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
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.
Recommended Citation
Taylor, Fred C., "An Explanation of "Keynes Meets Markowitz: The Trade-Off Between Familiarity and Diversification"" (2016). CMC Senior Theses. 1422.
https://scholarship.claremont.edu/cmc_theses/1422
This thesis is restricted to the Claremont Colleges current faculty, students, and staff.
