Comparative Analysis of Long-term Portfolio Selection Strategies

Student: Dorn Yurij

Educational Programme: Master

Final Grade: 9

Year of Graduation: 2014

<p>This paper investigates the problem of selecting the optimal portfolio and the problem of creating a portfolio with a smaller number of assets, which dynamic follows the movement of the index. In the first part we make comparative analysis of optimal Markowitz portfolio and its robust version. We show that a robust approach often gives better results. To solve the second problem, we use l1-optimization methodology to construct sparse portfolio.</p>

Full text (added June 10, 2014) (409.69 Kb)

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