This thesis investigates robust techniques for mean-variance (MV) portfolio optimization problems under the estimation risk in mean return. We evaluate the performance of the optimal portfolios generated by the min-max robust MV portfolio optimization model. With an ellipsoidal uncertainty set based on the statistics of the sample mean estimates, minmax robust portfolios equal to the ones from the standard MV model based on the nominal mean estimates but with larger risk aversion parameters. With an interval uncertainty set for mean return, min-max robust portfolios can vary significantly with the initial data used to generate the uncertainty set. In addition, by focusing on the worst-case scenario in the mean return uncertainty set, min-max robust portfolios can be too conservative and unable to achieve a high return. Adjusting the conservatism level of min-max robust portfolios can only be achieved by excluding poor mean return scenarios from the uncertainty set, which runs counter to the principle of min-max robustness. We propose a CVaR robust MV portfolio optimization model in which the estimation risk is measured by the Conditional Value-at-Risk (CVaR). We show that, using CVaR to quantify the estimation risk in mean return, the conservatism level of CVaR robust portfolios can be more naturally adjusted by gradually including better mean return scenarios. Moreover, we compare min-max robust portfolios (with an interval uncertainty set for mean return) and CVaR robust portfolios in terms of actual frontier variation, portfolio efficiency, and portfolio diversification. Finally, a computational method based on a smoothing technique is implemented to solve the optimization problem in the CVaR robust model. We numerically show that, compared with the quadratic programming (QP) approach, the smoothing approach is more computationally efficient for computing CVaR robust portfolios.

Summary Here are different Governing strategy to the border area in China's history, It relates to environmental factor under different space-time, The system of having garrison troops open up wasteland and grow food grain of successive dynasties is a kind of strategy that response too. After China builds in 1949, replied the complicated environment of Xinjiang, Nationality's historical background and stability of Xinjiang both need a unique organization with development, So the China has managed the policy of Xinjiang and situation at that time and offered and set up this condition of organization. The production and construction of Xinjiang accomplishing the task of stationing troops for opening up wasteland and guarding the frontier,The formation is the special organization that Its particularity has unique functions in such five respects as economy, the military, politics, culture, society,etc. So formation's special function, Have formed formation's special system, special institutional framework is while fulfilling formation's function, Have become the formation's own contradiction instead, These contradictions have caused the question which the formation develops. One present formation's subject, Just facing this incongruous place of organization and market-based mechanism, Key to formation's future development, Handle the relation between the special system and market mechanism well. Up to the environmental changes of era, Formation's key task is different, But the present situation of Xinjiang, Still there is space of development in the formation; So can expect, This unique organization of the formation is within some time of future, Still have a necessity of existence. The Research twill look over formation in the China¡¦s governing strategy toward Xinjiang , Probe into the internal and external environment that the formation establishes, How to finish the multi-functional task and impact on situation of Xinjiang; Analyse the place that the formation and market function are incongruous, How to answer in the future; In the new governing strategy of the China after the incident of the Seventh- Five event, The formation consolidates the role that acted of strategy of key interests in the China, It will be another stage task.

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This thesis focuses on the Ottoman buildings with a T-shaped plan and their meanings with respect to the central and centrifugal tendencies in the Ottoman context in the fourteenth, fifteenth and early sixteenth centuries. The emergence of the multi-functional buildings of the T-type in the Ottoman realm is simultaneous with the burgeoning of a state in the early Ottoman frontier milieu, which is profoundly intermingled with the notion of gaza / whereas the demise of the use of the T-plan is coincident with the transformation of the Ottoman State into an empire. The tension between the centralization of the Ottoman State and the peripheral forces counteracting it is operative in the social as well as territorial repercussions inherent in the network of T-type patronage. In this respect, the thesis concentrates on the network engendered by the variations in the layouts of these buildings vis-&agrave / vis their geographical distribution and the identity of their patrons. Doing so, it is aimed not only to trace the claims to power expressed in diverse modes, but also to unveil the motive of the changes in the plan scheme and its halt in the sixteenth century.

The Mongol and the Ottoman leadership structures emerged in milieus where identities were changeable, mobility was high and the alliances were shifting. Chinggis Khan arose to degree of Khanate of entire Mongolia from an extremely marginal position in tribal politics and his experiences in this process provided him an anti-tribal political vision. He at the very beginning of his career formed the nucleus of his political power by his relationships and entourages. Later, he reorganized the clans and tribes, which submitted their loyalty to him around those principal participants in his army of conquest. Osman Bey made successful conquests thanks to the advantageous geographical position of his principality, became famous in a short time and managed to attract various elements of complex social structure of the Byzantine frontiers to him. He did not involve in a harsh struggle for leadership. Instead of monopolization of power, he favored sharing of it with his companions in arms. Mongols, after monopolizing power in the steppes devoted their energies to frontier conquests. However, during Chinggis Khan&rsquo / s reign, the Mongols saw the centre of the authority there. Their relation with the societies outside the Mongolia was indirect. Ottomans on the other hand, built up their administrative apparatus in the conquered territories. The Ottomans created a new bureaucratic group which did not have a power base besides the posts in Ottoman state and placed them to the centre of administration. Those posts did not have any hereditary dimension. The Mongols, contrary to the Ottomans, turned the state offices to hereditary posts and in time they began to distribute peoples, armies, lands and resources throughout the empire as appanages to state officers. Therefore, the Chinggisids created a new aristocracy who had the power in their hands to shake the centralist order of Chinggis Khan.

This study analyzes the technical efficiencies of Turkish electricity distribution companies (21 in total) throughout 2002 and 2009. For this aim, we used six different model specifications, all of which are generated from two different Stochastic Frontier Analysis (SFA) models (Battese ve Coelli (1992&amp / 1995)). At the end of the estimations of the models, it has been seen that the signs and significance levels of the coefficient estimations are very consistent and satisfactory in all models. We also observed consistency between the coefficient estimations of the different models despite the differences in the magnitudes of the coefficient estimations. For example, all model specifications confirm the presence of increasing returns to scale and of a mild technological progress over time in the market. In addition, among the inputs, all inputs except the quality of the electricity delivered are important in enhancing technical efficiency of the electricity distribution companies, according to the all alternative specifications. Again, all models showed that inefficiency effects rather than random error effects are of crucial importance in Turkish electricity distribution market. As for the efficiency estimations of the alternative models, the main conclusion revealed by our study is that efficiency estimations of the Battese ve Coelli (1995) models are remarkably higher than those of the Battese ve Coelli (1992) models. The efficiency estimation differences between Battese and Coelli (1992&amp / 1995) models can be attributed to the environmental variables included into the Battese ve Coelli (1995) models, which are not generally controlled by electricity distribution companies.

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<p>This paper offers to measure efficiency of banks in Sub Saharan Africa and its determining input andout put factors on two fonts. At this purpose, we applied the first font; Data Envelopment Analysis(DEA) for assessing efficiency level. The actual and target level of inputs/outputs to foster efficiencyare shown in the results. Secondly, the banks ratio analysis measuring banks performance throughreturns volatility for each bank, asset utilization and provision for bad and doubtful debts over thestudy period are all used as tools for this analysis. Our results suggest that Sub Saharan AfricanBanks are about 98.35% efficient. We are aware that the level of efficiency could be subject to up anddown swing if environmental factors influencing banks efficiency where taken into consideration.Finally, our result (DEA) is more sensitive to loans, other liabilities, other non interest expense,securities and deposit.</p>

<p>There are several authors Markowitz (1991), Elton and Gruber (1997) that discuss the main issues that an investor faces when investing, for example how to allocate resources among the variety of different securities. These issues have led to the discussion of portfolio theories, especially the Modern Portfolio Theory (MPT), which is developed by Nobel Prize awarded economist Harry Markowitz. This theory is the philosophical opposite of tradi-tional asset picking.</p><p>The purpose of this thesis is to investigate if an investor can apply MPT in order to achieve a higher return than investing in an index portfolio. Combining a strong portfolio that beats the market in the longrun would be the ultimate goal for most investors.</p><p>The theories that are used to analyze the problem and the empirical findings provide the essential concepts such as standard deviation, risk and return of the portfolio. Further, diversification, correlation and covariance are used to achieve the optimal risky portfolio. There will be a walk-through of the MPT, with the efficient frontier as the graphical guide to express the optimal risky portfolio.</p><p>The methodology constitutes as the frame for the thesis. The quantitative method is used since the data input is gathered from historical data. This thesis is based on existing theories, and the deductive approach aims to use these theories in order to accomplish a valid and accurate analysis. The benchmark that is used to compare the results from the portfolio is the Stockholm stock exchange OMX 30. This index mimics and reflects the market as a whole. The portfolio will be reweighed at a preplanned schedule, each quarter to constantly obtain an optimal risky portfolio.</p><p>The finding from this study indicates that the actively managed portfolio outperforms the passive benchmark during the selected timeframe. The outcome someway differs when evaluating the risk adjusted result and becomes less significant. The risk adjusted result does not provide any strong evidence for a greater return than index. Finally, with this finding, the authors can conclude by stating that an actively managed optimal risky portfolio with guidance of the MPT can surpass the OMX 30 within the selected timeframe.</p>

Thesis (Ph. D.)--West Virginia University, 2001. / Title from document title page. Document formatted into pages; contains vii, 320 p. : ill. (some col.). Includes abstract. Includes bibliographical references (p. 230-259).