Date of Award
Master of Science (MS)
Economics & Finance
The implementation of constraints are standard practice for a portfolio manager.
The eect, mathematical and practical, is a study still in development. This
thesis oers a standardized approach to finding a potential explanation of these
constraints. It considers this approach in both the MVO and CVaR settings both
theoretically by providing a mathematical proof, and practically by simulating
portfolio optimizations with both generated and actual market data. In the MVO
setting an MVO with constraints is equivalent to an unconstrained MVO with
perturbed covariance matrix. With regards to CVaR, the CVaR optimization with
constraints is equivalent to an unconstrained CVaR optimization with a perturbed
asset returns matrix. While this study clarifies how this process can be applied to
other portfolio optimizations under constraint it leaves room for a deeper study of
how the adjustment of particular individual constraints can eect portfolio optimization.
Rozowski, Casey, "Constraints And Equivalence In Cvar Portfolio Optimization" (2012). Theses and Dissertations. 1317.