Browsing by Author "Hossain, Nafees"

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    Accurate portfolio risk-return structure modelling
    (2006) Hossain, Nafees; Troskie, Casper G; Guo, Renkuan
    Markowitz's modem portfolio theory has played a vital role in investment portfolio management, which is constantly pushing the development on volatility models. Particularly, the stochastic volatility model which reveals the dynamics of conditional volatility. Financial time series and volatility models has become one of the hot spots in operations research. In this thesis, one of the areas we explore is the theoretical formulation of the optimal portfolio selection problem under Ito calculus framework. Particularly, a stochastic variation calculus problem, i.e., seeking the optimal stochastic volatility diffusion family for facilitating the best portfolio selection identified under the continuous-time stochastic optimal control theoretical settings. One of the properties this study examines is the left-shifting role of the GARCH(1, 1) (General Autoregressive Conditional Heteroskedastic) model's efficient frontier. This study considers many instances where the left shifting superior behaviour of the GARCH(1, 1) is observed. One such instance is when GARCH(1, 1) is compared within the volatility modelling extensions of the GARCH environ in a single index framework. This study will demonstrate the persistence of the superiority of the G ARCH ( 1, 1) frontier within a multiple and single index context of modem portfolio theory. Many portfolio optimization models are investigated, particularly the Markowitz model and the Sharpe Multiple and Single index models. Includes bibliographical references (p. 313-323).