Sökning: "Markowitz Mean-Variance Optimization"

Visar resultat 1 - 5 av 21 uppsatser innehållade orden Markowitz Mean-Variance Optimization.

  1. 1. Portfolio Optimization Problems with Transaction Costs

    Kandidat-uppsats, KTH/Skolan för teknikvetenskap (SCI)

    Författare :Stina Gustavsson; Linnéa Gyllberg; [2023]
    Nyckelord :Portfolio optimization; variable transaction costs; fixed transaction costs;

    Sammanfattning : Portfolio theory is a cornerstone of modern finance, and it is based on the idea that an investor can reduce risk by diversifying their investments across various assets. In practice, Harry Markowitz mean-variance optimization theory is expanded upon by taking into account variable and fixed transaction cost, making the model slightly more reliable. LÄS MER

  3. 2. How to Get Rich by Fund of Funds Investment - An Optimization Method for Decision Making

    Master-uppsats, Mälardalens universitet/Akademin för utbildning, kultur och kommunikation

    Författare :Sabina Colakovic; [2022]
    Nyckelord :Modern Portfolio Theory; Markowitz Model; Mean-Variance Optimization; Valueat-Risk; Conditional Value-at-Risk; Geometric Mean Return; Efficient Frontier; Portfolio Optimization; Markowitz 2.0;

    Sammanfattning : Optimal portfolios have historically been computed using standard deviation as a risk measure.However, extreme market events have become the rule rather than the exception. To capturetail risk, investors have started to look for alternative risk measures such as Value-at-Risk andConditional Value-at-Risk. LÄS MER

  4. 3. The Rational Investor is a Bayesian

    Kandidat-uppsats, KTH/Skolan för teknikvetenskap (SCI)

    Författare :Jiajun Qu; [2022]
    Nyckelord :Portfolio optimization; Mean-variance optimization; Bayesian approach; Linear shrinkage; Black-Litterman; Robust optimization;

    Sammanfattning : The concept of portfolio optimization has been widely studied in the academy and implemented in the financial markets since its introduction by Markowitz 70 years ago. The problem of the mean-variance optimization framework caused by input uncertainty has been one of the foci in the previous research. LÄS MER

  5. 4. Black – Litterman eller Markowitz : En jämförelse av optimerade portföljer och OMXS30 index

    Kandidat-uppsats, KTH/Fastigheter och byggande

    Författare :Andreas Andrijasevic; Emma Viberg; [2022]
    Nyckelord :Portfolio; Optimization; OMXS30; Mean–Variance; Portfölj; optimering; OMXS30; medel-varians;

    Sammanfattning : Varje investerare vill se sitt kapital växa så mycket som möjligt men samtidigt inte utsätta kapitalet för onödiga risker. Högre risk, högre avkastning är två synonymer inom den finansiella världen. Investerare världen över söker hela tiden nya möjligheter att öka sin avkastning utan att behöva höja sin risk. LÄS MER

  7. 5. Inversion of Markowitz Portfolio Optimization to Evaluate Risk

    Kandidat-uppsats, KTH/Skolan för elektroteknik och datavetenskap (EECS)

    Författare :Axel Persson; Ran Li; [2021]
    Nyckelord :Markowitz Portfolio Optimization; Efficient Frontier; Diversification; Asset allocation; Risk and Return; Inverse optimization; Inverse problems;

    Sammanfattning : This project investigates the applicability of the originalversion of Markowitz’s mean-variance model for portfoliooptimization to real-world modern actively managed portfolios.The method measures the mean-variance model’s capability toaccurately capture the riskiness of given portfolios, by invertingthe mathematical formulation of the model. LÄS MER