Financial Portfolio Optimization - arXiv

arXiv:1301.4194v1 [q-fin.PM] 17 Jan 2013

A thesis submitted for the degree of

Master of Technology In

Modeling and Simulation

entitled

Financial Portfolio Optimization:

Computationally guided agents to investigate, analyse and invest!? By

Ankit Dangi CENTRE FOR MODELING AND SIMULATION

UNIVERSITY OF PUNE

June, 2012

CERTIFICATE

This is to certify that the work incorporated in this thesis entitled "Financial Portfolio Optimization: Computationally guided agents to investigate, analyse and invest!?" is a bonafide work carried out by Ankit Dangi in partial fulfillment of the award of the degree of Master of Technology in Modeling and Simulation of University of Pune, during the second half of Academic year 2011-12 under our supervision. Material as has been obtained from other sources has been duly acknowledged in the thesis and that this work has not been submitted elsewhere for a degree.

Dr. Abhijit Kulkarni SAS Solutions OnDemand (SSO) Advanced Analytics Laboratory SAS Research and Development India

Date: June 15, 2012 Place: Pune, India

Dr. Sukratu Barve Assistant Professor Centre for Modeling and Simulation University of Pune

Prof. Anjali Kshirsagar Director

Centre for Modeling and Simulation University of Pune

DECLARATION

I hereby declare that the thesis "Financial Portfolio Optimization: Computationally guided agents to investigate, analyse and invest!?" submitted for the degree of Master of Technology in Modeling and Simulation to the University of Pune has not been submitted by me for a degree to any other University.

Date: June 15, 2012 Place: Pune, India

Ankit Dangi M. Tech. (M&S), Batch 2010-12

Acknowledgements

Words wouldn't suffice for the deep sense of gratitude with which I would like to sincerely thank my guide Dr. Abhijit Kulkarni for his guidance throughout the course of this work.

I would like to whole-heartedly acknowledge Prof. Uttara V. Naik-Nimbalkar and Dr. T. V. Ramanathan from Department of Statistics, University of Pune.

I am grateful to Dr. Mihir Arjunwadkar, Dr. Sukratu Barve and Prof. Anjali Kshirsagar from Centre for Modeling and Simulation, University of Pune.

I am thankful to Dr. Lokesh Nagar, Mr. Viswanath Pothinindi, Dr. Sourish Das, Mr. Prasad Paranjpe, Mr. Gaurav Singh, Dr. Swarup De, Mr. Mousum Dutta and Mr. Ashwin Deokar from SAS Solutions OnDemand, SAS Research and Development India.

I am thankful to my parents, family and friends for their support and encouragement.

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