A Few Experiments in Portfolio Management

Abstract

This thesis covers a few topics in portfolio management. It is broken up into two parts. In the first part, an investor has the opportunity to buy stock in his/her company of employment at a discount. A few models are created to demonstrate the risks and benefits associated with this type of opportunity. The second part explores the importance of accounting for the uncertainty of the true parameters used in the optimization process. In practice, the true distribution of returns is unknown and accounting for this uncertainty can result in signi cant changes in portfolio composition. Within this part, a new method of portfolio construction is described and tested.