ProQuest Document View - Using economic theory to build optimal portfolios

ProQuest^® Dissertations & Theses

The world's most comprehensive collection of dissertations and theses. Learn more...

Using economic theory to build optimal portfolios

by Chevrier, Thomas, PhD, THE UNIVERSITY OF CHICAGO, 2007, 0 pages; 3272992

Abstract: Given expected returns and return covariances, portfolio weights are known in closed form in a mean-variance framework. The real difficulty is in estimating these parameters. Using recent advances in Bayesian techniques, we show how investors can incorporate any prior information for optimal portfolio selection. We apply our method to a dozen domestic and international data sets. We find that our tangency portfolios have three essential and attractive features, (i) They perform better in terms of out-of-sample Sharpe ratio. (ii) Their weights are guaranteed to be 'reasonable': positive, stable, and without extravagant position in any asset. (iii) Turnover is very low.

Advisor:	McCulloch, Robert
School:	THE UNIVERSITY OF CHICAGO
Source:	DAI-A 68/08, p. 3517, Feb 2008
Source Type:	PhD
Subjects:	Economics; Finance; Economic theory
Publication Number:	3272992

Access the complete dissertation:

» Find an electronic copy at your library.

Use the link below to access a full citation record of this graduate work:

http://gateway.proquest.com/openurl%3furl_ver=Z39.88-2004%26res_dat=xri:pqdiss%26rft_val_fmt=info:ofi/fmt:kev:mtx:dissertation%26rft_dat=xri:pqdiss:3272992

If your library subscribes to the ProQuest Dissertations & Theses (PQDT) database, you may be entitled to a free electronic version of this graduate work. If not, you will have the option to purchase one, and access a 24 page preview for free (if available).

About ProQuest Dissertations & Theses
With over 2.3 million records, the ProQuest Dissertations & Theses (PQDT) database is the most comprehensive collection of dissertations and theses in the world. It is the database of record for graduate research.

The database includes citations of graduate works ranging from the first U.S. dissertation, accepted in 1861, to those accepted as recently as last semester. Of the 2.3 million graduate works included in the database, ProQuest offers more than 1.9 million in full text formats. Of those, over 860,000 are available in PDF format. More than 60,000 dissertations and theses are added to the database each year.

If you have questions, please feel free to visit the ProQuest Web site - http://www.il.proquest.com - or call ProQuest Hotline Customer Support at 1-800-521-3042.