(2021-05-13) Dimitrakopoulos, Georgios; Δημητρακόπουλος, Γεώργιος; Athens University of Economics and Business, Department of Economics; Topaloglou, Nikolaos; Pagratis, Spyros; Arvanitis, Stylianos
Purpose of this study is to determine whether including indices from the commodity market is beneficial to portfolios of certain type of investors: Markowitz and Prospect. Portfolios are constructed using Markowitz and Prospect Stochastic Dominance Constraints while maximizing the expected portfolio return. For the evaluation of the constructed portfolios, several parametric tests were included. The study is structured as follows: Chapters 1-6 describe the problem at hand as well as the mathematical tools that are used to approach it, while the remainder chapters discuss the experimental results.
