Return models and dynamic asset allocation strategies

Other literature type English OPEN
Shi, Wyanet Wen;
(2017)
  • Related identifiers: doi: 10.4225/03/58b8a67d5ec35
  • Subject: Uncategorized | monash:168112 | return models | thesis(doctorate) | ethesis-20160315-215346 | dynamic asset allocation | open access | 1959.1/1251093 | maximum likelihood | 2016 | mgarch

This thesis studies the design of optimal investment strategies. A strategy is considered optimal when it minimizes the variance of terminal portfolio wealth for a given level of expected terminal portfolio wealth, or equivalently, maximizes an investor's utility. We st... View more
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