Doctoral Dissertations

Abstract

"The Taguchi System of Quality Engineering (TSQE) is a widely accepted philosophy and set of tools and techniques to rapidly design and manufacture high quality, low cost products and services. It is heavily focused on creating stable system designs that allow a product or system to perform as desired by customers in the environment of their choice. This research demonstrates the power of the TSQE to manage an investment portfolio. In particular, it uses the concept of design stability to select investments and optimize portfolios. It proposes a new design stability-based investment screening metric and discusses its application. Further, this research uses the principles of TSQE to formulate a buy-sell strategy based on the price stability of investment vehicles, demonstrating the usefulness of this approach using backtesting. This work then demonstrates the need for a market forecasting model and proposes a new approach, called the T-method, to build such a model. It examines the developed model and compares its accuracy to that of standard statistical approaches. Some modifications to the T-method are then suggested and the improved method is used for stock price forecasting. Later sections of this dissertation are focused on portfolio optimization. Standard options strategies are reviewed and integrated into the investment management process developed in this research. A new risk metric is introduced and its application is demonstrated to optimize an investment portfolio with five securities. In summary, this approach answers three questions: I) What to buy (sell)? (2) When to buy (sell)? (3) How much to buy (sell)?"--Abstract, page iii.

Advisor(s)

Ragsdell, K. M.

Committee Member(s)

Grasman, Scott E. (Scott Erwin)
Cudney, Elizabeth A.
Takai, Shun
Drain, David

Department(s)

Engineering Management and Systems Engineering

Degree Name

Ph. D. in Engineering Management

Publisher

Missouri University of Science and Technology

Publication Date

2010

Pagination

xv, 219 pages

Note about bibliography

Includes bibliographical references (pages 212-218).

Rights

© 2010 Vivek Kulinchandra Jikar, All rights reserved.

Document Type

Dissertation - Restricted Access

File Type

text

Language

English

Library of Congress Subject Headings

Portfolio management -- Data processing
Portfolio management -- Mathematical models
Mathematical optimization
Taguchi methods (Quality control)

Thesis Number

T 10939

Print OCLC #

960195962

Electronic OCLC #

960196094

Link to Catalog Record

Electronic access to the full-text of this document is restricted to Missouri S&T users. Otherwise, request this publication directly from Missouri S&T Library or contact your local library.

http://laurel.lso.missouri.edu/record=b11678233~S5

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