Diploma and Master Theses (authored and supervised):
"An Otemachi Approach On Portfolio Optimization";
Supervisor: G. Tragler;
final examination: 2016-06-08.
This thesis discusses several approaches of portfolio optimization in order to better understand
modern portfolio theory. It goes beyond the Basel approaches and discusses
the necessity of using coherent risk measures. The "Otemachi-Approach" is introduced
as the process on how to decide to optimize one´s portfolio from a risk manager´s view
in Japan. It is argued how to hedge earthquake risks within a Japanese stock and fixed
income portfolio. In testing this hypothesis, it is proven to be successful by demanding
earthquake technology related firms and gum as a commodity to the portfolio. The
common idea of hedging by investments in the construction industry is debunked due to
back-testing results of Japanese market moves. By using an extremal representation of
CVaR, the optimal control problem is reformulated as a bi-level optimization problem.
Restrictions of Miller and Yang´s model  are loosened by using a Record-to-Record
algorithm and the usage of the Wasserstein metric to measure the quality of the approximated
CVaR from the model is proposed.
Portfolio optimization, Conditional value-at-risk, Risk measures, Stochastic optimal control, Financial markets
Created from the Publication Database of the Vienna University of Technology.