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 - Open Access
File Type
text
Language
English
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
Recommended Citation
Jikar, Vivek Kulinchandra, "Application of quality engineering to investment portfolio selection and optimization" (2010). Doctoral Dissertations. 2524.
https://scholarsmine.mst.edu/doctoral_dissertations/2524