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    Optimizing Investment Portfolio Allocation

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    BooneN_2019_Final.pdf (410.2Kb)
    Author
    Boone, Nathan
    Advisor
    Ted Wendt; Eric Sullivan; Peter Larsen
    Date of Issue
    2019-04-01
    Subject Keywords
    linear program, portfolio allocation, Monte Carlo simulation
    Metadata
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    URI
    https://scholars.carroll.edu/handle/20.500.12647/3512
    Title
    Optimizing Investment Portfolio Allocation
    Type
    thesis
    Abstract
    This analysis presents a model that could be used to inform a portfolio manager in which sectors of the stock market to invest in for the equity portion of an investment portfolio. The model incorporates a linear program to suggest the optimal combination of sectors to invest in with respect to various constraints. We use a linear projection model to estimate the upcoming month’s return of each sector, with monthly changes in economic indicators as inputs. The time frame for the historical returns data that we use to build the model runs from 8=1=2008 - 9=1=2018. Additionally, we apply a Monte Carlo simulation to the projected returns over one hundred thousand iterations. The model suggests which combination of sectors may offer the highest return on investment with consideration to the potential volatility of each sector.
    Degree Awarded
    Bachelor's
    Semester
    Spring
    Department
    Mathematics, Engineering & Computer Science
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