- Title Information
- Title
- Improving Portfolio Construction through Side Information and Quantified Uncertainty
- Type of Resource (primo)
- dissertations
- Name:
Personal
- Name Part
- Shah, Anish Rasiklal
- Role
- Role Term:
Text
- creator
- Name:
Personal
- Name Part
- Harrison, Matthew
- Role
- Role Term:
Text
- Advisor
- Name:
Personal
- Name Part
- Upfal, Eli
- Role
- Role Term:
Text
- Reader
- Name:
Personal
- Name Part
- Kolm, Petter
- Role
- Role Term:
Text
- Reader
- Name:
Corporate
- Name Part
- Brown University. Department of Applied Mathematics
- Role
- Role Term:
Text
- sponsor
- Origin Information
- Copyright Date
- 2023
- Physical Description
- Extent
- 11, 149 p.
- digitalOrigin
- born digital
- Note:
thesis
- Thesis (Ph. D.)--Brown University, 2023
- Genre (aat)
- theses
- Abstract
- Motivated largely by the problems of estimation error in investment portfolio optimization, this dissertation develops techniques to improve covariance forecasting and portfolio construction. Covariance forecasting is improved by incorporating contemporaneous side information and by propagating uncertainty of the parameters in factor-modeled covariance to uncertainty of the covariance matrix itself. The latter makes it possible to approach several investment problems explicitly modeling uncertainty. Markowitz mean-variance portfolio optimization becomes robust optimization with an uncertainty set on portfolio utility. Uncertain risk parity considers deviation from the risk budget. Risk under uncertainty and price movement measures the stability of hedges under forecasting uncertainty and shifts in risk exposure caused by dynamic prices.
- Subject (fast)
(authorityURI="http://id.worldcat.org/fast", valueURI="http://id.worldcat.org/fast/01098118")
- Topic
- Risk
- Subject (fast)
(authorityURI="http://id.worldcat.org/fast", valueURI="http://id.worldcat.org/fast/01160835")
- Topic
- Uncertainty--Mathematical models
- Subject
- Topic
- Uncertainty Quantification
- Subject (fast)
(authorityURI="http://id.worldcat.org/fast", valueURI="http://id.worldcat.org/fast/00931721")
- Topic
- Forecasting
- Subject
- Topic
- Covariance
- Subject (fast)
(authorityURI="http://id.worldcat.org/fast", valueURI="http://id.worldcat.org/fast/01072082")
- Topic
- Portfolio management--Mathematical models
- Subject (fast)
(authorityURI="http://id.worldcat.org/fast", valueURI="http://id.worldcat.org/fast/01740908")
- Topic
- Robust optimization
- Subject
- Topic
- Risk Parity
- Subject
- Topic
- Side Information
- Subject (fast)
(authorityURI="http://id.worldcat.org/fast", valueURI="http://id.worldcat.org/fast/01160832")
- Topic
- Uncertainty
- Subject
- Topic
- Portfolio optimization
- Subject (fast)
(authorityURI="http://id.worldcat.org/fast", valueURI="http://id.worldcat.org/fast/00954458")
- Topic
- Hedging (Finance)
- Language
- Language Term (ISO639-2B)
- English
- Record Information
- Record Content Source (marcorg)
- RPB
- Record Creation Date
(encoding="iso8601")
- 20230602