Khokhlov V. Portfolio modeling under the global uncertainty conditions

The thesis is dedicated to the development and improvement of methodological approaches to the portfolio management. Its objective is to create an economic-mathematical toolset that increases the portfolio management efficacy under the current economic conditions. A new methodological approach to the non-linear portfolio optimization is developed, and the relevant portfolio optimization models with respect to the Sharpe ratio, Treynor ratio, information ratio, VaR, CVaR are built. A tracking portfolio optimization methodology is proposed, and the relevant portfolio optimization models with respect to TEV, TE2, and correlation with the benchmark are built. Methodological framework of risk evaluation is improved to account for the "fat tails", for which the usage of the Student’s t-distribution and the Laplace distribution is suggested. Multi-criteria models for the bond portfolio immunization and options hedging are built. An approach to account for human capital in the financial planning is developed.