| title: |
| Markowitz Theory–Based Asset Allocation Strategies with Special Regard to Private
Wealth Management |
|
| contributing persons: |
| Haifeng Ha[VerfasserIn] |
 |
141863315 |
| Wilfried Siebe
, Prof. Dr. rer. nat.[AkademischeR BetreuerIn] |
| Dirk Linowski
, Prof. Dr. Dr. h.c.[AkademischeR BetreuerIn] |
|
| contributing corporate bodies: |
| Universität Rostock, Wirtschafts- und Sozialwissenschaftliche Fakultät[Grad-verleihende Institution] |
|
2140292-9 |
|
| |
| 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.
[English] |
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| document type: |
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| institution: |
| Faculty of Economics and Social Sciences |
|
| language: |
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| subject class (DDC): |
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| |
publication /
production: |
Rostock
|
Rostock: Universität Rostock
|
|
2010
|
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| |
| identifiers: |
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| |
| access condition: |
|
| license/rights statement: |
all rights reserved
This work may only be used under the terms of the German Copyright Law (Urheberrechtsgesetz). |
|
|
| RosDok id: |
rosdok_disshab_0000000478 |
| created / modified: |
16.07.2010 / 08.08.2023
|
| metadata license: |
The metadata of this document was dedicated to the public domain
(CC0 1.0 Universal Public Domain Dedication). |
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