Graduation Year

2016

Date of Submission

4-2016

Document Type

Campus Only Senior Thesis

Degree Name

Bachelor of Arts

Department

Mathematical Sciences

Reader 1

Mark Huber

Terms of Use & License Information

Terms of Use for work posted in Scholarship@Claremont.

Rights Information

© 2016 Fred C. Taylor

Abstract

This paper explains the mathematics behind the model for portfolio selection presented by Boyle et al. in their 2012 paper, Keynes Meet Markowitz: The Trade-Off Between Familiarity and Diversification. First, I unpack the theoretical background of portfolio selection, as developed by Harry Markowitz and William Sharpe. Second, I explain the model proposed by Boyle et al. and also connect their work to their theoretical forefathers. Lastly, I replicate some of the results of their paper and comment on the significance of their model.

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