Dynamic Portfolio Optimization

Student: Golovko Anastasiya

Educational Programme: Economics (Bachelor)

Year of Graduation: 2021

This study presents overview on the portfolio optimization theme and also provides new method of designing portfolio. This model includes different schemes of weighting assets and factors. The sample includes statistic from Bloomberg from 3 developing markets: Russia, Brazil and China. It includes share prices of non-financial organizations. The research was conducted using Fama and French model of portfolio optimization (1993), momentum effect by Jegadeesh N., Titman S. and also the weighing schemes design. The main aim of this research is to represent the empirical results of new designed portfolio.

Student Theses at HSE must be completed in accordance with the University Rules and regulations specified by each educational programme.

Summaries of all theses must be published and made freely available on the HSE website.

The full text of a thesis can be published in open access on the HSE website only if the authoring student (copyright holder) agrees, or, if the thesis was written by a team of students, if all the co-authors (copyright holders) agree. After a thesis is published on the HSE website, it obtains the status of an online publication.

Student theses are objects of copyright and their use is subject to limitations in accordance with the Russian Federation’s law on intellectual property.

In the event that a thesis is quoted or otherwise used, reference to the author’s name and the source of quotation is required.

Search all student theses