Thesis (Ph. D.)--Ohio State University, 1978. / Includes vita. Includes bibliographical references (leaves 196-199). Available online via OhioLINK's ETD Center.

This thesis presents a technique for analysing the relationships between the number of securities in a diversified portfolio and portfolio return and variance of return. It includes an analytical and descriptive presentation of the concepts and objectives of portfolio analysis in a theoretical framework. The material presented is used as a vehicle to introduce an empirical analysis of the portfolio selection process. For the empirical analysis a model is developed to simulate the selection process for the optimum portfolio. This is similar to that derived by using the quadratic programming technique of the Markowitz model. The utility function used for the selection of the optimal portfolio at each stage of diversification is of the form suggested by Farrar. The ex post data for the empirical analysis consists of ten samples of fifteen securities selected from the Financial Post Data Bank and only common stock is considered. The period covered is from 1959 to 1969 using annual data. The results derived show the form of the efficient portfolio frontier under varying degrees of aversion to risk. The optimum portfolio for either a mildly risk averse or an extremely risk averse investor should consist of approximately four to six securities under the assumptions of the model. / Business, Sauder School of / Graduate

Wong Man Hong. / Thesis (M.Phil.)--Chinese University of Hong Kong, 2006. / Includes bibliographical references (leaves 60-63). / Abstracts in English and Chinese. / Abstract --- p.i / Abstract in Chinese --- p.ii / Thesis Assessment Committee --- p.iii / Acknowledgement --- p.iv / Chapter 1 --- Introduction --- p.1 / Chapter 1.1 --- Our Work and Motivation --- p.1 / Chapter 1.2 --- Literature Review --- p.3 / Chapter 1.3 --- Thesis Structure --- p.5 / Chapter 2 --- Preliminary --- p.6 / Chapter 2.1 --- Calculus for Volume of Sphere --- p.6 / Chapter 2.2 --- Fractional Programming and Dinkelbach's Algorithm --- p.7 / Chapter 2.3 --- Nonlinear Programming and Interior Point Algorithm --- p.8 / Chapter 2.4 --- Second Order Cones and Conic Programming --- p.10 / Chapter 3 --- The Probability Model --- p.12 / Chapter 3.1 --- Derive the Chance Constraint --- p.12 / Chapter 3.2 --- Single Cluster Model --- p.18 / Chapter 3.3 --- Multi-clusters Model --- p.21 / Chapter 4 --- The Downside Risk Model --- p.24 / Chapter 4.1 --- Derive the Downside Risk Measure --- p.24 / Chapter 4.2 --- Calculate the First and Second Derivative of the Downside Risk --- p.27 / Chapter 4.3 --- Single Cluster Model and Numerical Algorithm --- p.29 / Chapter 4.4 --- Multi-clusters Model --- p.34 / Chapter 5 --- The Conditional Value-at-Risk Model --- p.37 / Chapter 5.1 --- Derive the Conditional Value at Risk --- p.37 / Chapter 5.2 --- Single Cluster Model and Numerical Algorithm --- p.41 / Chapter 5.3 --- Multi-clusters Model --- p.47 / Chapter 6 --- Numerical Results --- p.51 / Chapter 6.1 --- Data Set --- p.51 / Chapter 6.2 --- The Probability Model --- p.53 / Chapter 6.3 --- The Downside Risk Model --- p.53 / Chapter 6.4 --- The CVaR Model --- p.56 / Chapter 7 --- Conclusions --- p.58 / Bibliography --- p.60

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Asset management in a commercial banking environment may be viewed as a process of resource allocation. The resources of a bank consist of the funds made available to the bank by its depositors, creditors and shareholders. These funds may be allocated among a variety of earning and non-earning assets. In carrying out this allocation, management must recognize and reconcile the various and often conflicting objectives and requirements of its depositors, its shareholders and the public agencies which regulate its activities. Given these multiple requirements and objectives the senior management of the bank must determine an allocation plan that will provide maximum safety and adequate liquidity for its depositors and an acceptable return for its shareholders. This thesis attempts to demonstrate how bank management can use a mathematical programming model to assist them in formulating short, intermediate and long range plans for the bank's asset management activities. It is shown that such a model is capable of dealing with the multiple goals which represent the bank's objectives and obligations and that the model can be formulated to incorporate the complex interdependencies which exist among the various asset management activities. The solution to the model will represent the most satisfactory course of action available to the bank in terms of its organizational goals. / Business, Sauder School of / Graduate

published_or_final_version / abstract / Statistics and Actuarial Science / Master / Master of Philosophy

This dissertation extends previous studies on firms' differential earnings response coefficients. It provides further theoretical explanation and empirical evidence for the differential earnings response coefficients across firms and time. The empirical evidence found by Ball & Brown (1968) that the sign of unexpected earnings is positively correlated with the sign of market reactions is used to improve the control of measurement errors on investors' prior belief. Revisions of financial analysts' forecasts (FAFs) for firms' future earnings per share (EPS) are used as the event information. Both the impact of FAFs quality on investors' earnings belief revision and the mapping from EPS to security price are considered. Investors are assumed to be Bayesians who are homogeneous in belief. They use FAFs as information for making portfolio investment decisions. FAFs with smaller contemporary dispersion relative to the variance of investors' prior belief are considered to have higher quality. It is proposed that investors have stronger faith on the forecasts with higher information quality. A non-normative approach is used to map EPS into security prices. The market price over (expected) earnings ratio (P/E) is used as a linear approximation for the security valuation function. The major advantage of this approach is that non-earnings factors that have price effect on securities are implicitly controlled. The model predicts that ceteris paribus, the earnings response coefficient adjusted for the differential P/E is positively correlated with the quality of FAFs. Cross-sectional and time series samples of 1097 FAFs revisions from Standard & Poor's Earnings Forecaster in the years 1981 to 1985 are used in the empirical test. The empirical results are consistent with the theoretical implication. The quality of FAFs is found to be positively correlated with the P/E adjusted earnings response coefficient at one percent significance level. The results are robust across event day windows, the estimation periods for market model parameters and the price reaction measurements.

Thesis. 1978. Ph.D.--Massachusetts Institute of Technology. Alfred P. Sloan School of Management. / M̲i̲c̲ṟo̲f̲i̲c̲ẖe̲ c̲o̲p̲y̲ a̲v̲a̲i̲ḻa̲ḇḻe̲ i̲ṉ A̲ṟc̲ẖi̲v̲e̲s̲ a̲ṉḏ Ḏe̲w̲e̲y̲. / Vita. / Bibliography : leaves 413-425. / Ph.D.

Since Markowitz published his seminal work on mean-variance portfolio selection in 1952, almost all literatures in the past half century adhere their investigation to a binding budget spending assumption in static problem settings and a self financing assumption in dynamic settings. In the mean-variance world for a market of all risky assets, however, the common belief of monotonicity does not hold, i.e., not the larger amount you invest, the larger expected future wealth you can expect for a given risk (variance) level. We introduce in this thesis the concept of pseudo efficiency to remove from the candidates such efficient mean-variance policies which can be achieved by less initial investment level. By relaxing the binding budget spending restriction in investment, we derive an optimal scheme in managing initial wealth which dominates the traditional mean-variance efficient frontier. Moreover, as the general dynamic mean-variance portfolio selection formulation does not satisfy the principle of optimality of dynamic programming, phenomena of time inconsistency occur, i.e., investors may have incentives to deviate from the pre-committed optimal mean-variance portfolio policy during the investment process under certain circumstances. By introducing the concept of time inconsistency in efficiency and defining the induced trade-off, we further demonstrate in this thesis that investors behave irrationally under the pre-committed optimal mean-variance portfolio policy when their wealth is above certain threshold during the investment process. By relaxing the self-financing restriction to allow withdrawal of money out of the market, we develop a revised dynamic mean-variance policy for a market with a riskless asset which dominates the pre-committed optimal mean-variance portfolio policy in the sense that, while the two achieve the same mean-variance pair of the terminal wealth, the revised policy enables the investor to receive a free cash flow stream (FCFS) during the investment process. We further apply the concept of pseudo efficiency to a dynamic market of all risky assets and explore (better) revised dynamic mean-variance policies. By including the free cash flow stream in the total wealth, our proposed policy dominates the pre-committed optimal mean-variance portfolio policy in the sense that while both achieve the same total mean, the revised policy generates a smaller total variance. We reveal in this thesis that the time consistency in efficiency is closely related to the completeness of the market. We further discuss the relationship between time consistency in efficiency and the variance-optimal signed martingale measure (VSMM) of the market. Finally we show that time inconsistency in efficiency can be eliminated by enforcing no-shorting constraint for some market setting. / Cui, Xiangyu. / Adviser: Li Duan. / Source: Dissertation Abstracts International, Volume: 72-04, Section: A, page: . / Thesis (Ph.D.)--Chinese University of Hong Kong, 2010. / Includes bibliographical references (leaves 163-170). / Electronic reproduction. Hong Kong : Chinese University of Hong Kong, [2012] System requirements: Adobe Acrobat Reader. Available via World Wide Web. / Electronic reproduction. Ann Arbor, MI : ProQuest dissertations and theses, [200-] System requirements: Adobe Acrobat Reader. Available via World Wide Web. / Electronic reproduction. Ann Arbor, MI : ProQuest Information and Learning Company, [200-] System requirements: Adobe Acrobat Reader. Available via World Wide Web. / Abstract also in Chinese.

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