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

Haifeng Ha

doi:10.18453/rosdok_id00000692

Haifeng Ha

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

Universität Rostock, 2010

https://doi.org/10.18453/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 Freier Zugang

100%0 °

Titel:

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

Beteiligte Personen:

Haifeng Ha[VerfasserIn]
	141863315
Wilfried Siebe , Prof. Dr. rer. nat.[AkademischeR BetreuerIn]
Dirk Linowski , Prof. Dr. Dr. h.c.[AkademischeR BetreuerIn]

Beteiligte Körperschaften:

Universität Rostock, Wirtschafts- und Sozialwissenschaftliche Fakultät[Grad-verleihende Institution]
	2140292-9

Zusammenfassung:

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. [Englisch]

Dokumenttyp:

Dissertation

Einrichtung:

Wirtschafts- und Sozialwissenschaftliche Fakultät

Sprache:

Englisch

Sachgruppe der DNB:

330 Wirtschaft

Veröffentlichung /
Entstehung:

Rostock

Rostock: Universität Rostock

2010