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Ha,  Haifeng

Markowitz Theory–Based Asset Allocation Strategies with Special Regard to Private Wealth Management

Rostock : Universität , 2010

https://doi.org/10.18453/rosdok_id00000692

http://purl.uni-rostock.de/rosdok/id00000692

Abstract:

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.

Dissertation Open Access


Einrichtung :
Wirtschafts- und Sozialwissenschaftliche Fakultät
Gutachter :
Siebe,  Wilfried  (Prof. Dr. rer. nat.)
Linowski,  Dirk  (Prof. Dr. Dr. h.c.)
Jahr der Abgabe:
2010
Jahr der Verteidigung:
2010
Sprache(n) :
Englisch
Schlagworte:
Markowitz model, utility theory, asset allocation strategy, private wealth management
DDC Klassifikation :
330 Wirtschaft
URN :
urn:nbn:de:gbv:28-diss2010-0111-2
Persistente URL:
http://purl.uni-rostock.de/rosdok/id00000692
erstellt am:
2010-07-16
zuletzt geändert am:
2018-06-30
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