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Dokumenttyp:
Diplomarbeit 
Autor(en):
Middelkamp, Christoph 
Titel:
Investigation of a procedure of robust portfolio optimization under elliptical distribution assumptions 
Abstract:
The aim of this diploma thesis is to solve the problem of handling the parameters in portfolio optimization. In contrast to the Markowitz model one only assumes that the expected return is within an uncertainty set. As elliptically distributed returns are considered, at first elliptical distributions and their properties are studied. Afterwards unbiasedness, asymptotic normality and consistency are shown for the estimators which are necessary for the portfolio optimization. Subsequently the Mark...    »
 
Betreuer:
Dr. Ralf Werner (Hypo Real Estate) 
Gutachter:
Prof. Dr. Rudi Zagst 
Jahr:
2007 
Sprache:
en 
Hochschule / Universität:
Technische Universität München 
Fakultät:
Fakultät für Mathematik 
Format:
Text