Sökning: "optimering av portfölj"

Visar resultat 1 - 5 av 18 uppsatser innehållade orden optimering av portfölj.

  1. 1. Robust Portfolio Optimization with Correlation Penalties

    Master-uppsats, KTH/Matematisk statistik

    Författare :Pelle Nydahl; [2023]
    Nyckelord :Portfolio Optimization; Portfolio Allocation; Robust Optimization; Correlation; Risk Factor Model; EMA Filtering; Weighted Linear Regression; Portföljoptimering; Portföljallokering; Robust optimering; Korrelation; Riskfaktor-modell; EMA-filtrering; Viktad linjär regression;

    Sammanfattning : Robust portfolio optimization models attempt to address the standard optimization method's high sensitivity to noise in the parameter estimates, by taking an investor's uncertainty about the estimates into account when finding an optimal portfolio. In this thesis, we study robust variations of an extension of the mean-variance problem, where an additional term penalizing the portfolio's correlation with an exogenous return sequence is included in the objective. LÄS MER

  3. 2. Sustainability Filtration and Optimization: A Stepwise Integration Approach

    Master-uppsats, KTH/Matematik (Avd.)

    Författare :Soroosh Jalaei; [2023]
    Nyckelord :Sustainability; Modern Portfolio Theory; Optimization; Sequential Quadratic Programming; Optimal ESG Portfolio.; Hållbarhet; Modern portföljteori; Optimering; Sequential Quadratic Programming; Optimal ESG-portfölj.;

    Sammanfattning : This thesis explores the integration of sustainability into Modern Portfolio Theory (MPT) optimization by introducing stepwise filtration and optimization. This study acknowledges the growing importance of sustainability in investment strategies and modifies the traditional MPT framework to include environmental, social, and governance (ESG) factors. LÄS MER

  4. 3. Estimating Believed Knowledge of Portfolio Agents Using Inverse Optimization

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

    Författare :Gustaf Zachrisson; Oscar Wink; [2022]
    Nyckelord :;

    Sammanfattning : In this report, we demonstrate the utility of inverse optimization in convex programming by applying it on estimating financial market beliefs and behaviors of portfolio investors. The inversion of the optimization  utilized the Karush–Kuhn–Tucker optimality conditions specified for the current situation. LÄS MER

  5. 4. Evaluation of portfolio optimization methods on decentralized assets and hybridized portfolios

    Master-uppsats, KTH/Matematik (Avd.)

    Författare :Reza Salam Dalfi; Noel Mattar; [2022]
    Nyckelord :Traditional assets; DeFi; Cryptocurrencies; CVAR; FLPM; MSV; Portfolio; Optimization; Risk measurements; Traditionella tillgångar; DeFi; Cryptocurrencies; CVAR; FLPM; MSV; Portfölj optimering; Riskmått;

    Sammanfattning : The market for decentralised financial instruments, more commonly known as cryptocurrencies, has gained momentum over the past recent years and the application areas are many. Modern portfolio theory has for years demonstrated its applicability to traditional assets, such as equities and other instruments, but to some extent omitted the application of mathematical portfolio theory with respect for cryptocurrencies. LÄS MER

  7. 5. Optimization of Collateral Allocation for Corporate Loans : A nonlinear network problem minimizing the expected loss in case of default

    Master-uppsats, KTH/Matematik (Avd.)

    Författare :Sofia Grägg; Paula Isacson; [2022]
    Nyckelord :Nonlinear optimization; network problem; transportation problem; Markowitz; credit risk; Loss Given Default; Loan to Value; collateral management; many-to-many relations; modern portfolio theory; expected loss; risk management; optimization; allocation; portfolio; modeling; Icke-linjär optimering; nätverksproblem; transportproblem; Markowitz; kreditrisk; förlust givet fallisemang; belåningsgrad; säkerhetshantering; många-till-många relationer; modern portföljteori; förväntad förlust; riskhantering; optimering; allokering; portfölj; modellering.;

    Sammanfattning : Collateral management has become an increasingly valuable aspect of credit risk. Managing collaterals and constructing accurate models for decision making can give any lender a competitive advantage and decrease overall risks. LÄS MER