PhD Defense by Carl Morris

Event Details
  • Date/Time:
    • Thursday November 2, 2017
      3:00 pm - 5:00 pm
  • Location: Groseclose 403
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Summaries

Summary Sentence: Dynamic Portfolio Optimization using Mean-Semivariance

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Title: Dynamic Portfolio Optimization using Mean-Semivariance

Advisors: Dr. Hayriye Ayhan and Dr. Shijie Deng

 

Committee Members:

Dr. Sebastian Pokutta

Dr. Chelsea White

Dr. Jun Xu (School of Computer Science)

 

Date and time: Thursday, November 2nd, 3:00 PM.

 

Location: Groseclose 403

 

Abstract:

 

This dissertation studies the mean-semivariance portfolio optimization problem. We describe the relationship of this kind of optimization in the context of other types of portfolio optimization. We construct a novel analysis of mean-semivariance in the context of piecewise quadratic optimization. The unique structure of mean-semivariance is leveraged to provide insight into properties of the optimal portfolio as a function of its key input parameters. This characterization allows us to introduce a new approach to solving a multi-period dynamic mean-semivariance portfolio problem. The proposed methodology provides significant improvements over naive approaches not leveraging the unique structure of the mean-semivariance value function. Finally, we develop a novel, distributionally robust piecewise quadratic formulation using semidefinite programming. We apply the robust formulation to the mean-semivariance portfolio problem to construct a distributionally robust mean-semivariance portfolio. We prove that the robust mean-semivariance portfolio is actually equivalent to the classical mean-variance portfolio.

 

Additional Information

In Campus Calendar
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Groups

Graduate Studies

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Faculty/Staff, Public, Graduate students, Undergraduate students
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Other/Miscellaneous
Keywords
Phd Defense
Status
  • Created By: Tatianna Richardson
  • Workflow Status: Published
  • Created On: Oct 31, 2017 - 2:41pm
  • Last Updated: Oct 31, 2017 - 2:41pm