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dc.contributor.advisorAyhan, Hayriye
dc.contributor.advisorDeng, Shijie
dc.contributor.authorMorris, Carl
dc.date.accessioned2018-01-22T21:11:30Z
dc.date.available2018-01-22T21:11:30Z
dc.date.created2017-12
dc.date.issued2017-11-13
dc.date.submittedDecember 2017
dc.identifier.urihttp://hdl.handle.net/1853/59245
dc.description.abstractThis dissertation studies the mean-semivariance portfolio optimization problem. We describe the relationship of this kind of optimization in the context of other types of portfolio optimization. We construct a novel analysis of mean-semivariance in the context of piecewise quadratic optimization. The unique structure of mean-semivariance is leveraged to provide insight into properties of the optimal portfolio as a function of its key input parameters. This characterization allows us to introduce a new approach to solving a multi-period dynamic mean-semivariance portfolio problem. The proposed methodology provides significant improvements over naive approaches not leveraging the unique structure of the mean-semivariance value function. Finally, we develop a novel, distributionally robust piecewise quadratic formulation using semidefinite programming. We apply the robust formulation to the mean-semivariance portfolio problem to construct a distributionally robust mean-semivariance portfolio. We prove that the robust mean-semivariance portfolio is actually equivalent to the classical mean-variance portfolio.
dc.format.mimetypeapplication/pdf
dc.language.isoen_US
dc.publisherGeorgia Institute of Technology
dc.subjectMulti-period stochastic optimization
dc.subjectRobust optimization
dc.subjectPortfolio optimization
dc.subjectPiecewise quadratic qptimization
dc.subjectParametric qptimization
dc.titleDynamic portfolio optimization using mean-semivariance
dc.typeDissertation
dc.description.degreePh.D.
dc.contributor.departmentIndustrial and Systems Engineering
thesis.degree.levelDoctoral
dc.contributor.committeeMemberPokutta, Sebastian
dc.contributor.committeeMemberWhite, Chelsea C.
dc.contributor.committeeMemberXu, Jun
dc.date.updated2018-01-22T21:11:30Z


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