APPLICATION OF PORTFOLIO OPTIMIZATION: A STATISTICAL APPROACH
APPLICATION OF PORTFOLIO OPTIMIZATION: A STATISTICAL APPROACH
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Date
2018-03
Authors
MAIGARI, Ahmadu Hamza
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Abstract
The main objective of this thesis is to look at how the Markowitz Mean-Variance assets selection model performs with distribution free model, Gini-Mean Difference model and highlight statistical approach to portfolio optimization in terms of risk reduction;interrelationships of diversified assets, assets rebalancing and stochastic dominance etc. In the study, the Mean-Variance model tends to slightly outperform the Gini-Mean Difference model in return/risk characteristics. More sophisticated investors can use the Gini-Mean Difference model if they posses the skills as it involves more complex computations in the procedure, and further captures the data than Mean-Variance approach since its distribution free model
Description
A THESIS SUBMITTED TO THE POSTGRADUATE SCHOOL, AHMADU BELLO UNIVERSITY, ZARIA, NIGERIA IN PARTIAL FULFILLMENT OF THE REQUIREMENTS FOR THE AWARD OF THE DEGREE OF MASTER OF SCIENCE (M.Sc.) IN STATISTICS DEPARTMENT OF STATISTICS, FACULTY OF SCIENCE AHMADU BELLO UNIVERSITY, ZARIA, NIGERIA
Keywords
APPLICATION,, PORTFOLIO OPTIMIZATION,, STATISTICAL APPROACH