Optimal portfolio choice : beyond the traditional expected utility maximization paradigm

dc.contributor.advisorZariphopoulou, Thaleia, 1962-
dc.contributor.advisorHasenbein, John J.
dc.creatorLalkov, Vasko
dc.creator.orcid0000-0003-2859-7227
dc.date.accessioned2021-08-26T22:02:42Z
dc.date.available2021-08-26T22:02:42Z
dc.date.created2020-05
dc.date.issued2020-05-13
dc.date.submittedMay 2020
dc.date.updated2021-08-26T22:02:43Z
dc.description.abstractThis thesis focuses on two major portfolio selection approaches: the traditional mean-variance approach and the heuristic approach based on risk budgeting. The main results from mean-variance are reviewed, as well as some novel results, followed by new contributions in the area of calculating expected functionals of the optimal wealth in a log-normal market. The available theory behind the risk budgeting approach is revisited, with the main arguments for and against the approach explained. The equally weighted portfolio, referred to as the risk parity portfolio, is compared against other heuristically derived portfolios and the more traditional mean-variance portfolio.
dc.description.departmentOperations Research and Industrial Engineering
dc.format.mimetypeapplication/pdf
dc.identifier.urihttps://hdl.handle.net/2152/87218
dc.identifier.urihttp://dx.doi.org/10.26153/tsw/14168
dc.language.isoen
dc.subjectPortfolio selection
dc.subjectPortfolio choice
dc.subjectPortfolio optimization
dc.subjectMean-variance
dc.subjectExpected utility
dc.subjectOptimal wealth
dc.subjectExpected functional of wealth
dc.subjectRisk budgeting
dc.subjectRisk parity
dc.titleOptimal portfolio choice : beyond the traditional expected utility maximization paradigm
dc.typeThesis
dc.type.materialtext
thesis.degree.departmentOperations Research and Industrial Engineering
thesis.degree.disciplineOperations Research and Industrial Engineering
thesis.degree.grantorThe University of Texas at Austin
thesis.degree.levelMasters
thesis.degree.nameMaster of Science in Engineering
Files
Original bundle
Now showing 1 - 1 of 1
Loading...
Thumbnail Image
Name:
LALKOV-THESIS-2020.pdf
Size:
271.69 KB
Format:
Adobe Portable Document Format
License bundle
Now showing 1 - 1 of 1
No Thumbnail Available
Name:
LICENSE.txt
Size:
1.84 KB
Format:
Plain Text
Description: