Publicação
Portfolio optimization methods, their application and evaluation
| Resumo: | The submitted master’s thesis focuses on practical application of quantitative portfolio optimization in various forms. The thesis is organized in two main parts, theoretical and practical. The theoretical part introduces the underpinnings of portfolio theory. It describes the optimization process, introduces a number of selected optimization methods, and provides an overview of portfolio management. As a whole, it serves as an underlying for the practical part. The practical part of the thesis is based on an experiment that put multiple quantitative portfolio optimization methods into a contest. Different optimizers were applied to portfolios composed of identical assets, which were subsequently held under different portfolio management styles over a pre-specified period of time. The performance of each portfolio was measured expost, adequately evaluated in accord with the criteria of the experiment, and confronted with the others. The questions that this master’s thesis tried to find answers to were (1) which portfolio optimizer, out of the selected ones, performs the best, and (2) whether it is beneficial to conduct rather an active, or a passive portfolio management. |
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| Autores principais: | Hlavaty, Tomas |
| Assunto: | Quantitative portfolio management Optimization Asset allocation Diversification Otimização Gestão Portfólio CAPM Capital Asset Pricing Model Estratégia de Investimento |
| Ano: | 2018 |
| País: | Portugal |
| Tipo de documento: | dissertação de mestrado |
| Tipo de acesso: | acesso aberto |
| Instituição associada: | ISCTE |
| Idioma: | inglês |
| Origem: | Repositório ISCTE |
| Resumo: | The submitted master’s thesis focuses on practical application of quantitative portfolio optimization in various forms. The thesis is organized in two main parts, theoretical and practical. The theoretical part introduces the underpinnings of portfolio theory. It describes the optimization process, introduces a number of selected optimization methods, and provides an overview of portfolio management. As a whole, it serves as an underlying for the practical part. The practical part of the thesis is based on an experiment that put multiple quantitative portfolio optimization methods into a contest. Different optimizers were applied to portfolios composed of identical assets, which were subsequently held under different portfolio management styles over a pre-specified period of time. The performance of each portfolio was measured expost, adequately evaluated in accord with the criteria of the experiment, and confronted with the others. The questions that this master’s thesis tried to find answers to were (1) which portfolio optimizer, out of the selected ones, performs the best, and (2) whether it is beneficial to conduct rather an active, or a passive portfolio management. |
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