Dissertations / Theses on the topic 'Portfolio theory'
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Karlsson, Victor, Rikard Svensson, and Viktor Eklöf. "Contingent Hedging : Applying Financial Portfolio Theory on Product Portfolios." Thesis, Internationella Handelshögskolan, Högskolan i Jönköping, IHH, Företagsekonomi, 2012. http://urn.kb.se/resolve?urn=urn:nbn:se:hj:diva-18602.
Full textBaur, Cordula. "Risk Estimation in Portfolio Theory." St. Gallen, 2007. http://www.biblio.unisg.ch/org/biblio/edoc.nsf/wwwDisplayIdentifier/05609706001/$FILE/05609706001.pdf.
Full textRaubenheimer, Heidi. "Contributions to modern portfolio theory." Master's thesis, University of Cape Town, 2001. http://hdl.handle.net/11427/9741.
Full textFund managers and investors are confronted with the problem of selecting a single investment portfolio from a large number of possible combinations of available assets. In South Africa the set of possible portfolios has become even larger with the gradual relaxing of the constraints on foreign investment from 1995 to the present day, thereby expanding the investment universe for South African investors. Moreover, portfolio selection in South Africa is being transformed increasingly from being the exclusive domain of high net worth individuals, trustees and their investment managers to being the domain and responsibility of the man on the street. The Unit Trust industry started in South Africa in 1965 and gave the lower net worth individual a vehicle with which to invest in a diverse investment portfolio. This industry has proved very popular and has expanded from only 8 funds in 1980 to 338 funds and 136 billion rands under management in November 2000. Moreover the past two years, 1999 and 2000, has seen a change in the pension fund industry from defined benefit (DB) to defined contribution (DC) pension funds, transferring more of the risk and the responsibility of portfolio selection onto pension fund members. With increasing demand for fund management and investment advice by pension fund members and individual investors alike, the financial services industry in South Africa has also expanded. The consequent competition for assets of all descriptions have led, one hopes, to a more efficient market in equity, fixed income and derivative products. Thus modern portfolio theory has come a long way and will have to go further in meeting the demand to assist investors in their decision making.
Gökkent, Giyas M. "Theory of foreign portfolio investment." FIU Digital Commons, 1997. https://digitalcommons.fiu.edu/etd/3986.
Full textSati, Leila. "Estimation and Test Theory of Optimal Portfolios : Evidence from the International Portfolio." Thesis, Örebro universitet, Handelshögskolan vid Örebro Universitet, 2018. http://urn.kb.se/resolve?urn=urn:nbn:se:oru:diva-67987.
Full textHamrin, Erik. "A Heuristic Downside Risk Approach to Real Estate Portfolio Structuring : a Comparison Between Modern Portfolio Theory and Post Modern Portfolio Theory." Thesis, KTH, Bygg- och fastighetsekonomi, 2011. http://urn.kb.se/resolve?urn=urn:nbn:se:kth:diva-89812.
Full textPersson, Jakob, Carl Lejon, and Kristian Kierkegaard. "Practical Application of Modern Portfolio Theory." Thesis, Jönköping University, JIBS, Accounting and Finance, 2007. http://urn.kb.se/resolve?urn=urn:nbn:se:hj:diva-657.
Full textThere are several authors Markowitz (1991), Elton and Gruber (1997) that discuss the main issues that an investor faces when investing, for example how to allocate resources among the variety of different securities. These issues have led to the discussion of portfolio theories, especially the Modern Portfolio Theory (MPT), which is developed by Nobel Prize awarded economist Harry Markowitz. This theory is the philosophical opposite of tradi-tional asset picking.
The purpose of this thesis is to investigate if an investor can apply MPT in order to achieve a higher return than investing in an index portfolio. Combining a strong portfolio that beats the market in the longrun would be the ultimate goal for most investors.
The theories that are used to analyze the problem and the empirical findings provide the essential concepts such as standard deviation, risk and return of the portfolio. Further, diversification, correlation and covariance are used to achieve the optimal risky portfolio. There will be a walk-through of the MPT, with the efficient frontier as the graphical guide to express the optimal risky portfolio.
The methodology constitutes as the frame for the thesis. The quantitative method is used since the data input is gathered from historical data. This thesis is based on existing theories, and the deductive approach aims to use these theories in order to accomplish a valid and accurate analysis. The benchmark that is used to compare the results from the portfolio is the Stockholm stock exchange OMX 30. This index mimics and reflects the market as a whole. The portfolio will be reweighed at a preplanned schedule, each quarter to constantly obtain an optimal risky portfolio.
The finding from this study indicates that the actively managed portfolio outperforms the passive benchmark during the selected timeframe. The outcome someway differs when evaluating the risk adjusted result and becomes less significant. The risk adjusted result does not provide any strong evidence for a greater return than index. Finally, with this finding, the authors can conclude by stating that an actively managed optimal risky portfolio with guidance of the MPT can surpass the OMX 30 within the selected timeframe.
Dopita, Radim. "Optimalizace portfolia cenných papírů." Master's thesis, Vysoké učení technické v Brně. Fakulta podnikatelská, 2010. http://www.nusl.cz/ntk/nusl-222724.
Full textSokolova-Maria, Maria. "Risk measure changes and portfolio optimization theory." Thesis, Imperial College London, 2009. http://hdl.handle.net/10044/1/11376.
Full textFerretti, Nicola <1998>. "Extreme Value Theory for Portfolio Risk Management." Master's Degree Thesis, Università Ca' Foscari Venezia, 2022. http://hdl.handle.net/10579/21806.
Full textGormley, John. "Portfolio of original compositions." Thesis, University of St Andrews, 2015. http://hdl.handle.net/10023/7072.
Full textLjungberg, Axel, and Anton Högstedt. "Modern Portfolio Theory Combined With Magic Formula : A study on how Modern Portfolio Theory can improve an established investment strategy." Thesis, Linnéuniversitetet, Institutionen för ekonomistyrning och logistik (ELO), 2021. http://urn.kb.se/resolve?urn=urn:nbn:se:lnu:diva-104540.
Full textClarke, Tanya M. "Financial markets, portfolio theory and the credit crunch." Thesis, University of Southampton, 1998. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.286964.
Full textKoumou, Nettey Boevi Gilles. "Rao's Quadratic Entropy, Risk Management and Portfolio Theory." Doctoral thesis, Université Laval, 2017. http://hdl.handle.net/20.500.11794/28292.
Full textThis thesis is about the concept of diversification and its measurement in portfolio theory. Diversification is one of the major components of portfolio theory. It helps to reduce or ultimately to eliminate portfolio risk. Thus, its measurement and management is of fundamental importance in finance and insurance domains as risk measurement and management. Consequently, several measures of portfolio diversification were proposed, each based on a different criterion . Unfortunately, none of them has proven totally satisfactory. All have drawbacks and limited applications. Developing a coherent measure of portfolio diversification is therefore an active research area in investment management. In this thesis, a novel, coherent, general and rigorous theoretical framework to manage and quantify portfolio diversification inspiring from Rao (1982a)’s Quadratic Entropy (RQE), a general approach to measuring diversity, is proposed. More precisely, this thesis demonstrates that when RQE is judiciously calibrated it becomes a valid class of portfolio diversification measures summarizing complex features of portfolio diversification in a simple manner and provides at the same time a unified theory that includes many previous contributions. Next, this thesis presents two applications of the proposed class of portfolio diversification measures. In the first application, new formulations of maximum diversification strategy of Choueifaty and Coignard (2008) is provided based on the proposed class of measures. These new formalizations clarify the investment problem behind the MD strategy, help identify the source of its strong out-of-sample performance relative to other diversified portfolios, and suggest new directions along which its out-of-sample performance can be improved. In the second application, a novel and useful formulation of the mean-variance utility function is provided based on the proposed class of measures. This new formulation significantly improves the mean-variance model understanding, in particular in terms of asset pricing. It also offers new directions along which the mean-variance model can be improved without additional computational costs.
Šebestíková, Sabina. "Optimalizace portfolia akcií na čs. kapitálovém trhu." Master's thesis, Vysoké učení technické v Brně. Fakulta podnikatelská, 2009. http://www.nusl.cz/ntk/nusl-264840.
Full textPorage, Chamika. "Sustainability in Portfolio Optimization." Thesis, Örebro universitet, Handelshögskolan vid Örebro Universitet, 2021. http://urn.kb.se/resolve?urn=urn:nbn:se:oru:diva-91573.
Full textKouch, Richard Banking & Finance Australian School of Business UNSW. "Efficient estimation in portfolio management." Awarded by:University of New South Wales. School of Banking and Finance, 2006. http://handle.unsw.edu.au/1959.4/26943.
Full textNelson, Marco. "Information technology portfolio management proof of concept modern portfolio theory with KVA and ROI analysis." Thesis, Monterey, California. Naval Postgraduate School, 2010. http://hdl.handle.net/10945/5148.
Full textThe basic research question guiding this thesis is: "How can Modern Portfolio Theory (MPT) be defensibly applied to DoD Information Technology (IT) portfolio optimization problems?" The research will demonstrate how to derive the appropriate raw performance, volatility data, required to remain consistent with MPT assumptions and methodology. This thesis accomplishes this research objective by establishing a notional IT beta to apply a MPT approach for asset allocation within the Department of Defense (DoD). Data from three previous RFID implementation case studies were used, where the Knowledge Value Added (KVA) methodology was applied to estimate the return on investment (ROI) produced by IT. The KVA methodology is essential for the application of this thesis because it provides the framework for the allocation of surrogate revenue and cost streams into core processes where RFID technology was implemented. The ROI estimates of volatility act as a surrogate for equity price volatility, allowing application of the Modern Portfolio Theory (MPT) approach in the nonprofit sector.
Vervuurt, Alexander. "On portfolio construction through functional generation." Thesis, University of Oxford, 2016. https://ora.ox.ac.uk/objects/uuid:02f2f6c7-06c9-4f66-905a-20b4576f0b87.
Full textAnane, Asomani Kwadwo. "Sustainability for Portfolio Optimization." Thesis, Mälardalens högskola, Akademin för utbildning, kultur och kommunikation, 2019. http://urn.kb.se/resolve?urn=urn:nbn:se:mdh:diva-44560.
Full textLossen, Ulrich. "Portfolio strategies of private equity firms theory and evidence /." Wiesbaden Dt. Univ.-Verl, 2006. http://dx.doi.org/10.1007/978-3-8350-9428-4.
Full textTORRES, RODRIGO CORREA. "PORTFOLIO VALUATION OF ELECTRICITY CONTRACTS: AN OPTIONS THEORY APPROACH." PONTIFÍCIA UNIVERSIDADE CATÓLICA DO RIO DE JANEIRO, 2006. http://www.maxwell.vrac.puc-rio.br/Busca_etds.php?strSecao=resultado&nrSeq=8675@1.
Full textThe Free Contracts Environment enabled continuity of the free market competition process which started with the electric sector restructure in 1997. The shift from a regime based on renewable supply contracts to a structure based on prices established by competition exposes companies in the Brazilian electric sector to the volatility of the electricity market. In this new environment companies must manage the risks associated to the operations. The Brazilian electric sector singular features make risk management a great challenge for ensuing years. On the other hand, with free negotiation enabled by the energy trade segment within the free contracts environment, electric energy purchase and sale contracts started to adapt to the market needs incorporating flexibilities designed to face uncertainty regarding electric energy demand in general and prices in particular. Within this context, an electric energy purchase and sale portfolio valuation model was developed, incorporating the flexibilities inherent to commercialization activities, in order to quantify the risks associated with this activity and establish the value added to the portfolio by the flexibilities. The case studied is fictitious, but typical in the field of electric energy trading within this new model.
Ushan, Wardah. "Portfolio selection using Random Matrix theory and L-Moments." Master's thesis, University of Cape Town, 2015. http://hdl.handle.net/11427/16921.
Full textMarkowitz's (1952) seminal work on Modern Portfolio Theory (MPT) describes a methodology to construct an optimal portfolio of risky stocks. The constructed portfolio is based on a trade-off between risk and reward, and will depend on the risk- return preferences of the investor. Implementation of MPT requires estimation of the expected returns and variances of each of the stocks, and the associated covariances between them. Historically, the sample mean vector and variance-covariance matrix have been used for this purpose. However, estimation errors result in the optimised portfolios performing poorly out-of-sample. This dissertation considers two approaches to obtaining a more robust estimate of the variance-covariance matrix. The first is Random Matrix Theory (RMT), which compares the eigenvalues of an empirical correlation matrix to those generated from a correlation matrix of purely random returns. Eigenvalues of the random correlation matrix follow the Marcenko-Pastur density, and lie within an upper and lower bound. This range is referred to as the "noise band". Eigenvalues of the empirical correlation matrix falling within the "noise band" are considered to provide no useful information. Thus, RMT proposes that they be filtered out to obtain a cleaned, robust estimate of the correlation and covariance matrices. The second approach uses L-moments, rather than conventional sample moments, to estimate the covariance and correlation matrices. L-moment estimates are more robust to outliers than conventional sample moments, in particular, when sample sizes are small. We use L-moments in conjunction with Random Matrix Theory to construct the minimum variance portfolio. In particular, we consider four strategies corresponding to the four different estimates of the covariance matrix: the L-moments estimate and sample moments estimate, each with and without the incorporation of RMT. We then analyse the performance of each of these strategies in terms of their risk-return characteristics, their performance and their diversification.
Guimarães, Pedro Henrique Engel. "Three essays on macro-finance: robustness and portfolio theory." reponame:Repositório Institucional do FGV, 2017. http://hdl.handle.net/10438/19926.
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This doctoral thesis is composed of three chapters related to portfolio theory and model uncertainty. The first paper investigates how ambiguity averse agents explain the equity premium puzzle for a large group of countries including both Advanced Economies (AE) and Emerging Markets (EM). In the second article, we develop a general robust allocation framework that is capable of dealing with parametric and non parametric asset allocation models. In the final paper, I investigate portfolio selection criteria and analyze a set of portfolios out of sample performance in terms of Sharpe ratio (SR) and Certainty Equivalent (CEQ)
Almeida, Serra Costa Vitoria Pedro Miguel. "Topics on forward investment theory." Thesis, University of Oxford, 2015. http://ora.ox.ac.uk/objects/uuid:158e9239-1385-4314-b337-3eed27c76dfc.
Full textDuggal, Rahul, and Tawfiq Shams. "Modern Portfolio Trading with Commodities." Thesis, Mälardalen University, School of Sustainable Development of Society and Technology, 2010. http://urn.kb.se/resolve?urn=urn:nbn:se:mdh:diva-9990.
Full textThere is a big interest for alternative investment strategies than investing in traditional asset classes. Commodities are having a boom dynamic with increasing prices. This thesis is therefore based on applying Modern Portfolio Theory concept to this alternative asset class.
In this paper we manage to create optimal portfolios of commodities for investors with known and unknown risk preferences. When comparing expected returns to actual returns we found that for the investor with the known risk preference almost replicated the return of the markets. The other investor with unknown risk preference also profited but not as efficient as the market portfolio.
Pavlic, Theodore P. "Optimal Foraging Theory Revisited." Connect to resource, 2007. http://rave.ohiolink.edu/etdc/view?acc%5Fnum=osu1181936683.
Full textMoos, Daniel. "Continuous Time Finance - Analytical Methods in Asset-Liability Portfolio Theory." St. Gallen, 2005. http://www.biblio.unisg.ch/org/biblio/edoc.nsf/wwwDisplayIdentifier/00642512002/$FILE/00642512002.pdf.
Full textMoosbrucker, Thomas [Verfasser]. "Valuation of Portfolio Credit Derivatives : Theory and Application / Thomas Moosbrucker." Aachen : Shaker, 2007. http://d-nb.info/1170527256/34.
Full textWalton, Myles Alexander 1975. "Managing uncertainty in space systems conceptual design using portfolio theory." Thesis, Massachusetts Institute of Technology, 2002. http://hdl.handle.net/1721.1/8103.
Full textIncludes bibliographical references (p. 217-222).
One of the most significant challenges in conceptual design is managing the tradespace of potential architectures-choosing which design to pursue aggressively, which to keep on the table and which to leave behind. This thesis provides a framework for managing a tradespace of architectures not through traditional effectiveness measures like cost and performance, but instead through a quantitative analysis of the embedded uncertainty in each potential space system architecture. Cost and performance in this approach remain central themes in decision making, but uncertainty serves as the focal lense to identify potentially powerful combinations of architectures to explore concurrently in further design phases. Presented is an approach to identify, assess, and quantify uncertainty in space system architectures, as well as a means to manage it using portfolio theory and optimization. Perhaps best known to economists and investors, portfolio theory is based around the objective of maximizing return subject to a decision maker's risk aversion. This simple concept, as well as the theoretical rigor that has evolved the theory to practice, is presented as one means of exploring the tradespace of potential architectures around the central theme of uncertainty. The approach presented relies upon previous work to model space system architectures using simulations that capture attributes of performance and cost. The first step in the approach is an analysis of the tradespace of potential architectures, including the bounding of architectural concepts that will be evaluated and the potential uncertainties and scenarios that will be investigated.
(cont.) The second step is to adjust the simulation models to include sources of uncertainty. The third step is to quantify the impact of the uncertainties on the evaluation criteria for each architecture through propagation techniques. Finally, portfolio theory is incorporated as an approach to manage uncertainty effectively. Illustrative cases present the changing shape of the decision process with uncertainty as a focal point. The three cases, a military space based radar mission, a commercial broadband system, and an scientific observing mission, illustrate the this new approach on tradespace exploration and highlight some of the intuitive and non-intuitive characteristics that can be discovered about the tradespace.
by Myles Alexander Walton.
Ph.D.
Komaki, Ghorbanmohammad. "PORTFOLIO SELECTION AND RISK DISPERSION BASED ON GEOMETRIC DISPERSION THEORY." Case Western Reserve University School of Graduate Studies / OhioLINK, 2018. http://rave.ohiolink.edu/etdc/view?acc_num=case1512232304419177.
Full textJablonský, Petr. "Performance downside risk models of the post-modern portfolio theory." Doctoral thesis, Vysoká škola ekonomická v Praze, 2008. http://www.nusl.cz/ntk/nusl-161865.
Full textZhang, Jiangxingyun. "International Portfolio Theory-based Interest Rate Models and EMU Crisis." Thesis, Rennes 1, 2017. http://www.theses.fr/2017REN1G011/document.
Full textThis thesis examines the specific role of volatility risks and co-volatility in the formation of long-term interest rates in the euro area. In particular, a two-country theoretical portfolio choice model is proposed to evaluate the volatility risk premia and their contribution to the contagion and flight to quality processes. This model also provides an opportunity to analyze the ECB's role of asset purchases (QE) on the equilibrium of bond markets. Our empirical tests suggest that the ECB's QE programs from March 2015 have accelerated the "defragmentation" of the euro zone bond markets
Kucuk, Tuger Hande. "Essays on international portfolio allocation and risk sharing." Thesis, London School of Economics and Political Science (University of London), 2011. http://etheses.lse.ac.uk/145/.
Full textBenson, Robert D. "Market models and exposure management in foreign exchange." Thesis, Imperial College London, 1991. http://hdl.handle.net/10044/1/8659.
Full textKaramanis, Dimitrios. "Stochastic dynamic programming methods for the portfolio selection problem." Thesis, London School of Economics and Political Science (University of London), 2013. http://etheses.lse.ac.uk/724/.
Full textMazibas, Murat. "Dynamic portfolio construction and portfolio risk measurement." Thesis, University of Exeter, 2011. http://hdl.handle.net/10036/3297.
Full textScheepers, Deon. "Applications and portfolio theory in the South African agricultural derivatives market." Pretoria : [s.n.], 2005. http://upetd.up.ac.za/thesis/available/etd-05152008-142000.
Full textMcNeilis, Michael James. "Portfolio of compositions : pitch-class set theory in music and mathematics." Thesis, University of Liverpool, 2017. http://livrepository.liverpool.ac.uk/3009792/.
Full textEterovic, Nicolas. "Applications of random matrix theory to portfolio management and financial networks." Thesis, University of Essex, 2016. http://repository.essex.ac.uk/16644/.
Full textWang, Qinghai. "Portfolio trading and information transmission in securities markets : theory and evidence." Connect to resource, 2001. http://rave.ohiolink.edu/etdc/view.cgi?acc%5Fnum=osu1261316988.
Full textIqbal, Javed. "Application of regime switching and random matrix theory for portfolio optimization." Thesis, University of Essex, 2018. http://repository.essex.ac.uk/22633/.
Full textBauder, David. "Bayesian Inference for High-Dimensional Data with Applications to Portfolio Theory." Doctoral thesis, Humboldt-Universität zu Berlin, 2018. http://dx.doi.org/10.18452/19598.
Full textUsually, the weights of portfolio assets are expressed as a comination of the product of the precision matrix and the mean vector. These parameters have to be estimated in practical applications. But it is a challenge to describe the associated estimation risk of this product. It is demonstrated in this thesis, that a suitable Bayesian approach does not only lead to an easily accessible posteriori distribution, but also leads to easily interpretable risk measures. This also includes for example the default probability of the portfolio at all relevant points in time. To approach this task, the parameters are endowed with their conjugate priors. Using results from the theory of multivariate distributions, stochastic representations for the portfolio parameter are derived, for example for the portfolio weights or the efficient frontier. These representations not only allow to derive Bayes estimates of these parameters, but are computationally highly efficient since all th necessary random variables are drawn from well known and easily accessible distributions. Most importantly, Markov-Chain-Monte-Carlo methods are not necessary. These methods are applied to a multi-period portfolio for an exponential utility function, to the tangent portfolio, to estimate the efficient frontier and also to a general mean-variance approach. Stochastic representations and Bayes estimates are derived for all relevant parameters. The practicability and flexibility as well as specific properties are demonstrated using either real data or simulations.
Trägårdh, Andreas. "Additional Value in Project Portfolio Selection : Doing the right things by right valuation – Gains of real options portfolio theory." Thesis, Blekinge Tekniska Högskola, Sektionen för management, 2016. http://urn.kb.se/resolve?urn=urn:nbn:se:bth-12795.
Full textSyfte: Syftet med följande uppsats är belysa och utveckla det, av forskare och chefer, uttryckta behov av utveckling av projektportföljval. Uppsatsen syftar till att undersöka hur valet av innovationsprojekt genom portföljvalsmodeller kan förändras om flexibilitet och osäkerhet adderas till beslutsprocessen. Syftet är vidare att undersöka hur ytterligare värde kan inkorporeras i ett beslut, med målet att välja den portfölj som maximerar företagets målfunktion. Metod: Denna uppsats tar en kvalitativ metodansats då ett sådant tillvägagångssätt är fördelaktigt i studier av samhällsvetenskap. Den empiriska undersökningen har bedrivits på ett stort internationellt företag vilket deltar i ett omfattande FoU arbete, samt i stor skala arbetar med innovationsprojekt. Data har samlats in genom ostrukturerade samt semistrukturerade intervjuer med ledningen på företaget. Slutsatser: Resultaten visar att genom att inkorporera reella optioner, i en statisk beslutsprocess, så kan ett bättre beslutsunderlag genereras genom inkluderandet av osäkerhet och värdet av optioner. Ett sådant beslutsunderlag genereras genom att real options adderar flexibilitet till urvalsprocessen. Genom att inkorporera flexibilitet kommer en statisk metod att välja individuella projekt på, skifta till fördel för en dynamisk metod att välja portföljer.
Kunt, Tomáš. "Vícekriteriální analýza portfolia na českých nebo zahraničních trzích." Master's thesis, Vysoká škola ekonomická v Praze, 2009. http://www.nusl.cz/ntk/nusl-15696.
Full textAsif, Muneeb. "Bayesian Inference for the Global Minimum Variance Portfolio." Thesis, Örebro universitet, Handelshögskolan vid Örebro Universitet, 2018. http://urn.kb.se/resolve?urn=urn:nbn:se:oru:diva-68929.
Full textFung, Tsan Sing Libon. "Rational speculative bubbles in a cross-sectional framework : a theory and simulation experiments." Thesis, Birkbeck (University of London), 2001. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.369261.
Full textFalk, Johan. "Direct and Indirect Real Estate in a Mixed-asset Portfolio : Is direct or indirect preferable." Thesis, KTH, Fastigheter och byggande, 2012. http://urn.kb.se/resolve?urn=urn:nbn:se:kth:diva-102185.
Full textTunyi, Abongeh Akumbom. "Takeover likelihood modelling : target profile and portfolio returns." Thesis, University of Glasgow, 2014. http://theses.gla.ac.uk/5445/.
Full textJohncock, Suzanne. "Older people's psychological change processes : a research portfolio." Thesis, University of Edinburgh, 2016. http://hdl.handle.net/1842/23425.
Full text