APPLICATION OF PORTFOLIO OPTIMIZATION: A STATISTICAL APPROACH
ABSTRACT The main objective of this thesis is to look at how the Markowitz Mean-Variance assets selection model performs with distribution free model, Gini-Mean Difference model and highlight statistical approach to portfolio optimization in terms of risk reduction; interrelationships of diversified assets, assets rebalancing and stochastic dominance etc. In the study, the Mean-Variance model tends to slightly outperform the Gini-Mean Difference model in return/risk characteristics. More sophisticated investors can use ...
Read more