Sökning: "Global Minimum Risk Portfolio"

Visar resultat 1 - 5 av 6 uppsatser innehållade orden Global Minimum Risk Portfolio.

  1. 1. The benefits of optimized portfolios- An empirical comparison between optimized portfolios and benchmarks

    Master-uppsats, Göteborgs universitet/Graduate School

    Författare :John Nestenborg; Simon Petersson; [2022-06-29]
    Nyckelord :Optimized portfolios; Global Minimum Variance; GMV; Equal Risk Contribution; ERC; Naive portfolio; Market-Capitalization portfolio; Comparison between portfolio weighting schemes;

    Sammanfattning : Uncertainty about the future is an everlasting part of investing. This study aims at testing the historical performance out-of-sample for optimized portfolios and if the performance was superior to benchmarks. 11 different portfolios are compared to two different benchmarks; the naive- and market-capitalized portfolio. LÄS MER

  3. 2. Allocation of Alternative Investments in Portfolio Management. : A Quantitative Study Considering Investors' Liquidity Preferences

    Master-uppsats, KTH/Matematik (Avd.)

    Författare :Kamyar Espahbodi; Roumi Roumi; [2021]
    Nyckelord :Shadow Allocations; Liquidity; Illiquidity; Alternative Assets; Liquid Assets; Illiquid Assets; Investor Preferences; Monte Carlo Simulations; Tangency Portfolio; Global Minimum Risk Portfolio; Skuggallokeringar; Likviditet; Illikviditet; Alternativa Tillgångar; Likvida Tillgångar; Illikvida Tillgångar; Investerarpreferenser; Monte Carlo-Simuleringar; Tangentportföljen; Minimiriskportföljen;

    Sammanfattning : Despite the fact that illiquid assets pose several difficulties regarding portfolio allocation problems for investors, more investors are increasing their allocation towards them. Alternative assets are characterized as being harder to value and trade because of their illiquidity which raises the question of how they should be managed from an allocation optimization perspective. LÄS MER

  4. 3. Bitcoins roll i en Investeringsportfölj : A Mean-Variance Analysis of the Diversification Benefits

    Kandidat-uppsats, Linnéuniversitetet/Institutionen för ekonomistyrning och logistik (ELO)

    Författare :Vidar Nyqvist; Mario Milic; [2021]
    Nyckelord :Cryptocurrency; Bitcoin; Gold; Portfolio optimization; Mean-Variance; Sharpe ratio; Diversification; Kryptovaluta; Bitcoin; Guld; Portföljoptimering; Mean-Variance; Sharpekvot; Diversifiering;

    Sammanfattning : The aim of this thesis is to explore the role of bitcoin in an investment portfolio. The paper examines the nature of bitcoin and additionally how bitcoin compares to gold when included in an investment portfolio. LÄS MER

  5. 4. Portfolio Optimization : A DCC-GARCH forecast with implied volatility

    Magister-uppsats, Linnéuniversitetet/Institutionen för ekonomistyrning och logistik (ELO)

    Författare :Sam Bigdeli; Filip Bengtsson; [2019]
    Nyckelord :DCC-GARCH; Portfolio Optimization; Certainty Equivalence Tangency; CET; Global Minimum Variance; GMV; Minimum Conditional Value-at-Risk; MinCVaR; Implied volatility index; VIX;

    Sammanfattning : This thesis performs portfolio optimization using three allocation methods, Certainty Equivalence Tangency (CET), Global Minimum Variance (GMV) and Minimum Conditional Value-at-Risk (MinCVaR). We estimate expected returns and covariance matrices based on 7 stock market indices with a DCC-GARCH model including an ARMA (1. LÄS MER

  7. 5. Optimal Linear Combinations of Portfolios Subject to Estimation Risk

    Master-uppsats, Mälardalens högskola/Akademin för utbildning, kultur och kommunikation

    Författare :Robin Jonsson; [2015]
    Nyckelord :Markowitz; Portfolio Optimization; Diversification; Convex Optimums; Linear Combinations; Estimation Risk; Parameter Uncertainty; Global Minimum Variance; Mean-Variance Analysis; Naive Diversification; Modern Portfolio Theory; Allocation; Shrinkage; Covariance Estimation;

    Sammanfattning : The combination of two or more portfolio rules is theoretically convex in return-risk space, which provides for a new class of portfolio rules that gives purpose to the Mean-Variance framework out-of-sample. The author investigates the performance loss from estimation risk between the unconstrained Mean-Variance portfolio and the out-of-sample Global Minimum Variance portfolio. LÄS MER