Sökning: "Partial Portfolio Approach"

Hittade 5 uppsatser innehållade orden Partial Portfolio Approach.

  1. 1. Equilibrium Strategies for Time-Inconsistent Stochastic Optimal Control of Asset Allocation

    Master-uppsats, KTH/Optimeringslära och systemteori

    Författare :Johan Dimitry El Baghdady; [2017]
    Nyckelord :Stochastic optimal control; dynamic programming; asset allocation; non-cooperative games; subgame perfect Nash equilibrium; time-inconsistency; dynamic portfolio optimization; mean-variance; state dependent risk aversion; extended Hamilton-Jacobi-Bellman; execution algorithms.; Stokastisk optimal styrning; dynamisk programmering; tillgångsallokering; icke-kooperativa spel; Nashjämvikt; tidsinkonsistens; dynamisk portföljoptimering; avvägning mellan förväntad avkastning och varians; tillståndsberoende riskhantering; utökad Hamilton-Jacobi-;

    Sammanfattning : We have examinined the problem of constructing efficient strategies for continuous-time dynamic asset allocation. In order to obtain efficient investment strategies; a stochastic optimal control approach was applied to find optimal transaction control. LÄS MER

  3. 2. To Measure Concentration Risk - A comparative study

    Master-uppsats, Lunds universitet/Matematisk statistik

    Författare :Alma Broström; Hanna Scheibenpflug; [2017]
    Nyckelord :Multi factor adjustment; Pykhtin; Partial Portfolio Approach; capital requirement; Monte Carlo; name concentration; sector concentration; Credit concentration risk; Mathematics and Statistics;

    Sammanfattning : Credit risk is one of the largest risks facing a bank and following the Basel regulations, banks are expected to hold capital to protect themselves against credit risk. This thesis aims to evaluate models to calculate the capital requirement for credit concentration risk and compare them to the models suggested by Finansinspektionen. LÄS MER

  4. 3. Customers’ Perception on their Satisfaction about the Private Banks in a Developing Country : A perspective of Private Banks in Bangladesh

    Master-uppsats, Linköpings universitet/Företagsekonomi; Linköpings universitet/Filosofiska fakulteten

    Författare :Md Mahmudul Alam Akanda; Jasmin Dzeko; [2016]
    Nyckelord :Customers’ perception; Customers’ satisfaction; Private banks; Developing country; American Customer Satisfaction Index ACSI .;

    Sammanfattning : Customers’ satisfaction is a decisive factor in the development process of business which has also an effective impact on contributing a country's GDP. Private banks have been emerged over the time in developing countries where customers’ satisfaction is the driven force of banking industry investigated in Bangladesh. LÄS MER

  5. 4. Organisatorisk effektivitet i en multiprojektorganisation

    M1-uppsats, Lunds universitet/Produktionsekonomi

    Författare :Eric Lorentzon; [2011]
    Nyckelord :Technology and Engineering;

    Sammanfattning : ABSTRACT An organization that for the most part has routines that are defined and managed as projects and where the projects are carried out parallel to each other is called a multi-project organization. In such an organization, the projects can be unique or recurrent, large or small and organized in different ways, but in common for these organizations are that the projects are many, that they integrate with each other and that they affect the environment around them. LÄS MER

  7. 5. Semivarians, ett användbart riskmått eller endast ett överflöd?

    Kandidat-uppsats, Lunds universitet/Nationalekonomiska institutionen

    Författare :Kristoffer Peyron; [2011]
    Nyckelord :semivariance; LPM; variance; portfolio theory; normal distribution; Business and Economics;

    Sammanfattning : Since Markowitz presented the mean-variance model as a way of putting together a financial portfolio, variance has been the established measure of risk. Even though the measures of downside risk hasn’t gained the same attention as variance, it has been used in research for some time. LÄS MER