Optimal Strategies for Asymmetrical Wealth Endowments

dc.contributor.advisorSterba-Boatwright, Blair
dc.contributor.authorZhu, Wenbo
dc.descriptionA thesis Submitted in Partial Fulfillment of the Requirements for the Degree of Master of Science in the Graduate Mathematics Program, Applied and Computational Mathematics Option from Texas A&M University-Corpus Christi in Corpus Christi Texas.en_US
dc.description.abstractPeople who build successful businesses often experience asymmetrical wealth endowments, where most of their investments are tied to a particular asset related to their business. In the context of Texas, for example, the recent shale oil and gas development generated a great deal of wealth for many families in Texas, so it possibly has created substantial asymmetry in local investors' asset allocations. According to Modern Portfolio Theory [8], investors should diversify their portfolio into a mix of different assets in order to achieve an optimal portfolio, in which investors can either minimize the risk given a certain expected return or maximize the expected return given a certain risk. Expected return can be estimated from historical returns on the assets under consideration, while risk is measured by the covariance matrix of the historical returns. However, the tax costs associated with diversification of a dominant asset may mean the portfolio from classical Portfolio Theory is no longer optimal. This thesis has two objectives. First, the classical portfolio optimization methods will be presented, and we will discuss how they can be modified to take tax costs into effect. Then, with the revised optimization tools, we will investigate different strategies for divarication of a portfolio initially consisting only of oil. To quantify the uncertainty in the forecasts, we will use GARCH models based on the historical data to simulate different plausible outcomesen_US
dc.description.collegeCollege of Science and Engineeringen_US
dc.description.departmentMathematics and Statisticsen_US
dc.rightsThis material is made available for use in research, teaching, and private study, pursuant to U.S. Copyright law. The user assumes full responsibility for any use of the materials, including but not limited to, infringement of copyright and publication rights of reproduced materials. Any materials used should be fully credited with its source. All rights are reserved and retained regardless of current or future development or laws that may apply to fair use standards. Permission for publication of this material, in part or in full, must be secured with the author and/or publisher.en_US
dc.subjectAsymmetrical Wealth,Optimal Strategyen_US
dc.subjectPortfolio Theoryen_US
dc.titleOptimal Strategies for Asymmetrical Wealth Endowmentsen_US
thesis.degree.grantorTexas A & M University--Corpus Christien_US
thesis.degree.nameMaster of Scienceen_US


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