Browsing Faculty of Graduate Studies Online Theses by Author "Chang, Jingzhi"
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A DYNAMIC SELECT SECTOR SPDRS ETFS PORTFOLIO OPTIMIZATION MODEL WITH REGIME-SWITCHING ECONOMIC INDICATORS
Chang, Jingzhi (2013-12-16)This thesis studies a dynamic Select Sector SPDRs ETFs portfolio optimization problem. The objective of the optimization model is to maximize the risk-adjusted expected return of a portfolio similar to a logarithmic utility ...