ENHANCED PORTFOLIO OPTIMIZATION

Kylyshbek, Yestay

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dc.contributor.author	Kylyshbek, Yestay
dc.date.accessioned	2023-12-27T06:16:29Z
dc.date.available	2023-12-27T06:16:29Z
dc.date.issued	2021-12-21
dc.identifier.citation	Kylyshbek, Y. (2021) Enhanced Portfolio Optimization. Nazarbayev University, Graduate School of Business	en_US
dc.identifier.uri	http://nur.nu.edu.kz/handle/123456789/7562
dc.description.abstract	Portfolio optimization ought to provide investors with an asset allocation strategy that outperforms the market. As a foundation of all portfolio optimization strategies, standard mean-variance optimization (MVO) strategy usually underperforms the market portfolio in practice. Numerous researches also present the fact that most of the active investors actually underperform the market, hence the best way of investing might be the most passive one. This paper duplicates and extends the work of an existing study to verify the effect of correlation shrinkage and implement industrial momentum in the Enhanced Portfolio Optimization method	en_US
dc.language.iso	en	en_US
dc.publisher	Nazarbayev University, Graduate School of Business	en_US
dc.rights	Attribution-NonCommercial-NoDerivs 3.0 United States	*
dc.rights.uri	http://creativecommons.org/licenses/by-nc-nd/3.0/us/	*
dc.subject	Mean-Variance Optimization (MVO)	en_US
dc.subject	Enhanced Portfolio Optimization	en_US
dc.subject	correlation shrinkage	en_US
dc.subject	industrial momentum	en_US
dc.subject	Type of access: Restricted	en_US
dc.title	ENHANCED PORTFOLIO OPTIMIZATION	en_US
dc.type	Master's thesis	en_US
workflow.import.source	science