Please use this identifier to cite or link to this item:
http://arks.princeton.edu/ark:/88435/dsp01js956g00q
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 The use of variance as a risk measure in the Markowitz model is clearly outdated and therefore different measures will be introduced into the model to create better risk-adjusted portfolios.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 |
URI: | http://arks.princeton.edu/ark:/88435/dsp01js956g00q |
Type of Material: | Princeton University Senior Theses |
Language: | en_US |
Appears in Collections: | Operations Research and Financial Engineering, 2000-2024 |
Files in This Item:
File | Size | Format | |
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KANG leo.pdf | 823.6 kB | Adobe PDF | Request a copy |
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