Sökning: "Zakaria Marakbi"

Hittade 2 uppsatser innehållade orden Zakaria Marakbi.

1. 1. Mean-Variance Portfolio Optimization : Challenging the role of traditional covariance estimation

   Master-uppsats, KTH/Industriell Marknadsföring och Entreprenörskap

   Författare :ZAKARIA MARAKBI; [2016]
   Nyckelord :portfolio allocation; mean-variance optimization; efficient frontier; covariance ma- trix; estimation error; optimization enigma; random matrix theory; shrinking; robust statistics;

   Sammanfattning : Ever since its introduction in 1952, the Mean-Variance (MV) portfolio selection theory has remained a centerpiece within the realm of e_cient asset allocation. However, in scienti_c circles, the theory has stirred controversy. LÄS MER

3. 2. High Yield Corporate Bond Portfolio Optimization

   Kandidat-uppsats, KTH/Optimeringslära och systemteori

   Författare :Zakaria Marakbi; CARLOS JUNIOR LOPEZ VYDRIN; [2014]
   Nyckelord :high-yield corporate bonds; optimization; dominant design;

   Sammanfattning : The fixed maturity, cash flow and risk characteristics of high-yield corporate bonds distinguish them from equities and complicate a direct application of well established optimization techniques such as Markowitz's mean-variance model and Sharpe ratio maximization. This can partly explain why qualitative methods constitute the dominant design in the portfolio selection process of high-yield corporate bonds. LÄS MER