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Please use this identifier to cite or link to this item: http://arks.princeton.edu/ark:/88435/dsp013b591b933
Title: ENHANCING REBALANCING GAINS THROUGH SYNTHETIC DIVERSIFICATION ON COMMODITIES
Authors: Tran, Timothy
Advisors: Mulvey, John
Department: Operations Research and Financial Engineering
Class Year: 2015
Abstract: Synthetic diversification is a new technique that allows investors to reap larger rebalancing gains using randomization. We show empirically on three commodity indexes that although synthetic diversification cannot be used alone to gain larger geometric returns, it can be used to reduce correlation to other asset classes, such as equities, and potentially increase returns in a larger portfolio of investments. Synthetic diversification is also analyzed in conjunction with additional investment strategies, such as principal component analysis and k-means clustering. These additional investment strategies yield promising results, especially when applied to the Continuous Commodity Index.
Extent: 62 pages
URI: http://arks.princeton.edu/ark:/88435/dsp013b591b933
Type of Material: Princeton University Senior Theses
Language: en_US
Appears in Collections:Operations Research and Financial Engineering, 2000-2016

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