UNT Theses and Dissertations - 2 Matching Results

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An Inquiry into the Inevitability of Prediction Error in Investment Portfolio Models

Description: Many mathematical programming models of the selection of investment portfolios assume that the best portfolio at any given level of risk is the portfolio having the highest level of return. The expected level of return is defined as a linear combination of the expected returns of the individual investments contained within the portfolio,and risk is defined in terms of variance of return. This study uses Monte Carlo simulation to establish that if the estimates of the future returns on potential investments are unbiased, the steady-state return on the portfolio is overestimated by the procedure used in the standard models. Under reasonable assumptions concerning the parameters of the estimates of the various returns, this bias is quite sizeable, with the steady-state predicted return often overestimating the steady-state actual return by more than ten percentage points. In addition, it is shown that when the variances of the alternative potential investments are not all equal,a limitation on the variance of the portfolio will reduce the magnitude of the bias. In many reasonable cases, constraining the portfolio variance reduces the bias by a magnitude greater than the amount by which it reduces the predicted portfolio return, causing the steady-state actual return to rise. This implies that return cannot automatically be assumed to be a monotonic function of risk.
Date: December 1972
Creator: Valentine, Jerome Lynn
Partner: UNT Libraries

Texas Energy Banks: Problems and Prospects

Description: The forces that shaped banking practices in the late 1970s and which fostered attempts by the banks to rapidly expand their markets are examined. Why, and to what extent, the Texas energy banks committed themselves to the oil industry in those years, as well as the effects of the oil industry's four-and-one-half year decline on the banks' financial strength is detailed. How banks structured loans to various energy borrowers and why these borrowers lost their ability to service their debts is analyzed. The changes that the Texas banks' painfully learned lessons will bring about in energy and other specialized lending is considered.
Date: August 1987
Creator: Seley, Joan Bonness
Partner: UNT Libraries