Developing an Optimal Method for Multi-asset Portfolio's Downside Protection

A CVaR Scenario-based Framework: Minimizing Downside Risk of Multi-asset Class Portfolios

Multi-asset class (MAC) portfolios can be comprised of investments in equities, fixed-income, commodities, foreign-exchange, credit, derivatives, and alternatives such as real-estate and private equity. The return for such non-linear portfolios is asymmetric with significant tail risk. The traditional Markowitz Mean-Variance Optimization (MVO) framework, that linearizes all the assets in the po...

A generalized methodology for multi-asset class portfolios

Growth maximisation and downside protection using power-log utility functions for optimising portfolios with derivatives

The tremendous growth in derivative markets around the world and the high quality of information about these instruments that is widely available, offers us a new opportunity harness their unique return distribution characteristics for building portfolios that conform more closely to investor preferences than is possible with mean-variance analysis and portfolio insurance techniques for downsid...

A Multi-district Asset Protection Problem with Time Windows for Disaster Management

One of the most important goals of disaster management teams is to protect the assets and infrastructures of the community in the event of accidents such as wildfires and floods. This issue requires appropriate operations of all disaster management teams and analysis of available information for suitable decision making and consequently timely response. A mixed integer mathematical model is pre...

a benchmarking approach to optimal asset allocation for insurers and pension funds

uncertainty in the financial market will be driven by underlying brownian motions, while the assets are assumed to be general stochastic processes adapted to the filtration of the brownian motions. the goal of this study is to calculate the accumulated wealth in order to optimize the expected terminal value using a suitable utility function. this thesis introduced the lim-wong’s benchmark fun...