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Heuristics for portfolio optimization models in emerging markets / Mai Adel Ibrahim ; Supervised Motaz Hosny Khorshid , Mohammed Adel Elbeltagy

By: Contributor(s): Material type: TextTextLanguage: English Publication details: Cairo : Mai Adel Ibrahim , 2021Description: 121 Leaves : charts ; 30cmOther title:
  • الاستدلال لنماذج الأمثلية لمحفظة الأوراق المالية فى الأسواق الناشئة [Added title page title]
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Dissertation note: Thesis (Ph.D.) - Cairo University - Faculty of Computers and Artificial Intelligence - Department of Operations Research and Decision Support Summary: Emerging markets have become an important part of global portfolio optimization almost four decades after the proposition of the Modern Portfolio Theory by Harry Markowitz. Markowitz model and its variants that include additional constraints and alternative risk measures have been applied on a wide number of developed markets.The optimization of the resultant problems for those variants have either been tackled by traditional methods or heuristics depending on the induced complexity of the search space. In the presence of insufficient literature on portfolio optimization topic in emerging markets, the proposed work will be concerned with building portfolio optimization models that suits Emerging Markets characteristics.The resultant portfolio model will incorporate the suitable distribution of returns together with the adequate risk measures and the necessary conditions. It will be applied to the Egyptian Stock Exchange Market and solved using the suitable Heuristics
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Item type Current library Home library Call number Copy number Status Date due Barcode
Thesis Thesis قاعة الرسائل الجامعية - الدور الاول المكتبة المركزبة الجديدة - جامعة القاهرة Cai01.20.02.Ph.D.2021.Ma.H (Browse shelf(Opens below)) Not for loan 01010110083968000
CD - Rom CD - Rom مخـــزن الرســائل الجـــامعية - البدروم المكتبة المركزبة الجديدة - جامعة القاهرة Cai01.20.02.Ph.D.2021.Ma.H (Browse shelf(Opens below)) 83968.CD Not for loan 01020110083968000

Thesis (Ph.D.) - Cairo University - Faculty of Computers and Artificial Intelligence - Department of Operations Research and Decision Support

Emerging markets have become an important part of global portfolio optimization almost four decades after the proposition of the Modern Portfolio Theory by Harry Markowitz. Markowitz model and its variants that include additional constraints and alternative risk measures have been applied on a wide number of developed markets.The optimization of the resultant problems for those variants have either been tackled by traditional methods or heuristics depending on the induced complexity of the search space. In the presence of insufficient literature on portfolio optimization topic in emerging markets, the proposed work will be concerned with building portfolio optimization models that suits Emerging Markets characteristics.The resultant portfolio model will incorporate the suitable distribution of returns together with the adequate risk measures and the necessary conditions. It will be applied to the Egyptian Stock Exchange Market and solved using the suitable Heuristics

Issued also as CD

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