Managing portfolios of products and securities
Thesis (S.M.)--Massachusetts Institute of Technology, Sloan School of Management, Operations Research Center, 2008.
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| Format: | Thesis |
| Language: | eng |
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Massachusetts Institute of Technology
2009
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| Online Access: | http://hdl.handle.net/1721.1/45952 |
| _version_ | 1811081459565330432 |
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| author | Quinteros, Martin |
| author2 | Gabriel Bitran. |
| author_facet | Gabriel Bitran. Quinteros, Martin |
| author_sort | Quinteros, Martin |
| collection | MIT |
| description | Thesis (S.M.)--Massachusetts Institute of Technology, Sloan School of Management, Operations Research Center, 2008. |
| first_indexed | 2024-09-23T11:47:01Z |
| format | Thesis |
| id | mit-1721.1/45952 |
| institution | Massachusetts Institute of Technology |
| language | eng |
| last_indexed | 2024-09-23T11:47:01Z |
| publishDate | 2009 |
| publisher | Massachusetts Institute of Technology |
| record_format | dspace |
| spelling | mit-1721.1/459522019-04-12T10:00:14Z Managing portfolios of products and securities Quinteros, Martin Gabriel Bitran. Massachusetts Institute of Technology. Operations Research Center. Massachusetts Institute of Technology. Operations Research Center. Operations Research Center. Thesis (S.M.)--Massachusetts Institute of Technology, Sloan School of Management, Operations Research Center, 2008. Includes bibliographical references (leaf 91). In this thesis we study modifications of the classical Mean-Variance Portfolio Optimization model. Our objective is to identify an optimal subset of assets from all available assets to maximize the expected return while incurring the minimum risk. In addition, we test several approaches to measuring the effect of the variance of the portfolio on the optimal asset allocation. We have developed a mixed integer formulation to solve the well known Markowitz portfolio model. Our model captures and solves the certain practical drawbacks that a real investor would face with the Markowitz approach. For example, by selecting a limited number of assets our procedure tends to prevent small allocations of assets. In addition, we find that in most cases, the maximum drawdown increases as a function of the upper bound on the variance of the portfolio and that this result is consistent with intuition, since portfolio risk increases as the chance that a drawdown event occurs also increases. However, we have observed that altering the composition of the portfolio can mitigate the risk of a drawdown event. by Martin Quinteros. S.M. 2009-06-30T16:47:41Z 2009-06-30T16:47:41Z 2008 2008 Thesis http://hdl.handle.net/1721.1/45952 321065592 eng M.I.T. theses are protected by copyright. They may be viewed from this source for any purpose, but reproduction or distribution in any format is prohibited without written permission. See provided URL for inquiries about permission. http://dspace.mit.edu/handle/1721.1/7582 91 leaves application/pdf Massachusetts Institute of Technology |
| spellingShingle | Operations Research Center. Quinteros, Martin Managing portfolios of products and securities |
| title | Managing portfolios of products and securities |
| title_full | Managing portfolios of products and securities |
| title_fullStr | Managing portfolios of products and securities |
| title_full_unstemmed | Managing portfolios of products and securities |
| title_short | Managing portfolios of products and securities |
| title_sort | managing portfolios of products and securities |
| topic | Operations Research Center. |
| url | http://hdl.handle.net/1721.1/45952 |
| work_keys_str_mv | AT quinterosmartin managingportfoliosofproductsandsecurities |