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Dynamic portfolio optimization across asset classes


Dynamic portfolio optimization across asset classes

Godin, Vincent (2007) Dynamic portfolio optimization across asset classes. Masters thesis, Concordia University.

Text (application/pdf)
MR40979.pdf - Accepted Version


This study provides evidence that a dynamic portfolio strategy, grounded on an asymmetric GARCH model and applied to investments in equities, real estate, and commodities, outperforms static strategies in terms of wealth, Sharpe ratios, and expected utility even when short selling restrictions are imposed on real estate and equities. For small investors, the benefits are subsumed by transactions costs; for large investors, the dynamic strategy remains marginally feasible.

Divisions:Concordia University > John Molson School of Business
Item Type:Thesis (Masters)
Authors:Godin, Vincent
Pagination:vii, 53 leaves : ill. (some col.) ; 29 cm.
Institution:Concordia University
Degree Name:Theses (M. Sc. Admin.)
Program:John Molson School of Business
Thesis Supervisor(s):Lypny, Gregory
ID Code:975758
Deposited By: Concordia University Library
Deposited On:22 Jan 2013 16:14
Last Modified:18 Jan 2018 17:41
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