How to simplify portfolio optimization

  • Gonçalo Paixão Santarém Semedo (Student)

Student thesis: Master's Thesis

Abstract

We study portfolio optimization with 8 different optimization models and 2 heuristic models. We use all the models for two different scenarios: international diversification with stocks, and asset allocation with stocks, bonds and commodities. First we do our analysis in a global context, and then we do it for a European context. Our results show that heuristic models prove to bring more gains to individual investors than the more complex optimization models in either of the two scenarios, and that the addition of bonds and commodities in the asset allocation scenario proves to be beneficial for heuristics models.
Date of Award20 Jul 2016
Original languageEnglish
Awarding Institution
  • Universidade Católica Portuguesa
SupervisorJosé Faias (Supervisor)

Designation

  • Mestrado em Finanças

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