Browsing Strathmore Institute of Mathematical Sciences (SIMs) by Subject "Risk measure"

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Portfolio optimization in the Kenyan stock market: a comparison between mean-variance optimization and threshold accepting

Masese, Josephine Mokeira (Strathmore University, 2017)

The Mean-Variance Optimization (MVO) model has been used in asset allocation problems since the inception of Modern Portfolio Theory in 1952. Several improvements and alternatives to MVO have been suggested and used since ...