Sökning: "Strategic asset allocation"

Visar resultat 1 - 5 av 10 uppsatser innehållade orden Strategic asset allocation.

  1. 1. Mixed Integer Linear Programming for Allocation of Collateral within Securities Lending

    Master-uppsats, KTH/Optimeringslära och systemteori

    Författare :Martin Wass; [2020]
    Nyckelord :Collateral; collateral management; optimisation; mixed integer linear programming; collateral allocation; opportunity cost; triparty collateral management; counterparty risk; Säkerheter; säkerhetshantering; optimering; blandat-heltal linjär programmering; alternativkostnad; motpartsrisk; tripartykostnad;

    Sammanfattning : A mixed integer linear programming formulation is used to solve the problem of allocating assets from a bank to its counterparties as collateral within securities lending. The aim of the optimisation is to reduce the cost of allocated collateral, which is broken down into the components opportunity cost, counterparty risk cost and triparty cost. LÄS MER

  3. 2. Online intra-day portfolio optimization using regime based models

    Uppsats för yrkesexamina på avancerad nivå, Lunds universitet/Matematisk statistik

    Författare :Sara Hafström Fremlin; [2019]
    Nyckelord :Multi-period portfolio selection; Model predictive control; Hidden Markov model; Mathematics and Statistics;

    Sammanfattning : In this thesis model predictive control (MPC) is used to dynamically optimize a portfolio where the data is sampled every 5 minutes. Previous research has shown how MPC optimization applied to daily sampled financial data can generate a portfolio that exceeds the value of standard portfolio strategies such as Strategic asset allocation. LÄS MER

  4. 3. Measuring the impact of strategic and tactic allocation for managed futures portfolios

    Master-uppsats, KTH/Matematisk statistik

    Författare :Alva Engström; Filippa Frithz; [2019]
    Nyckelord :;

    Sammanfattning : The optimal asset allocation is an ever current matter for investment managers. This thesis aims to investigate the impact of risk parity and target volatility on the Sharpe ratio of a portfolio consisting of futures contracts on equity indices and bonds during the period 2000-2018. LÄS MER

  5. 4. Break Point Detection for Strategic Asset Allocation

    Master-uppsats, KTH/Matematisk statistik

    Författare :Erika Madebrink; [2019]
    Nyckelord :Strategic asset allocation; Bayesian; reversible jump; Markov chain Monte Carlo; regime switching;

    Sammanfattning : This paper focuses on how to improve strategic asset allocation in practice. Strategic asset allocation is perhaps the most fundamental issue in portfolio management and it has been thoroughly discussed in previous research. We take our starting point in the traditional work of Markowitz within portfolio optimization. LÄS MER

  7. 5. Return Predictability and Strategic Asset Allocation (A study examining return predictability on the Swedish market and strategic asset allocation of the Swedish buffer pension funds.)

    C-uppsats, Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

    Författare :Jakob Glasberg; Jonatan Blomstrand; [2018]
    Nyckelord :Return predictability; Strategic asset allocation; Pension fund;

    Sammanfattning : The purpose of this paper is to examine whether Swedish macro-economic variables can predict domestic excess stock and bond return. The paper examines what effects the short-term rate, maturity yield spread and dividend yield have on the aforementioned returns. LÄS MER