Sökning: "multi-asset portfolios"

Hittade 5 uppsatser innehållade orden multi-asset portfolios.

  1. 1. Modelling Risk in Real-Life Multi-Asset Portfolios

    Master-uppsats, KTH/Matematik (Avd.)

    Författare :Karin Hahn; Axel Backlund; [2023]
    Nyckelord :Risk modelling; multi-asset portfolios; risk factor models; time series analysis; regression; Riskmodellering; finansiella portföljer; riskfaktormodeller; tidsserieanalys; regression;

    Sammanfattning : We develop a risk factor model based on data from a large number of portfolios spanning multiple asset classes. The risk factors are selected based on economic theory through an analysis of the asset holdings, as well as statistical tests. LÄS MER

  3. 2. Fixed Income Securities as a Hedge against Equity Market Downside

    Kandidat-uppsats, Lunds universitet/Nationalekonomiska institutionen

    Författare :Timmie Bengtsson; [2022]
    Nyckelord :Fixed Income; Financial Markets; Hedge; Portfolio; Downside Risk; Value-at-Risk; Expected Shortfall; Extreme Value Theory; Kernel Density Estimation; Business and Economics;

    Sammanfattning : Investors are constantly searching for ways to protect their wealth, ideally without losing out on long-term returns. To achieve this, some investors choose to diversify their equity portfolios with fixed income assets, believing they can protect their portfolios from drawdowns. LÄS MER

  4. 3. The Black-Litterman Asset Allocation Model - An Empirical Analysis of Its Practical Use

    Master-uppsats, KTH/Matematik (Avd.)

    Författare :Hampus Ernstsson; Max Börjes Liljesvan; [2021]
    Nyckelord :Black-Litterman model; asset allocation; portfolio optimization; investor views; portfolio management; Black-Litterman model; tillgångsallokering; portföljoptimering; investerarens förväntade avkastningar; portföljförvaltning;

    Sammanfattning : Modern portfolio theory has its attractive characteristics of promoting diversification in a portfolio and can be seen as an easy alternative for setting optimal weights for portfolio managers. Furthermore, as portfolio managers try to beat a defined benchmark for their portfolio the Black-Litterman model allows them to include their own prospects on the future return of markets and securities. LÄS MER

  5. 4. Quantitative Portfolio Construction Using Stochastic Programming

    Master-uppsats, KTH/Matematisk statistik

    Författare :Aidin Ashant; Elisabeth Hakim; [2018]
    Nyckelord :Asset Allocation; Dynamic Portfolio Construction; Stochastic Programming; Scenario Generation; Multivariate GARCH; DCC-GARCH; Copula-GARCH; Transaction Costs; Mean-Absolute Deviation; Risk Parity; Mean-Variance; Tillgångsallokering; Dynamisk Portfölj Konstruktion; Stokastisk Programmering; Scenario Generation; Multivariat GARCH; DCC-GARCH; Copula- GARCH; Transaktionskostnader; Mean-Absolute Deviation; Risk Parity; Mean-Variance;

    Sammanfattning : In this study within quantitative portfolio optimization, stochastic programming is investigated as an investment decision tool. This research takes the direction of scenario based Mean-Absolute Deviation and is compared with the traditional Mean-Variance model and widely used Risk Parity portfolio. LÄS MER

  7. 5. Modelling of Private Infrastructure Debt in a Risk  Factor Model

    Master-uppsats, KTH/Matematisk statistik

    Författare :Martina Bartold; [2017]
    Nyckelord :Private Infrastructure Debt; Value at Risk; Factor Models; Revenue Model Risk; Stand-Alone Risk; Risk Contribution; Privat Infrastrukturskuld; Value at Risk; Faktormodeller; Intäktsmodeller; Stand-Alone Risk; Risk Contribution;

    Sammanfattning : Allocation to private infrastructure debt investments has increased in the recent years [15]. For managers of multi-asset portfolios, it is important to be able to assess the risk of the total portfolio and the contribution to risk of the various holdings in the portfolio. LÄS MER