Phd in MGT

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Browsing Phd in MGT by Author "ALIA MANZOOR"

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    Portfolio Optimization Using Artificial Neural Networks and Mean-Semi Variance Markowitz Model- A Comparative Study of South Asian Countries
    (UMT, Lahore, 2024) ALIA MANZOOR
    This study creates portfolios using a variety of portfolio approaches to provide South Asian investors a logical guide to mean semi variance portfolio optimization using artificial neural networks. This research focuses on techniques for designing optimally diversified investment portfolios since portfolio formation requires the assessment of two fundamental inputs. These inputs estimate the future return vector and variance-covariance matrix. Both fundamental inputs must be approximated because investors don't know them. The study uses many portfolio construction methods to account for inputs. These strategies include the mean-semi variance strategy, minimum variance approach, limited portfolios with transaction costs and turnover limitations, constrained portfolios with required risk and return diversification limits, and equally weighted approach. These portfolio strategies are then analyzed using the excess Sharpe ratio and Information Ratio for financial efficiency and diversity, respectively, and confirmed using the 130/30 portfolio strategy.