Tid: 14 december 2009 kl 16.20-17.05

Plats : Seminarierummet 3733, Institutionen för matematik, KTH, Lindstedts väg 25, plan 7. Karta!

Föredragshållare: Alexander Wojt

Titel: Portfolio Selection and Lower Partial Moments (Examensarbete – Master thesis)

Abstract

In this thesis lower partial moments (LPM) are introduced as risk measures in portfolio optimization (mean-LPM optimization). LPM has several features making it a more suitable risk measure for the investor compared to variance. Empirical tests will be carried out to compare mean-variance optimization with mean-LPM optimization. The results will be discussed in light of a robustness analysis under a resampled efficiency framework (Michaud, 1998) performed in order to discuss the models´ sensitivities to estimation errors.

The full report (pdf)

Till seminarielistan
To the list of seminars