<div class="csl-bib-body">
<div class="csl-entry">Jovanović, M. (2023). <i>Portfolio optimisation under integer constraints</i> [Diploma Thesis, Technische Universität Wien]. reposiTUm. https://doi.org/10.34726/hss.2023.65067</div>
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dc.identifier.uri
https://doi.org/10.34726/hss.2023.65067
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dc.identifier.uri
http://hdl.handle.net/20.500.12708/175773
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dc.description
Abweichender Titel nach Übersetzung der Verfasserin/des Verfassers
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dc.description.abstract
The goal of this thesis is to study and analyze different models of portfolio optimization. We start with the basic models such as mean-variance model presented by Markowitz (1952), mean-absolute-deviation model proposed by Konno and Yamazaki (1991), minimax model developed by Young (1998). Furthermore, we extend models with various constraints, of which the most important is the integer constraint. The numerical implementation of these models is presented in addition and its results are discussed.This work is based largely on the two papers: An Exact Solution Approach for Portfolio Optimization Problems Under Stochastic and Integer Constraints published by Pierre Bonami and Miguel Lejeune and Portfolio-optimization models for small investors paper by Philipp Baumann and Norbert Trautmann.
en
dc.language
English
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dc.language.iso
en
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dc.rights.uri
http://rightsstatements.org/vocab/InC/1.0/
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dc.subject
Portfoliooptimierung
de
dc.subject
Ganzzahligkeitsbedingungen
de
dc.subject
moderne Portfoliotheorie
de
dc.subject
Prospekt-Theorie
de
dc.subject
Portfolio optimization
en
dc.subject
Integer constraints
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dc.subject
Modern portfolio theory
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dc.subject
Prospect theory
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dc.title
Portfolio optimisation under integer constraints
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dc.title.alternative
Portfoliooptimierung unter Ganzzahligkeitsbedingungen
de
dc.type
Thesis
en
dc.type
Hochschulschrift
de
dc.rights.license
In Copyright
en
dc.rights.license
Urheberrechtsschutz
de
dc.identifier.doi
10.34726/hss.2023.65067
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dc.contributor.affiliation
TU Wien, Österreich
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dc.rights.holder
Miloš Jovanović
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dc.publisher.place
Wien
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tuw.version
vor
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tuw.thesisinformation
Technische Universität Wien
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tuw.publication.orgunit
E105 - Institut für Stochastik und Wirtschaftsmathematik