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**Harvard**

Sharma, R. (2015) *Stability of Traditional Portfolio Models*. Göteborg : Chalmers University of Technology

** BibTeX **

@misc{

Sharma2015,

author={Sharma, Ruben},

title={Stability of Traditional Portfolio Models},

abstract={The idea behind this thesis came from, at that time, a fellow colleague at SEB. They
had evaluated the resampling model when doing portfolio optimizations and knew that
it was more stable than the original model by Markowitz. What they hadn’t studied,
was to what extent and also the instability of the resampling model itself. Therefore the
research questions for this thesis were
• Research question 1: How sensitive are the two models’ optimal portfolio weights
to changes in expected return, risk and correlation.
• Research question 2: How does the inherit portfolio characteristic affect the results
of research question 1.
To study these questions reference portfolios were derived based on historical asset
returns of several multi asset portfolios at different risk levels. To investigate the
instability of the models the input parameters were stressed in different combinations to
see how the portfolios weights changed.
In short, the Markowitz model was more unstable then the resampling model, the
dispersion increases with portfolio risk level and the expected return parameter is the
parameter that has the largest impact on stability for both models. A few exceptions
was seen on the upper end of the risk scale. The results in this study confirms the result
of previous studies but also challenges other.},

publisher={Institutionen för matematiska vetenskaper, Chalmers tekniska högskola,},

place={Göteborg},

year={2015},

note={72},

}

** RefWorks **

RT Generic

SR Electronic

ID 213466

A1 Sharma, Ruben

T1 Stability of Traditional Portfolio Models

YR 2015

AB The idea behind this thesis came from, at that time, a fellow colleague at SEB. They
had evaluated the resampling model when doing portfolio optimizations and knew that
it was more stable than the original model by Markowitz. What they hadn’t studied,
was to what extent and also the instability of the resampling model itself. Therefore the
research questions for this thesis were
• Research question 1: How sensitive are the two models’ optimal portfolio weights
to changes in expected return, risk and correlation.
• Research question 2: How does the inherit portfolio characteristic affect the results
of research question 1.
To study these questions reference portfolios were derived based on historical asset
returns of several multi asset portfolios at different risk levels. To investigate the
instability of the models the input parameters were stressed in different combinations to
see how the portfolios weights changed.
In short, the Markowitz model was more unstable then the resampling model, the
dispersion increases with portfolio risk level and the expected return parameter is the
parameter that has the largest impact on stability for both models. A few exceptions
was seen on the upper end of the risk scale. The results in this study confirms the result
of previous studies but also challenges other.

PB Institutionen för matematiska vetenskaper, Chalmers tekniska högskola,

LA eng

LK http://publications.lib.chalmers.se/records/fulltext/213466/213466.pdf

OL 30