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dc.contributor.advisorBayly, Bruce
dc.contributor.authorHyta, Sebastian
dc.creatorHyta, Sebastian
dc.date.accessioned2021-01-26T00:00:19Z
dc.date.available2021-01-26T00:00:19Z
dc.date.issued2020-05
dc.identifier.citationHyta, Sebastian. (2020). PORTFOLIO OPTIMIZATION AND RISK ANALYSIS (Bachelor's thesis, University of Arizona, Tucson, USA).
dc.identifier.urihttp://hdl.handle.net/10150/650994
dc.description.abstractThere are three primary goals of this paper. The first is to create an efficient portfolio of 29 stocks from the Dow Jones Industrial Average. The second, is to manually code a GARCH(1,1) maximum likelihood estimation procedure in order to create a GARCH(1,1) model that estimates future volatility changes of the efficient portfolio. The final goal is to explain the mathematics behind the entire process.
dc.language.isoen
dc.publisherThe University of Arizona.
dc.rightsCopyright © is held by the author. Digital access to this material is made possible by the University Libraries, University of Arizona. Further transmission, reproduction or presentation (such as public display or performance) of protected items is prohibited except with permission of the author.
dc.rights.urihttp://rightsstatements.org/vocab/InC/1.0/
dc.titlePORTFOLIO OPTIMIZATION AND RISK ANALYSIS
dc.typeElectronic Thesis
dc.typetext
thesis.degree.grantorUniversity of Arizona
thesis.degree.levelbachelors
thesis.degree.disciplineMathematics
thesis.degree.disciplineHonors College
thesis.degree.nameB.S.
refterms.dateFOA2021-01-26T00:00:19Z


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