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Financial Model Estimation And Portfolio Rebalancing

  • Author / Creator
    Kang, Jiayin
  • In this thesis we organize the contents in three parts. The first part is about portfolio rebalancing with changing benchmarks and the second part is about modeling of fractional Brownian motion in financial market while the last part is the conclusion. In the first part, we introduce backgrounds in portfolio rebalancing and the rational why rebalancing is beneficial for a multi asset class portfolio. Then we describe four commonly used portfolio rebalancing methods and report other related comparisons. Then we introduce the proposed new portfolio rebalancing method and provide the back-testing results comparing with other methods using market data from June 2000 to July 2014 for a hypothetical multi-client institutional fund. In the second part we introduce the properties and results of the mixed Brownian and fractional Brownian process with Hurst parameter H: 3/4 < H < 1. Then we estimated Hurst parameter H for the Equity, Fixed Income, and Forex markets across all the countries to get an overall picture of the financial markets all over the world.

  • Subjects / Keywords
  • Graduation date
    2015-11
  • Type of Item
    Thesis
  • Degree
    Master of Science
  • DOI
    https://doi.org/10.7939/R36M33B8N
  • License
    This thesis is made available by the University of Alberta Libraries with permission of the copyright owner solely for non-commercial purposes. This thesis, or any portion thereof, may not otherwise be copied or reproduced without the written consent of the copyright owner, except to the extent permitted by Canadian copyright law.
  • Language
    English
  • Institution
    University of Alberta
  • Degree level
    Master's
  • Department
    • Department of Mathematical and Statistical Sciences
  • Specialization
    • Mathematical Finance
  • Supervisor / co-supervisor and their department(s)
    • Melnikov, Alexander (Mathematical and Statistical Science)
  • Examining committee members and their departments
    • Melnikov, Alexander (Mathematical and Statistical Science)
    • Frei, Christoph (Mathematical and Statistical Science)
    • Cadenillas, Abel (Mathematical and Statistical Science)
    • Poutkaradze, Vakhtang (Mathematical and Statistical Science)