Browsing Theses by Subject "Portfolio Optimization"
Now showing items 1-4 of 4
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Actuarial Inference and Applications of Hidden Markov Models
(University of Waterloo, 2011-08-17)Hidden Markov models have become a popular tool for modeling long-term investment guarantees. Many different variations of hidden Markov models have been proposed over the past decades for modeling indexes such as the S&P ... -
Heavy-tail Sensitivity of Stable Portfolios
(University of Waterloo, 2010-08-31)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 that asset returns are heavy-tailed. ... -
Optimal Portfolio Rule: When There is Uncertainty in The Parameter Estimates
(University of Waterloo, 2012-04-11)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 this model, parameters are estimated by their sample counterparts. ... -
Optimal Portfolio Selection Under the Estimation Risk in Mean Return
(University of Waterloo, 2008-01-17)This thesis investigates robust techniques for mean-variance (MV) portfolio optimization problems under the estimation risk in mean return. We evaluate the performance of the optimal portfolios generated by the min-max ...