Please use this identifier to cite or link to this item: http://scholarbank.nus.edu.sg/handle/10635/13346
Title: ESSAYS ON PORTFOLIO OPTIMIZATION AND MANAGEMENT USING BOOTSTRAPPING METHOD: THE CASE OF BANK INDONESIA
Authors: ENI VIMALADEWI
Keywords: Bank Indonesia, sample acceptance region, downside risks, law of active management, bootstrapping, mean-variance model
Issue Date: 17-Aug-2007
Source: ENI VIMALADEWI (2007-08-17). ESSAYS ON PORTFOLIO OPTIMIZATION AND MANAGEMENT USING BOOTSTRAPPING METHOD: THE CASE OF BANK INDONESIA. ScholarBank@NUS Repository.
Abstract: This thesis investigates and simulates various strategies available to Bank Indonesia in managing its reserve portfolio in the aftermath of the 1997 crisis. Various improvements to the Markowitza??s mean-variance model were introduced. The first essay uses bootstrapping method to create efficient frontiera??s sample acceptance region, directly reducing transaction cost through the less frequent needs for portfolio rebalancing. In the second essay, Roy (1952), Kataoka (1963), and Telser (1955) safety-first criteria will be used to create downside risk portfolios of Bank Indonesiaa??s foreign currency reserve. This thesis also combines various downside risk models with stochastic sample acceptance region. The final essay investigates the currently popular law of active management (Grinold, 1998). The effects of various parameters on the volatility of tracking errors are simulated. To deal with non-normality of tracking-error data, bootstrap bias corrected and accelerated (BCa) confidence interval will be utilized to test the volatility profile of each model.
URI: http://scholarbank.nus.edu.sg/handle/10635/13346
Appears in Collections:Ph.D Theses (Open)

Show full item record
Files in This Item:
File Description SizeFormatAccess SettingsVersion 
Thesis-EniVimaladewi.pdf1.42 MBAdobe PDF

OPEN

NoneView/Download

Page view(s)

374
checked on Jan 22, 2018

Download(s)

534
checked on Jan 22, 2018

Google ScholarTM

Check


Items in DSpace are protected by copyright, with all rights reserved, unless otherwise indicated.