Skip navigation
Please use this identifier to cite or link to this item:
Title: Portfolio Optimization from a Risk-Management Perspective A Mathematical Approach to Portfolio Optimization in Risk Management
Authors: Kang, Leo
Advisors: Rudloff, Birgit
Department: Operations Research and Financial Engineering
Class Year: 2014
Abstract: In finance, we have the mantra of “high-risk, high-return”. However, the aim of Modern Portfolio Theory is to minimize risk for a given level of return or conversely, to maximize return given a certain amount of risk. Taking the Markowitz Mean-Variance framework as a starting point, this paper addresses how you can create risk-minimizing portfolios in order to outperform the market. The use of variance as a risk measure in the Markowitz model is clearly outdated and therefore different measures will be introduced into the model to create better risk-adjusted portfolios. The modifications in the theoretical framework will be tested with historical data, and performance will be compared to that of the benchmark indices and the original Markowitz model.
Extent: 71
Type of Material: Princeton University Senior Theses
Language: en_US
Appears in Collections:Operations Research and Financial Engineering, 2000-2016

Files in This Item:
File SizeFormat 
KANG leo.pdf823.6 kBAdobe PDF    Request a copy

Items in Dataspace are protected by copyright, with all rights reserved, unless otherwise indicated.