradable assets such as stocks, bonds, commodities etc., that is held by an investor. Computational Intelligence (CI) is…
(more)

Subjects/Keywords: Computation intelligence; financial portfolio optimization; wavelet networks; neural networks

Record Details Similar Records

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APA (6^{th} Edition):

C, S. N. (2014). Studies on computational intelligence based strategies for financial portfolio optimization;. (Thesis). Anna University. Retrieved from http://shodhganga.inflibnet.ac.in/handle/10603/15032

Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16^{th} Edition):

C, Suganya N. “Studies on computational intelligence based strategies for financial portfolio optimization;.” 2014. Thesis, Anna University. Accessed November 15, 2019. http://shodhganga.inflibnet.ac.in/handle/10603/15032.

Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7^{th} Edition):

C, Suganya N. “Studies on computational intelligence based strategies for financial portfolio optimization;.” 2014. Web. 15 Nov 2019.

Vancouver:

C SN. Studies on computational intelligence based strategies for financial portfolio optimization;. [Internet] [Thesis]. Anna University; 2014. [cited 2019 Nov 15]. Available from: http://shodhganga.inflibnet.ac.in/handle/10603/15032.

Not specified: Masters Thesis or Doctoral Dissertation

Council of Science Editors:

C SN. Studies on computational intelligence based strategies for financial portfolio optimization;. [Thesis]. Anna University; 2014. Available from: http://shodhganga.inflibnet.ac.in/handle/10603/15032

Not specified: Masters Thesis or Doctoral Dissertation

EPFL

15.
Yap, Zheng Wei.
Robust *Portfolio* * Optimization*.

Degree: 2017, EPFL

URL: http://infoscience.epfl.ch/record/230029

► Since the 2008 Global Financial Crisis, the financial market has become more unpredictable than ever before, and it seems set to remain so in the…
(more)

Subjects/Keywords: Robust Optimization; Modern Portfolio Theory; Markowitz Model; Model Uncertainty

Record Details Similar Records

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APA · Chicago · MLA · Vancouver · CSE | Export to Zotero / EndNote / Reference Manager

APA (6^{th} Edition):

Yap, Z. W. (2017). Robust Portfolio Optimization. (Thesis). EPFL. Retrieved from http://infoscience.epfl.ch/record/230029

Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16^{th} Edition):

Yap, Zheng Wei. “Robust Portfolio Optimization.” 2017. Thesis, EPFL. Accessed November 15, 2019. http://infoscience.epfl.ch/record/230029.

Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7^{th} Edition):

Yap, Zheng Wei. “Robust Portfolio Optimization.” 2017. Web. 15 Nov 2019.

Vancouver:

Yap ZW. Robust Portfolio Optimization. [Internet] [Thesis]. EPFL; 2017. [cited 2019 Nov 15]. Available from: http://infoscience.epfl.ch/record/230029.

Not specified: Masters Thesis or Doctoral Dissertation

Council of Science Editors:

Yap ZW. Robust Portfolio Optimization. [Thesis]. EPFL; 2017. Available from: http://infoscience.epfl.ch/record/230029

Not specified: Masters Thesis or Doctoral Dissertation

Hong Kong University of Science and Technology

16.
Feng, Yiyong.
Convex *optimization* methods for financial engineering : *portfolio* design and order execution.

Degree: 2015, Hong Kong University of Science and Technology

URL: https://doi.org/10.14711/thesis-b1514525 ; http://repository.ust.hk/ir/bitstream/1783.1-81959/1/th_redirect.html

► *Portfolio* risk management and algorithmic trading are active research areas and have received extensive attention and interest. The former is attached of great importance after…
(more)

Subjects/Keywords: Portfolio management; Mathematical models; Investments; Risk management; Mathematical optimization; Convex functions

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APA · Chicago · MLA · Vancouver · CSE | Export to Zotero / EndNote / Reference Manager

APA (6^{th} Edition):

Feng, Y. (2015). Convex optimization methods for financial engineering : portfolio design and order execution. (Thesis). Hong Kong University of Science and Technology. Retrieved from https://doi.org/10.14711/thesis-b1514525 ; http://repository.ust.hk/ir/bitstream/1783.1-81959/1/th_redirect.html

Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16^{th} Edition):

Feng, Yiyong. “Convex optimization methods for financial engineering : portfolio design and order execution.” 2015. Thesis, Hong Kong University of Science and Technology. Accessed November 15, 2019. https://doi.org/10.14711/thesis-b1514525 ; http://repository.ust.hk/ir/bitstream/1783.1-81959/1/th_redirect.html.

Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7^{th} Edition):

Feng, Yiyong. “Convex optimization methods for financial engineering : portfolio design and order execution.” 2015. Web. 15 Nov 2019.

Vancouver:

Feng Y. Convex optimization methods for financial engineering : portfolio design and order execution. [Internet] [Thesis]. Hong Kong University of Science and Technology; 2015. [cited 2019 Nov 15]. Available from: https://doi.org/10.14711/thesis-b1514525 ; http://repository.ust.hk/ir/bitstream/1783.1-81959/1/th_redirect.html.

Not specified: Masters Thesis or Doctoral Dissertation

Council of Science Editors:

Feng Y. Convex optimization methods for financial engineering : portfolio design and order execution. [Thesis]. Hong Kong University of Science and Technology; 2015. Available from: https://doi.org/10.14711/thesis-b1514525 ; http://repository.ust.hk/ir/bitstream/1783.1-81959/1/th_redirect.html

Not specified: Masters Thesis or Doctoral Dissertation

Hong Kong University of Science and Technology

17.
Wang, Tian.
*Portfolio**optimization* based on random matrix theory.

Degree: 2010, Hong Kong University of Science and Technology

URL: https://doi.org/10.14711/thesis-b1106644 ; http://repository.ust.hk/ir/bitstream/1783.1-6761/1/th_redirect.html

► In modern *portfolio* theory, the covariance matrices of *portfolio* asset returns are always needed for different reasons in the design process. Indeed, the problem of…
(more)

Subjects/Keywords: Random matrices; Portfolio management – Mathematical models; Mathematical optimization

Record Details Similar Records

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APA · Chicago · MLA · Vancouver · CSE | Export to Zotero / EndNote / Reference Manager

APA (6^{th} Edition):

Wang, T. (2010). Portfolio optimization based on random matrix theory. (Thesis). Hong Kong University of Science and Technology. Retrieved from https://doi.org/10.14711/thesis-b1106644 ; http://repository.ust.hk/ir/bitstream/1783.1-6761/1/th_redirect.html

Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16^{th} Edition):

Wang, Tian. “Portfolio optimization based on random matrix theory.” 2010. Thesis, Hong Kong University of Science and Technology. Accessed November 15, 2019. https://doi.org/10.14711/thesis-b1106644 ; http://repository.ust.hk/ir/bitstream/1783.1-6761/1/th_redirect.html.

Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7^{th} Edition):

Wang, Tian. “Portfolio optimization based on random matrix theory.” 2010. Web. 15 Nov 2019.

Vancouver:

Wang T. Portfolio optimization based on random matrix theory. [Internet] [Thesis]. Hong Kong University of Science and Technology; 2010. [cited 2019 Nov 15]. Available from: https://doi.org/10.14711/thesis-b1106644 ; http://repository.ust.hk/ir/bitstream/1783.1-6761/1/th_redirect.html.

Not specified: Masters Thesis or Doctoral Dissertation

Council of Science Editors:

Wang T. Portfolio optimization based on random matrix theory. [Thesis]. Hong Kong University of Science and Technology; 2010. Available from: https://doi.org/10.14711/thesis-b1106644 ; http://repository.ust.hk/ir/bitstream/1783.1-6761/1/th_redirect.html

Not specified: Masters Thesis or Doctoral Dissertation

Hong Kong University of Science and Technology

18.
Wang, Dexin.
Direct comparison approach to Markov systems and its application to *portfolio* management.

Degree: 2011, Hong Kong University of Science and Technology

URL: https://doi.org/10.14711/thesis-b1155534 ; http://repository.ust.hk/ir/bitstream/1783.1-7332/1/th_redirect.html

► This thesis is devoted to the extension of the recently developed direct comparison approach from the performance *optimization* of finite Markov decision processes (MDPs) to…
(more)

Subjects/Keywords: Portfolio management – Mathematical models; Markov processes; Mathematical optimization

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APA · Chicago · MLA · Vancouver · CSE | Export to Zotero / EndNote / Reference Manager

APA (6^{th} Edition):

Wang, D. (2011). Direct comparison approach to Markov systems and its application to portfolio management. (Thesis). Hong Kong University of Science and Technology. Retrieved from https://doi.org/10.14711/thesis-b1155534 ; http://repository.ust.hk/ir/bitstream/1783.1-7332/1/th_redirect.html

Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16^{th} Edition):

Wang, Dexin. “Direct comparison approach to Markov systems and its application to portfolio management.” 2011. Thesis, Hong Kong University of Science and Technology. Accessed November 15, 2019. https://doi.org/10.14711/thesis-b1155534 ; http://repository.ust.hk/ir/bitstream/1783.1-7332/1/th_redirect.html.

Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7^{th} Edition):

Wang, Dexin. “Direct comparison approach to Markov systems and its application to portfolio management.” 2011. Web. 15 Nov 2019.

Vancouver:

Wang D. Direct comparison approach to Markov systems and its application to portfolio management. [Internet] [Thesis]. Hong Kong University of Science and Technology; 2011. [cited 2019 Nov 15]. Available from: https://doi.org/10.14711/thesis-b1155534 ; http://repository.ust.hk/ir/bitstream/1783.1-7332/1/th_redirect.html.

Not specified: Masters Thesis or Doctoral Dissertation

Council of Science Editors:

Wang D. Direct comparison approach to Markov systems and its application to portfolio management. [Thesis]. Hong Kong University of Science and Technology; 2011. Available from: https://doi.org/10.14711/thesis-b1155534 ; http://repository.ust.hk/ir/bitstream/1783.1-7332/1/th_redirect.html

Not specified: Masters Thesis or Doctoral Dissertation

Hong Kong University of Science and Technology

19.
Yu, Jian.
Random matrix approach to minimum variance *portfolio* *optimization* with high frequency data.

Degree: 2013, Hong Kong University of Science and Technology

URL: https://doi.org/10.14711/thesis-b1255624 ; http://repository.ust.hk/ir/bitstream/1783.1-62650/1/th_redirect.html

► In modern *portfolio* theory, the accuracy and robustness of the covariance estimator plays a critical role in defining the performance of the optimized portfolios. Traditional…
(more)

Subjects/Keywords: Portfolio management; Mathematical models; Mathematical optimization; Random matrices

Record Details Similar Records

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APA · Chicago · MLA · Vancouver · CSE | Export to Zotero / EndNote / Reference Manager

APA (6^{th} Edition):

Yu, J. (2013). Random matrix approach to minimum variance portfolio optimization with high frequency data. (Thesis). Hong Kong University of Science and Technology. Retrieved from https://doi.org/10.14711/thesis-b1255624 ; http://repository.ust.hk/ir/bitstream/1783.1-62650/1/th_redirect.html

Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16^{th} Edition):

Yu, Jian. “Random matrix approach to minimum variance portfolio optimization with high frequency data.” 2013. Thesis, Hong Kong University of Science and Technology. Accessed November 15, 2019. https://doi.org/10.14711/thesis-b1255624 ; http://repository.ust.hk/ir/bitstream/1783.1-62650/1/th_redirect.html.

Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7^{th} Edition):

Yu, Jian. “Random matrix approach to minimum variance portfolio optimization with high frequency data.” 2013. Web. 15 Nov 2019.

Vancouver:

Yu J. Random matrix approach to minimum variance portfolio optimization with high frequency data. [Internet] [Thesis]. Hong Kong University of Science and Technology; 2013. [cited 2019 Nov 15]. Available from: https://doi.org/10.14711/thesis-b1255624 ; http://repository.ust.hk/ir/bitstream/1783.1-62650/1/th_redirect.html.

Not specified: Masters Thesis or Doctoral Dissertation

Council of Science Editors:

Yu J. Random matrix approach to minimum variance portfolio optimization with high frequency data. [Thesis]. Hong Kong University of Science and Technology; 2013. Available from: https://doi.org/10.14711/thesis-b1255624 ; http://repository.ust.hk/ir/bitstream/1783.1-62650/1/th_redirect.html

Not specified: Masters Thesis or Doctoral Dissertation

Université Catholique de Louvain

20.
Loustaunau, Romain.
Volatility as a Hedging Framework : *Portfolio* Analysis.

Degree: 2015, Université Catholique de Louvain

URL: http://hdl.handle.net/2078.1/thesis:2719

►

Volatility appears to be asymmetric to equities. We consider volatility as an asset and examine its benefits when allocated to a *portfolio*. The *portfolio* *optimization*…
(more)

Subjects/Keywords: volatility hedging; VIX index; portfolio optimization; tail hedge risk

Record Details Similar Records

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APA · Chicago · MLA · Vancouver · CSE | Export to Zotero / EndNote / Reference Manager

APA (6^{th} Edition):

Loustaunau, R. (2015). Volatility as a Hedging Framework : Portfolio Analysis. (Thesis). Université Catholique de Louvain. Retrieved from http://hdl.handle.net/2078.1/thesis:2719

Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16^{th} Edition):

Loustaunau, Romain. “Volatility as a Hedging Framework : Portfolio Analysis.” 2015. Thesis, Université Catholique de Louvain. Accessed November 15, 2019. http://hdl.handle.net/2078.1/thesis:2719.

Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7^{th} Edition):

Loustaunau, Romain. “Volatility as a Hedging Framework : Portfolio Analysis.” 2015. Web. 15 Nov 2019.

Vancouver:

Loustaunau R. Volatility as a Hedging Framework : Portfolio Analysis. [Internet] [Thesis]. Université Catholique de Louvain; 2015. [cited 2019 Nov 15]. Available from: http://hdl.handle.net/2078.1/thesis:2719.

Not specified: Masters Thesis or Doctoral Dissertation

Council of Science Editors:

Loustaunau R. Volatility as a Hedging Framework : Portfolio Analysis. [Thesis]. Université Catholique de Louvain; 2015. Available from: http://hdl.handle.net/2078.1/thesis:2719

Not specified: Masters Thesis or Doctoral Dissertation

21.
Duggal, Rahul.
Modern *Portfolio* Trading with Commodities.

Degree: Sustainable Development of Society and Technology, 2010, Mälardalen University

URL: http://urn.kb.se/resolve?urn=urn:nbn:se:mdh:diva-9990

► There is a big interest for alternative investment strategies than investing in traditional asset classes. Commodities are having a boom dynamic with increasing prices.…
(more)

Subjects/Keywords: Modern portfolio theory; Commodities; Mean-variance optimization; MATLAB; Economics; Nationalekonomi

Record Details Similar Records

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APA · Chicago · MLA · Vancouver · CSE | Export to Zotero / EndNote / Reference Manager

APA (6^{th} Edition):

Duggal, R. (2010). Modern Portfolio Trading with Commodities. (Thesis). Mälardalen University. Retrieved from http://urn.kb.se/resolve?urn=urn:nbn:se:mdh:diva-9990

Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16^{th} Edition):

Duggal, Rahul. “Modern Portfolio Trading with Commodities.” 2010. Thesis, Mälardalen University. Accessed November 15, 2019. http://urn.kb.se/resolve?urn=urn:nbn:se:mdh:diva-9990.

Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7^{th} Edition):

Duggal, Rahul. “Modern Portfolio Trading with Commodities.” 2010. Web. 15 Nov 2019.

Vancouver:

Duggal R. Modern Portfolio Trading with Commodities. [Internet] [Thesis]. Mälardalen University; 2010. [cited 2019 Nov 15]. Available from: http://urn.kb.se/resolve?urn=urn:nbn:se:mdh:diva-9990.

Not specified: Masters Thesis or Doctoral Dissertation

Council of Science Editors:

Duggal R. Modern Portfolio Trading with Commodities. [Thesis]. Mälardalen University; 2010. Available from: http://urn.kb.se/resolve?urn=urn:nbn:se:mdh:diva-9990

Not specified: Masters Thesis or Doctoral Dissertation

22.
Jin, Hyunjong.
Optimal *Portfolio* Rule: When There is Uncertainty in The Parameter Estimates.

Degree: 2012, University of Waterloo

URL: http://hdl.handle.net/10012/6610

► The classical mean-variance model, proposed by Harry Markowitz in 1952, has been one of the most powerful tools in the field of *portfolio* *optimization*. In…
(more)

Subjects/Keywords: Uncertainty; Ambiguity; Portfolio Optimization

…*portfolio* *optimization* model to circumvent in the difficulty
the pain of dealing with quadratic… …further discusses the behavioral aspects of *portfolio* *optimization*. In Chapter 3, we motivate… …assets in the *portfolio*. However, in practice,
these parameters are typically estimated from a… …its effects on the choice of *portfolio*
rules. The estimates are solely based on historical… …In addition, Michaud suggests that
“MV *optimization* significantly overweights (…

Record Details Similar Records

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APA · Chicago · MLA · Vancouver · CSE | Export to Zotero / EndNote / Reference Manager

APA (6^{th} Edition):

Jin, H. (2012). Optimal Portfolio Rule: When There is Uncertainty in The Parameter Estimates. (Thesis). University of Waterloo. Retrieved from http://hdl.handle.net/10012/6610

Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16^{th} Edition):

Jin, Hyunjong. “Optimal Portfolio Rule: When There is Uncertainty in The Parameter Estimates.” 2012. Thesis, University of Waterloo. Accessed November 15, 2019. http://hdl.handle.net/10012/6610.

Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7^{th} Edition):

Jin, Hyunjong. “Optimal Portfolio Rule: When There is Uncertainty in The Parameter Estimates.” 2012. Web. 15 Nov 2019.

Vancouver:

Jin H. Optimal Portfolio Rule: When There is Uncertainty in The Parameter Estimates. [Internet] [Thesis]. University of Waterloo; 2012. [cited 2019 Nov 15]. Available from: http://hdl.handle.net/10012/6610.

Not specified: Masters Thesis or Doctoral Dissertation

Council of Science Editors:

Jin H. Optimal Portfolio Rule: When There is Uncertainty in The Parameter Estimates. [Thesis]. University of Waterloo; 2012. Available from: http://hdl.handle.net/10012/6610

Not specified: Masters Thesis or Doctoral Dissertation

University of New South Wales

23. Hu, Wei. VALUATION OF NON-TRANSFERABLE AND NON-HEDGEABLE CONTINGENT CLAIMS AND AN EXECUTIVE STOCK OPTIONS IMPLEMENTATION.

Degree: Banking & Finance, 2011, University of New South Wales

URL: http://handle.unsw.edu.au/1959.4/51924 ; https://unsworks.unsw.edu.au/fapi/datastream/unsworks:10594/SOURCE02?view=true

► As traditional contingent claims valuation methods do not apply to non-transferable and non-hedgeable contingent claims, recent proliferation of such claims creates the need for the…
(more)

Subjects/Keywords: Stochastic discount factor; ESO; Constrained portfolio optimization; Credit risk; Reload option

Record Details Similar Records

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APA · Chicago · MLA · Vancouver · CSE | Export to Zotero / EndNote / Reference Manager

APA (6^{th} Edition):

Hu, W. (2011). VALUATION OF NON-TRANSFERABLE AND NON-HEDGEABLE CONTINGENT CLAIMS AND AN EXECUTIVE STOCK OPTIONS IMPLEMENTATION. (Doctoral Dissertation). University of New South Wales. Retrieved from http://handle.unsw.edu.au/1959.4/51924 ; https://unsworks.unsw.edu.au/fapi/datastream/unsworks:10594/SOURCE02?view=true

Chicago Manual of Style (16^{th} Edition):

Hu, Wei. “VALUATION OF NON-TRANSFERABLE AND NON-HEDGEABLE CONTINGENT CLAIMS AND AN EXECUTIVE STOCK OPTIONS IMPLEMENTATION.” 2011. Doctoral Dissertation, University of New South Wales. Accessed November 15, 2019. http://handle.unsw.edu.au/1959.4/51924 ; https://unsworks.unsw.edu.au/fapi/datastream/unsworks:10594/SOURCE02?view=true.

MLA Handbook (7^{th} Edition):

Hu, Wei. “VALUATION OF NON-TRANSFERABLE AND NON-HEDGEABLE CONTINGENT CLAIMS AND AN EXECUTIVE STOCK OPTIONS IMPLEMENTATION.” 2011. Web. 15 Nov 2019.

Vancouver:

Hu W. VALUATION OF NON-TRANSFERABLE AND NON-HEDGEABLE CONTINGENT CLAIMS AND AN EXECUTIVE STOCK OPTIONS IMPLEMENTATION. [Internet] [Doctoral dissertation]. University of New South Wales; 2011. [cited 2019 Nov 15]. Available from: http://handle.unsw.edu.au/1959.4/51924 ; https://unsworks.unsw.edu.au/fapi/datastream/unsworks:10594/SOURCE02?view=true.

Council of Science Editors:

Hu W. VALUATION OF NON-TRANSFERABLE AND NON-HEDGEABLE CONTINGENT CLAIMS AND AN EXECUTIVE STOCK OPTIONS IMPLEMENTATION. [Doctoral Dissertation]. University of New South Wales; 2011. Available from: http://handle.unsw.edu.au/1959.4/51924 ; https://unsworks.unsw.edu.au/fapi/datastream/unsworks:10594/SOURCE02?view=true

University of Waterloo

24.
Bhowmick, Kaushiki.
Inverse Problems in *Portfolio* Selection: Scenario *Optimization* Framework.

Degree: 2011, University of Waterloo

URL: http://hdl.handle.net/10012/6371

► A number of researchers have proposed several Bayesian methods for *portfolio* selection, which combine statistical information from financial time series with the prior beliefs of…
(more)

Subjects/Keywords: Portfolio optimization; mathematical programming; Simulation; Finance; Statistics; Inverse problems

Record Details Similar Records

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APA · Chicago · MLA · Vancouver · CSE | Export to Zotero / EndNote / Reference Manager

APA (6^{th} Edition):

Bhowmick, K. (2011). Inverse Problems in Portfolio Selection: Scenario Optimization Framework. (Thesis). University of Waterloo. Retrieved from http://hdl.handle.net/10012/6371

Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16^{th} Edition):

Bhowmick, Kaushiki. “Inverse Problems in Portfolio Selection: Scenario Optimization Framework.” 2011. Thesis, University of Waterloo. Accessed November 15, 2019. http://hdl.handle.net/10012/6371.

Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7^{th} Edition):

Bhowmick, Kaushiki. “Inverse Problems in Portfolio Selection: Scenario Optimization Framework.” 2011. Web. 15 Nov 2019.

Vancouver:

Bhowmick K. Inverse Problems in Portfolio Selection: Scenario Optimization Framework. [Internet] [Thesis]. University of Waterloo; 2011. [cited 2019 Nov 15]. Available from: http://hdl.handle.net/10012/6371.

Not specified: Masters Thesis or Doctoral Dissertation

Council of Science Editors:

Bhowmick K. Inverse Problems in Portfolio Selection: Scenario Optimization Framework. [Thesis]. University of Waterloo; 2011. Available from: http://hdl.handle.net/10012/6371

Not specified: Masters Thesis or Doctoral Dissertation

University of New South Wales

25. Wu, Hai. Essays on systematic risk in financial markets.

Degree: Banking & Finance, 2013, University of New South Wales

URL: http://handle.unsw.edu.au/1959.4/53060 ; https://unsworks.unsw.edu.au/fapi/datastream/unsworks:11738/SOURCE01?view=true

► This thesis analyzes three related topics in CAPM (Capital Asset Pricing Model) systemic risk (beta); estimation and evaluation of quarterly beta forecasting models, beta forecasting…
(more)

Subjects/Keywords: Momentum; CAPM; Realized Beta; Portfolio Optimization; Systemic Risk; Beta Forecasting

Record Details Similar Records

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APA · Chicago · MLA · Vancouver · CSE | Export to Zotero / EndNote / Reference Manager

APA (6^{th} Edition):

Wu, H. (2013). Essays on systematic risk in financial markets. (Doctoral Dissertation). University of New South Wales. Retrieved from http://handle.unsw.edu.au/1959.4/53060 ; https://unsworks.unsw.edu.au/fapi/datastream/unsworks:11738/SOURCE01?view=true

Chicago Manual of Style (16^{th} Edition):

Wu, Hai. “Essays on systematic risk in financial markets.” 2013. Doctoral Dissertation, University of New South Wales. Accessed November 15, 2019. http://handle.unsw.edu.au/1959.4/53060 ; https://unsworks.unsw.edu.au/fapi/datastream/unsworks:11738/SOURCE01?view=true.

MLA Handbook (7^{th} Edition):

Wu, Hai. “Essays on systematic risk in financial markets.” 2013. Web. 15 Nov 2019.

Vancouver:

Wu H. Essays on systematic risk in financial markets. [Internet] [Doctoral dissertation]. University of New South Wales; 2013. [cited 2019 Nov 15]. Available from: http://handle.unsw.edu.au/1959.4/53060 ; https://unsworks.unsw.edu.au/fapi/datastream/unsworks:11738/SOURCE01?view=true.

Council of Science Editors:

Wu H. Essays on systematic risk in financial markets. [Doctoral Dissertation]. University of New South Wales; 2013. Available from: http://handle.unsw.edu.au/1959.4/53060 ; https://unsworks.unsw.edu.au/fapi/datastream/unsworks:11738/SOURCE01?view=true

University of Iowa

26.
Rysz, Maciej Wladyslaw.
Risk-averse *optimization* in networks.

Degree: PhD, Industrial Engineering, 2014, University of Iowa

URL: https://ir.uiowa.edu/etd/6494

► The primary goal of this research is to model and develop efficient solution techniques for graph theoretical problems with topologically stochastic information that manifests…
(more)

Subjects/Keywords: clique; network; optimization; portfolio; risk; stochastic; Industrial Engineering

Record Details Similar Records

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APA · Chicago · MLA · Vancouver · CSE | Export to Zotero / EndNote / Reference Manager

APA (6^{th} Edition):

Rysz, M. W. (2014). Risk-averse optimization in networks. (Doctoral Dissertation). University of Iowa. Retrieved from https://ir.uiowa.edu/etd/6494

Chicago Manual of Style (16^{th} Edition):

Rysz, Maciej Wladyslaw. “Risk-averse optimization in networks.” 2014. Doctoral Dissertation, University of Iowa. Accessed November 15, 2019. https://ir.uiowa.edu/etd/6494.

MLA Handbook (7^{th} Edition):

Rysz, Maciej Wladyslaw. “Risk-averse optimization in networks.” 2014. Web. 15 Nov 2019.

Vancouver:

Rysz MW. Risk-averse optimization in networks. [Internet] [Doctoral dissertation]. University of Iowa; 2014. [cited 2019 Nov 15]. Available from: https://ir.uiowa.edu/etd/6494.

Council of Science Editors:

Rysz MW. Risk-averse optimization in networks. [Doctoral Dissertation]. University of Iowa; 2014. Available from: https://ir.uiowa.edu/etd/6494

27.
Liu, Jialin.
* Portfolio* Methods in Uncertain Contexts : Méthodes de portefeuille en contexte incertain.

Degree: Docteur es, Informatique, 2015, Paris Saclay

URL: http://www.theses.fr/2015SACLS220

►

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… (more)

Subjects/Keywords: Portefeuille; Optimisation bruitée; Jeu; Nash; Portfolio; Noisy optimization; Game; Nash

Record Details Similar Records

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APA · Chicago · MLA · Vancouver · CSE | Export to Zotero / EndNote / Reference Manager

APA (6^{th} Edition):

Liu, J. (2015). Portfolio Methods in Uncertain Contexts : Méthodes de portefeuille en contexte incertain. (Doctoral Dissertation). Paris Saclay. Retrieved from http://www.theses.fr/2015SACLS220

Chicago Manual of Style (16^{th} Edition):

Liu, Jialin. “Portfolio Methods in Uncertain Contexts : Méthodes de portefeuille en contexte incertain.” 2015. Doctoral Dissertation, Paris Saclay. Accessed November 15, 2019. http://www.theses.fr/2015SACLS220.

MLA Handbook (7^{th} Edition):

Liu, Jialin. “Portfolio Methods in Uncertain Contexts : Méthodes de portefeuille en contexte incertain.” 2015. Web. 15 Nov 2019.

Vancouver:

Liu J. Portfolio Methods in Uncertain Contexts : Méthodes de portefeuille en contexte incertain. [Internet] [Doctoral dissertation]. Paris Saclay; 2015. [cited 2019 Nov 15]. Available from: http://www.theses.fr/2015SACLS220.

Council of Science Editors:

Liu J. Portfolio Methods in Uncertain Contexts : Méthodes de portefeuille en contexte incertain. [Doctoral Dissertation]. Paris Saclay; 2015. Available from: http://www.theses.fr/2015SACLS220

28.
Anane, Asomani Kwadwo.
Sustainability for *Portfolio* * Optimization*.

Degree: Culture and Communication, 2019, Mälardalen University

URL: http://urn.kb.se/resolve?urn=urn:nbn:se:mdh:diva-44560

► The 2007-2008 financial crash and the looming climate change and global warming have heightened interest in sustainable investment. But whether the shift is as…
(more)

Subjects/Keywords: Sustainability; portfolio optimization; Markowitz mean-variance theory; Mathematics; Matematik

Record Details Similar Records

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APA · Chicago · MLA · Vancouver · CSE | Export to Zotero / EndNote / Reference Manager

APA (6^{th} Edition):

Anane, A. K. (2019). Sustainability for Portfolio Optimization. (Thesis). Mälardalen University. Retrieved from http://urn.kb.se/resolve?urn=urn:nbn:se:mdh:diva-44560

Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16^{th} Edition):

Anane, Asomani Kwadwo. “Sustainability for Portfolio Optimization.” 2019. Thesis, Mälardalen University. Accessed November 15, 2019. http://urn.kb.se/resolve?urn=urn:nbn:se:mdh:diva-44560.

Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7^{th} Edition):

Anane, Asomani Kwadwo. “Sustainability for Portfolio Optimization.” 2019. Web. 15 Nov 2019.

Vancouver:

Anane AK. Sustainability for Portfolio Optimization. [Internet] [Thesis]. Mälardalen University; 2019. [cited 2019 Nov 15]. Available from: http://urn.kb.se/resolve?urn=urn:nbn:se:mdh:diva-44560.

Not specified: Masters Thesis or Doctoral Dissertation

Council of Science Editors:

Anane AK. Sustainability for Portfolio Optimization. [Thesis]. Mälardalen University; 2019. Available from: http://urn.kb.se/resolve?urn=urn:nbn:se:mdh:diva-44560

Not specified: Masters Thesis or Doctoral Dissertation

29.
-9740-0742.
Applications of forward performance processes in dynamic optimal *portfolio* management.

Degree: PhD, Information, Risk, and Operations Management, 2018, University of Texas – Austin

URL: http://hdl.handle.net/2152/63813

► The classical optimal investment models are cast in a finite or infinite horizon setting, assuming an a priori choice of a market model (or a…
(more)

Subjects/Keywords: Forward performance; Portfolio optimization; Lifecycle fund; Mean-variance analysis

Record Details Similar Records

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APA · Chicago · MLA · Vancouver · CSE | Export to Zotero / EndNote / Reference Manager

APA (6^{th} Edition):

-9740-0742. (2018). Applications of forward performance processes in dynamic optimal portfolio management. (Doctoral Dissertation). University of Texas – Austin. Retrieved from http://hdl.handle.net/2152/63813

Note: this citation may be lacking information needed for this citation format:

Author name may be incomplete

Chicago Manual of Style (16^{th} Edition):

-9740-0742. “Applications of forward performance processes in dynamic optimal portfolio management.” 2018. Doctoral Dissertation, University of Texas – Austin. Accessed November 15, 2019. http://hdl.handle.net/2152/63813.

Note: this citation may be lacking information needed for this citation format:

Author name may be incomplete

MLA Handbook (7^{th} Edition):

-9740-0742. “Applications of forward performance processes in dynamic optimal portfolio management.” 2018. Web. 15 Nov 2019.

Note: this citation may be lacking information needed for this citation format:

Author name may be incomplete

Vancouver:

-9740-0742. Applications of forward performance processes in dynamic optimal portfolio management. [Internet] [Doctoral dissertation]. University of Texas – Austin; 2018. [cited 2019 Nov 15]. Available from: http://hdl.handle.net/2152/63813.

Author name may be incomplete

Council of Science Editors:

-9740-0742. Applications of forward performance processes in dynamic optimal portfolio management. [Doctoral Dissertation]. University of Texas – Austin; 2018. Available from: http://hdl.handle.net/2152/63813

Author name may be incomplete

University of Helsinki

30.
Long, Feiran.
* Portfolio* selection formulated in terms of Semimartingales and Quadratic Variation.

Degree: Department of Political and Economic Studies; Helsingfors universitet, Statsvetenskapliga fakulteten, Institutionen för politik och ekonomi, 2012, University of Helsinki

URL: http://hdl.handle.net/10138/37148

► Every since Harry Markowitz published his remarkable piece on *portfolio* diversification in the 50s which then evolved into Modern *Portfolio* Theory (MPT), the trade-off between…
(more)

Subjects/Keywords: portfolio optimization; semimartingale; quadratic variation; Economics; Kansantaloustiede; Nationalekonomi

Record Details Similar Records

❌

APA · Chicago · MLA · Vancouver · CSE | Export to Zotero / EndNote / Reference Manager

APA (6^{th} Edition):

Long, F. (2012). Portfolio selection formulated in terms of Semimartingales and Quadratic Variation. (Masters Thesis). University of Helsinki. Retrieved from http://hdl.handle.net/10138/37148

Chicago Manual of Style (16^{th} Edition):

Long, Feiran. “Portfolio selection formulated in terms of Semimartingales and Quadratic Variation.” 2012. Masters Thesis, University of Helsinki. Accessed November 15, 2019. http://hdl.handle.net/10138/37148.

MLA Handbook (7^{th} Edition):

Long, Feiran. “Portfolio selection formulated in terms of Semimartingales and Quadratic Variation.” 2012. Web. 15 Nov 2019.

Vancouver:

Long F. Portfolio selection formulated in terms of Semimartingales and Quadratic Variation. [Internet] [Masters thesis]. University of Helsinki; 2012. [cited 2019 Nov 15]. Available from: http://hdl.handle.net/10138/37148.

Council of Science Editors:

Long F. Portfolio selection formulated in terms of Semimartingales and Quadratic Variation. [Masters Thesis]. University of Helsinki; 2012. Available from: http://hdl.handle.net/10138/37148