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A comparative study of optimal portfolio construction methods
This project aims to conduct a comparative analysis of portfolio performance using various models with different portfolio constraints in an optimization framework that is a modified version of the classical Markovitz mean-variance optimization model. Despite the breakthrough of the Markovitz mean-variance optimization model, its empirical implementation produces extreme portfolio weights and poor real-time performance. The goal of this project is to identify and design models and constraints that can both satisfy clients’ demands and be robust to parameter estimation error.
Faculty Supervisor:
Chunhua Lan;Donglei Du
Student:
Partner:
SEAMARK Asset Management Ltd
Discipline:
Business
Sector:
Finance and Insurance
University:
University of New Brunswick
Program:
Accelerate
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