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Markowitz's portfolio selection model and related problems
Descriptive
TitleInfo
Title
Markowitz's portfolio selection model and related problems
Name
(type = personal)
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(type = family)
Ravipati
NamePart
(type = given)
Abhijit
NamePart
(type = date)
1987-
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Abhijit Ravipati
Role
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(authority = RULIB)
author
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Prekopa
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Andras
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Andras Prekopa
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Advisory Committee
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chair
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Rutgers University
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degree grantor
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Graduate School - New Brunswick
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school
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Text
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theses
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2012
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2012-01
Place
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xx
Language
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eng
Abstract
(type = abstract)
Markowitz's portfolio selection theory is one of the pillars of theoretical finance. This formulation has an inherent instability once the mean and variance are replaced by their sample counterparts. The problem is amplified when the number of assets is large and the sample covariance is singular or nearly singular. This poses a fundamental problem, because solutions that are not stable under sample fluctuations may look optimal for a given sample, but are, in effect, very far from optimal with respect to the average risk. The paper starts with a general introduction to Markowitz’s portfolio theory and then discusses further developments and a few notable works in the area and later moves on to discuss the need for regularization and points out a few existing methods for regularization. After which a formulation of the optimal portfolio selection is presented and ends with a few numerical examples.
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Topic
Operations Research
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Rutgers University Electronic Theses and Dissertations
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ETD_3731
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electronic resource
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Extent
iv, 44 p. : ill.
Note
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M.S.
Note
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Includes bibliographical references
Note
(type = statement of responsibility)
by Abhijit Ravipati
Subject
Name
(authority = LC-NAF)
NamePart
(type = personal)
Markowitz, H. (Harry), 1927-
Subject
(authority = ETD-LCSH)
Topic
Economics
Subject
(authority = ETD-LCSH)
Topic
Risk-return relationships
Identifier
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http://hdl.rutgers.edu/1782.1/rucore10001600001.ETD.000064166
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Graduate School - New Brunswick Electronic Theses and Dissertations
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rucore19991600001
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NjNbRU
Identifier
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doi:10.7282/T33J3C07
Genre
(authority = ExL-Esploro)
ETD graduate
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Rights
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The author owns the copyright to this work.
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Name
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Ravipati
GivenName
Abhijit
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Permission or license
DateTime
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2011-12-15 11:02:35
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Name
Abhijit Ravipati
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Affiliation
Rutgers University. Graduate School - New Brunswick
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License
Name
Author Agreement License
Detail
I hereby grant to the Rutgers University Libraries and to my school the non-exclusive right to archive, reproduce and distribute my thesis or dissertation, in whole or in part, and/or my abstract, in whole or in part, in and from an electronic format, subject to the release date subsequently stipulated in this submittal form and approved by my school. I represent and stipulate that the thesis or dissertation and its abstract are my original work, that they do not infringe or violate any rights of others, and that I make these grants as the sole owner of the rights to my thesis or dissertation and its abstract. I represent that I have obtained written permissions, when necessary, from the owner(s) of each third party copyrighted matter to be included in my thesis or dissertation and will supply copies of such upon request by my school. I acknowledge that RU ETD and my school will not distribute my thesis or dissertation or its abstract if, in their reasonable judgment, they believe all such rights have not been secured. I acknowledge that I retain ownership rights to the copyright of my work. I also retain the right to use all or part of this thesis or dissertation in future works, such as articles or books.
Copyright
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Copyright protected
Availability
Status
Open
Reason
Permission or license
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Technical
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536576
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