Investment Portfolio Optimization with Garch Models

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dc.contributor.advisor Doku-Amponsah, K.
dc.contributor.advisor Mettle, F. O.
dc.contributor.author Siaw, R. O.
dc.contributor.other University of Ghana, College of Basic and Applied Sciences, School of Physical and Mathematical Sciences, Department of Statistics
dc.date.accessioned 2017-03-17T10:10:53Z
dc.date.accessioned 2017-10-13T17:38:54Z
dc.date.available 2017-03-17T10:10:53Z
dc.date.available 2017-10-13T17:38:54Z
dc.date.issued 2014-06
dc.identifier.uri http://197.255.68.203/handle/123456789/21697
dc.description Thesis (MPhil.) - University of Ghana, 2014
dc.description.abstract Since the introduction of the Markowitz mean-variance optimization model, several extensions have been made to improve optimality. This study examines the application of two models - the ARMA-GARCH model and the ARMA- DCC GARCH model - for the Mean-VaR optimization of funds managed by HFC Investment Limited. Weekly prices of the above mentioned funds from 2009 to 2012 were examined. The funds analysed were the Equity Trust Fund, the Future Plan Fund and the Unit Trust Fund. The returns of the funds are modelled with the Autoregressive Moving Average (ARMA) whiles volatility was modelled with the univariate Generalised Autoregressive Conditional Heteroskedasticity (GARCH) as well as the multivariate Dynamic Conditional Correlation GARCH (DCC GARCH). This was based on the assumption of non-constant mean and volatility of fund returns. In this study the risk of a portfolio is measured using the value-at-risk. A single constrained Mean-VaR optimization problem was obtained based on the assumption that investors’ preference is solely based on risk and return. The optimization process was performed using the Lagrange Multiplier approach and the solution was obtained by the Kuhn-Tucker theorems. Conclusions which were drawn based on the results pointed to the fact that a more efficient portfolio is obtained when the value-at-risk (VaR) is modelled with a multivariate GARCH. en_US
dc.format.extent ix, 87p. : ill.
dc.language.iso en en_US
dc.publisher University of Ghana en_US
dc.subject Optimality en_US
dc.subject ARMA-GARCH model en_US
dc.subject ARMA- DCC GARCH model en_US
dc.subject Autoregressive Moving Average (ARMA) en_US
dc.subject Univariate en_US
dc.title Investment Portfolio Optimization with Garch Models en_US
dc.type Thesis en_US
dc.rights.holder University of Ghana


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