Download or read book Essays in Portfolio Optimization written by Fabian Trübenbach and published by . This book was released on 2012 with total page 150 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Essays in Portfolio Optimization written by David J. Disatnik and published by . This book was released on 2007 with total page 232 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Essays on Portfolio Optimization and ESG Ratings under Risk Constraints and Incomplete Information written by Janke, Oliver and published by Lehmanns Media. This book was released on with total page 244 pages. Available in PDF, EPUB and Kindle. Book excerpt: In this thesis, we analyze various problems of dynamic portfolio optimization as well as green capital requirements under risk constraints and incomplete information. First, we examine the problem of optimal expected utility under the constraint of a utility-based shortfall risk measure in an incomplete market. The existence and uniqueness of an optimal solution to the problem are shown using a Lagrange multiplier and duality methods. Second, we consider the optimization problem under various levels of the investor’s information. By using martingale representation theorems, we demonstrate the existence and uniqueness of optimal solutions, which differ in their market dynamics. Third, we analyze the effects of green- and brownwashing on banks’ lending to firms, on the regulator’s deposit insurance subsidy, and on carbon emissions under different green capital requirement functions. Furthermore, we show that green capital requirements may compromise financial stability.

Download or read book Three Essays in Portfolio Optimization written by Maximilian Adelmann and published by . This book was released on 2017 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Essays on Portfolio Optimization written by Felix Miebs and published by . This book was released on 2012 with total page 135 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Essays on Portfolio Optimization and Estimation Risk written by Illia Kovalenko and published by . This book was released on 2022 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Essays on Distributionally Robust Portfolio Optimization written by Thitapon Ousawat and published by . This book was released on 2013 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Essays on Continuous time Portfolio Optimization and Credit Risk written by Björn Bick and published by . This book was released on 2012 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Essays on Portfolio Optimization and ESG Ratings Under Risk Constraints and Incomplete Information written by Oliver Janke and published by . This book was released on 2024 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Essays on Portfolio Optimization and Infrastructure Allocations written by Louis Chakkalakal and published by . This book was released on 2018 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Essays on Portfolio Optimization Volatility Modelling and Risk Measurement written by Liyuan Chen and published by . This book was released on 2017 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Essays in Quantitative Portfolio Optimization written by Roman Crößmann and published by . This book was released on 2018 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Essays in Dynamic Portfolio Optimization and Diffusion Estimations written by Hua He and published by . This book was released on 1989 with total page 210 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Essays on Asset Pricing and Portfolio Optimization written by Christian Koeppel and published by . This book was released on 2021 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: WThis doctoral thesis focuses on the effects of investor sentiment on asset pricing and the challenges of portfolio optimization under parameter uncertainty. The first essay "Sentiment risk premia in the cross-section of global equity" applies a recently developed sentiment proxy to the construction of a new risk factor and provides a comprehensive understanding of its role in sentiment-augmented asset pricing models for international equity indices. We empirically demonstrate the existence of a statistically significant and economically relevant sentiment premium. Differentiating between developed and emerging markets we reveal different patterns of return reversals / persistence. Our results contribute to the explanation of global cross-sectional average excess returns, demonstrating superiority in terms of predictive power when compared to competing definitions of sentiment. The second essay "Does social media sentiment matter in the pricing of U.S. stocks?" finds that the inclusion of micro-grounded, social media-based sentiment significantly improves the performance of the five-factor model from Fama and French (2015, 2017). This holds for different industry and style portfolios such as size, value, profitability, and investment. Applying a robust GMM estimator, the sentiment risk premium provides the missing component in the behavioral asset pricing theory of Shefrin and Belotti (2008) and (partially) resolves the pricing puzzles of small extreme growth, small extreme investment stocks and small stocks that invest heavily despite low profitability. The third essay "Diversifying estimation errors: An efficient averaging rule for portfolio optimization" proposes a combination of established minimum-variance strategies to minimize the expected out-of-sample variance. The proposed averaging rule overcomes the strategy selection problem and diversifies estimation errors of the strategies included in our rule. Extensive simulations show that the contributions of estimation errors to the out-of-sample variances are uncorrelated between the considered strategies. We therefore conclude that averaging over multiple strategies offers sizable diversification benefits.

Download or read book Essays on Volatility Derivatives and Portfolio Optimization written by Ashish Jain and published by . This book was released on 2007 with total page 408 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Essays in Intertemporal Portfolio Optimization with Transactions Costs written by Alan Robert Jung and published by . This book was released on 1990 with total page 432 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Portfolio Theory 25 Years After written by Harry Markowitz and published by North-Holland. This book was released on 1979 with total page 282 pages. Available in PDF, EPUB and Kindle. Book excerpt: