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Goal-Based Portfolios - A mean-variance optimization approach with subportfolios -

Bøe, Peter Røtvold; Ruud, Emil Sverre Heiervang
Master thesis
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AssetPrices.xlsx (86.86Kb)
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Thesis Analysis.xlsx (6.677Mb)
URI
http://hdl.handle.net/11250/2578468
Date
2018
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  • Master of Science [1116]
Abstract
This thesis analysis the goal-based portfolio optimization approach and compares

it to established theories of portfolio management. First, we review previous

literature on the topic of portfolio optimization. Second, we identify the investor’s

problem and define the methodology. Further, we perform a quantitative analysis

of the goal-based portfolio optimization approach. We use historical asset returns

to simulate future portfolio outcomes and analyse the performance of an

investment according to goal-based portfolio theory. We find that by dividing an

investment into multiple subportfolios, and optimizing each subportfolio

separately, decreases the portfolios probability of failure. We conclude that an

investor, with specific goals beyond attaining highest possible return, is better off

investing in subportfolios as opposed to a single portfolio.
Description
Masteroppgave(MSc) in Master of Science in Business, Finance - Handelshøyskolen BI, 2018
Publisher
Handelshøyskolen BI

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