Properties of optimal portfolio weights and their characteristics:
Gespeichert in:
| 1. Verfasser: | |
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| Format: | Abschlussarbeit Buch |
| Sprache: | English |
| Veröffentlicht: |
2007
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| Schlagworte: | |
| Online-Zugang: | Inhaltsverzeichnis |
| Beschreibung: | IV, 96 S. 21 cm |
Internformat
MARC
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Datensatz im Suchindex
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|---|---|
| adam_text | Titel: Properties of optimal portfolio weights and their characteristics
Autor: Zabolotskyy, Taras
Jahr: 2007
Contents
Commonly Used Notation iii
1 Introduction 1
2 Basic Definitions 7
2.1 Optimal Portfolio Weights and the Efficient Frontier......... 7
2.2 The VARMA-GARCH Model ...................... 10
3 Estimation Problem for the Portfolio Weights Obtained from the
Sharpe Ratio 14
3 1 Unbiased Estimation of the Sharpe Hatio............... 11
3.2 Asymptotically Unbiased Estimators of the Sharp? Ratio ..... 1
3.3 Conclusions............................. lf
¦3.4 Appendix ................................ 16
4 Portfolio Selection for Dependent Asset Returns 19
4.1 Asymptotic Theor for the Estimators of the Mean and the Ccnari-
ance Matrix............................. 19
I 2 Asymptotic Theory for the Expect pi 1 Portfolio Returns and Portfolio
ariances ................................. 21
4.2.1 Asymptotic Distribution* . ........ . . 21
4.2.2 Joint Asymptotic Distributions........ . . 2!
4.3 Examples ................................. 2(i
4.1 Conclusions............................... 29
4, i Appendix ................................. 30
5 Portfolio Selection in a VARMA-GARCH Model 37
5.1 Asymptotic Theory for the Estimators of the Mean and the Covaii-
auce Matrix........................... . . 38
5.2 Asymptotic Properties of the Optima! Portfolio Weights ....... »9
5.2.1 Weights of the Expected Quadratic Utility Optimal Portfolio . 40
5.2.2 Weights of the Global Minimum Variance Portfolio......41
5.2.3 Heights of the Tangeney Portfolio..............¦ • l-
5.2.4 Weights of the Sliaipe Ratio Optimal Portfolio ........ 43
5.2.5 Tests for the Weights of Optimal Portfolios.........¦ ¦ 43
¦j.3 Aswnptotii- Theory for the Expected Portfolio Returns and Portfolio
Variances...............................• ¦ ^
5 3.1 Asymptotic Distributions ................ . 44
5.3.2 Joint Asymptotic Distributions..............¦ - 47
5 3,3 Tests for the Parameters of the Efficient Frontier and the Char-
acteristics of the Optimal Portfolios ............ ¦ 50
5.1 Consistenty of the Quasi Maximum Likelihood Estimators for the
Parameters of the YARMA-CURCH Process.............. 50
5.5 Example.................................. 53
5.0 Conclusion................................. 56
5 7 Appendix ............. ................... 50
6 Conclusions and Possibilities for Future Research 75
A Matrix Operators and Their Properties 78
A.I The Krontvker Product........................ . 78
A _ The vec Operator............................. 79
A..J Hie Commutation Matrix . . ...................... 80
A.i The Duplication Matrix ami the vech Opmator...........¦ HI
B Matrix Differential Calculus 83
C Derivatives of the Optimal Portfolio Weights and Their Character-
istics 85
Bibliography gj
|
| adam_txt |
Titel: Properties of optimal portfolio weights and their characteristics
Autor: Zabolotskyy, Taras
Jahr: 2007
Contents
Commonly Used Notation iii
1 Introduction 1
2 Basic Definitions 7
2.1 Optimal Portfolio Weights and the Efficient Frontier. 7
2.2 The VARMA-GARCH Model . 10
3 Estimation Problem for the Portfolio Weights Obtained from the
Sharpe Ratio 14
3 1 Unbiased Estimation of the Sharpe Hatio. 11
3.2 Asymptotically Unbiased Estimators of the Sharp? Ratio . 1"
3.3 Conclusions. lf
¦3.4 Appendix . 16
4 Portfolio Selection for Dependent Asset Returns 19
4.1 Asymptotic Theor\ for the Estimators of the Mean and the Ccnari-
ance Matrix. 19
I 2 Asymptotic Theory for the Expect pi 1 Portfolio Returns and Portfolio
\ ariances . 21
4.2.1 Asymptotic Distribution* . . . . 21
4.2.2 Joint Asymptotic Distributions. . . 2!
4.3 Examples . 2(i
4.1 Conclusions. 29
4,"i Appendix . 30
5 Portfolio Selection in a VARMA-GARCH Model 37
5.1 Asymptotic Theory for the Estimators of the Mean and the Covaii-
auce Matrix. . . 38
5.2 Asymptotic Properties of the Optima! Portfolio Weights . '»9
5.2.1 Weights of the Expected Quadratic Utility Optimal Portfolio . 40
5.2.2 Weights of the Global Minimum Variance Portfolio.41
5.2.3 Heights of the Tangeney Portfolio.¦ • l-
5.2.4 Weights of the Sliaipe Ratio Optimal Portfolio . 43
5.2.5 Tests for the Weights of Optimal Portfolios.¦ ¦ 43
¦j.3 Aswnptotii- Theory for the Expected Portfolio Returns and Portfolio
Variances.• ¦ "^
5 3.1 Asymptotic Distributions . . 44
5.3.2 Joint Asymptotic Distributions.¦ - 47
5 3,3 Tests for the Parameters of the Efficient Frontier and the Char-
acteristics of the Optimal Portfolios . ¦ 50
5.1 Consistenty of the Quasi Maximum Likelihood Estimators for the
Parameters of the YARMA-CURCH Process. 50
5.5 Example. 53
5.0' Conclusion. 56
5 7 Appendix . . 50
6 Conclusions and Possibilities for Future Research 75
A Matrix Operators and Their Properties 78
A.I The Krontvker Product. . 78
A '_ The vec Operator. 79
A.J Hie Commutation Matrix . . . 80
A.i The Duplication Matrix ami the vech Opmator.¦ HI
B Matrix Differential Calculus 83
C Derivatives of the Optimal Portfolio Weights and Their Character-
istics 85
Bibliography gj |
| any_adam_object | 1 |
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| author | Zabolotskyy, Taras 1983- |
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| ctrlnum | (OCoLC)197969214 (DE-599)DNB986758272 |
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| dewey-ones | 332 - Financial economics |
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| dewey-search | 332.6 |
| dewey-sort | 3332.6 |
| dewey-tens | 330 - Economics |
| discipline | Wirtschaftswissenschaften |
| discipline_str_mv | Wirtschaftswissenschaften |
| format | Thesis Book |
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| spelling | Zabolotskyy, Taras 1983- Verfasser (DE-588)133727130 aut Properties of optimal portfolio weights and their characteristics von Taras Zabolotskyy 2007 IV, 96 S. 21 cm txt rdacontent n rdamedia nc rdacarrier Frankfurt (Oder), Europa-Univ., Diss., 2007 (DE-588)4113937-9 Hochschulschrift gnd-content HBZ Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=016600947&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Zabolotskyy, Taras 1983- Properties of optimal portfolio weights and their characteristics |
| subject_GND | (DE-588)4113937-9 |
| title | Properties of optimal portfolio weights and their characteristics |
| title_auth | Properties of optimal portfolio weights and their characteristics |
| title_exact_search | Properties of optimal portfolio weights and their characteristics |
| title_exact_search_txtP | Properties of optimal portfolio weights and their characteristics |
| title_full | Properties of optimal portfolio weights and their characteristics von Taras Zabolotskyy |
| title_fullStr | Properties of optimal portfolio weights and their characteristics von Taras Zabolotskyy |
| title_full_unstemmed | Properties of optimal portfolio weights and their characteristics von Taras Zabolotskyy |
| title_short | Properties of optimal portfolio weights and their characteristics |
| title_sort | properties of optimal portfolio weights and their characteristics |
| topic_facet | Hochschulschrift |
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