Essays about: "Zakaria Marakbi"

Found 2 essays containing the words Zakaria Marakbi.

  1. 1. Mean-Variance Portfolio Optimization : Challenging the role of traditional covariance estimation

    University essay from KTH/Industriell Marknadsföring och Entreprenörskap

    Author : ZAKARIA MARAKBI; [2016]
    Keywords : portfolio allocation; mean-variance optimization; efficient frontier; covariance ma- trix; estimation error; optimization enigma; random matrix theory; shrinking; robust statistics;

    Abstract : Ever since its introduction in 1952, the Mean-Variance (MV) portfolio selection theory has remained a centerpiece within the realm of e_cient asset allocation. However, in scienti_c circles, the theory has stirred controversy. READ MORE

  3. 2. High Yield Corporate Bond Portfolio Optimization

    University essay from KTH/Optimeringslära och systemteori

    Author : Zakaria Marakbi; CARLOS JUNIOR LOPEZ VYDRIN; [2014]
    Keywords : high-yield corporate bonds; optimization; dominant design;

    Abstract : The fixed maturity, cash flow and risk characteristics of high-yield corporate bonds distinguish them from equities and complicate a direct application of well established optimization techniques such as Markowitz's mean-variance model and Sharpe ratio maximization. This can partly explain why qualitative methods constitute the dominant design in the portfolio selection process of high-yield corporate bonds. READ MORE