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Growth Optimal Portfolio : Analysis and construction on a discrete multi-period market

Show simple item record 2019-05-29T12:18:38Z 2019-05-29T12:18:38Z 2019-05-29
dc.title Growth Optimal Portfolio : Analysis and construction on a discrete multi-period market en
ethesis.discipline none und
ethesis.department none und
ethesis.faculty Matemaattis-luonnontieteellinen tiedekunta fi
ethesis.faculty Faculty of Science en
ethesis.faculty Matematisk-naturvetenskapliga fakulteten sv
ethesis.faculty.URI Helsingin yliopisto fi University of Helsinki en Helsingfors universitet sv
dct.creator Bazaliy, Viacheslav
dct.issued 2019
dct.language.ISO639-2 eng
dct.abstract This thesis provides an analysis of Growth Optimal Portfolio (GOP) in discrete time. Growth Optimal Portfolio is a portfolio optimization method that aims to maximize expected long-term growth. One of the main properties of GOP is that, as time horizon increases, it outperforms all other trading strategies almost surely. Therefore, when compared with the other common methods of portfolio construction, GOP performs well in the long-term but might provide riskier allocations in the short-term. The first half of the thesis considers GOP from a theoretical perspective. Connections to the other concepts (numeraire portfolio, arbitrage freedom) are examined and derivations of optimal properties are given. Several examples where GOP has explicit solutions are provided and sufficiency and necessity conditions for growth optimality are derived. Yet, the main focus of this thesis is on the practical aspects of GOP construction. The iterative algorithm for finding GOP weights in the case of independently log-normally distributed growth rates of underlying assets is proposed. Following that, the algorithm is extended to the case with non-diagonal covariance structure and the case with the presence of a risk-free asset on the market. Finally, it is shown how GOP can be implemented as a trading strategy on the market when underlying assets are modelled by ARMA or VAR models. The simulations with assets from the real market are provided for the time period 2014-2019. Overall, a practical step-by-step procedure for constructing GOP strategies with data from the real market is developed. Given the simplicity of the procedure and appealing properties of GOP, it can be used in practice as well as other common models such as Markowitz or Black-Litterman model for constructing portfolios. en
dct.language en
ethesis.isPublicationLicenseAccepted true
ethesis.language English en
ethesis.language englanti fi
ethesis.language engelska sv
ethesis.thesistype pro gradu -tutkielmat fi
ethesis.thesistype master's thesis en
ethesis.thesistype pro gradu-avhandlingar sv
dct.identifier.ethesis E-thesisID:f8b6cb9e-5a62-472b-b4d2-27ee5ff5c937
dct.identifier.urn URN:NBN:fi:hulib-201905292223
dc.type.dcmitype Text
ethesis.facultystudyline Matematiikka fi
ethesis.facultystudyline Mathematics en
ethesis.facultystudyline Matematik sv
ethesis.mastersdegreeprogram Matematiikan ja tilastotieteen maisteriohjelma fi
ethesis.mastersdegreeprogram Master's Programme in Mathematics and Statistics en
ethesis.mastersdegreeprogram Magisterprogrammet i matematik och statistik sv

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