Godin, Vincent (2007) Dynamic portfolio optimization across asset classes. Masters thesis, Concordia University.
Preview |
Text (application/pdf)
2MBMR40979.pdf - Accepted Version |
Abstract
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: | M. Sc. |
| Program: | Administration |
| Date: | 2007 |
| Thesis Supervisor(s): | Lypny, Gregory |
| Identification Number: | LE 3 C66F56M 2007 G63 |
| ID Code: | 975758 |
| Deposited By: | Concordia University Library |
| Deposited On: | 22 Jan 2013 16:14 |
| Last Modified: | 21 Oct 2022 13:01 |
| Related URLs: |
All items in Spectrum are protected by copyright, with all rights reserved. The use of items is governed by Spectrum's terms of access.
Repository Staff Only: item control page
Download Statistics
Download Statistics