Avancerad sökning

Hittade 2 uppsatser som matchar ovanstående sökkriterier.

1. 1. 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

3. 2. Future Bank Wallet Size

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

   Författare :Negin Nayeri; Elisabeth Hakim; [2016]
   Nyckelord :;

   Sammanfattning : .... LÄS MER