Markowitz theory-based asset allocation strategies with special regard to private wealth management
Ha, Haifeng
1981-
aut
text
theses
Text
Hochschulschrift
gw
2010
monographic
XA-DE
2010
eng
text/html
application/pdf
Online-Ressource graph. Darst.
This dissertation concentrates on portfolio optimization problems in asset allocation strategies with special focus on Private Wealth Management. The research is incorporated in the framework of both utility theory and the Markowitz model. Using monthly returns of ten different indices from seven asset classes recorded from 1996 to 2007, this dissertation shows that utility maximization for portfolio optimization problems based on quadratic utility and other popular but more difficult utility functions leads to similar results.
vorgelegt von Haifeng Ha
Die Online-Ausg. unterscheidet sich von der Druckausg. Die Druckausg. enthält einen Anhang auf einer CD-ROM
Rostock, Univ., Wirtschafts- und Sozialwiss. Fak., Diss., 2010
330
QK 810
85.30
31.70
http://rosdok.uni-rostock.de/resolve?urn=urn:nbn:de:gbv:28-diss2010-0111-2
http://rosdok.uni-rostock.de/resolve?urn=urn:nbn:de:gbv:28-diss2010-0111-2&pdf
http://nbn-resolving.de/urn:nbn:de:gbv:28-diss2010-0111-2
Markowitz theory-based asset allocation strategies with special regard to private wealth management
2010
Druck-Ausgabe
(DE-627)631307982
Ha, Haifeng, 1981 -
urn:nbn:de:gbv:28-diss2010-0111-2
838888153
rakwb
DE-627
120309
688277268
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