Sökning: "Markowitz 2.0"

Hittade 2 uppsatser innehållade orden Markowitz 2.0.

  1. 1. How to Get Rich by Fund of Funds Investment - An Optimization Method for Decision Making

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

    Författare :Sabina Colakovic; [2022]
    Nyckelord :Modern Portfolio Theory; Markowitz Model; Mean-Variance Optimization; Valueat-Risk; Conditional Value-at-Risk; Geometric Mean Return; Efficient Frontier; Portfolio Optimization; Markowitz 2.0;

    Sammanfattning : Optimal portfolios have historically been computed using standard deviation as a risk measure.However, extreme market events have become the rule rather than the exception. To capturetail risk, investors have started to look for alternative risk measures such as Value-at-Risk andConditional Value-at-Risk. LÄS MER

  3. 2. The Mathematical Formulation and Practical Implementation of Markowitz 2.0

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

    Författare :Erick Momanyi; [2017]
    Nyckelord :;

    Sammanfattning : Standard Deviation is a commonly used risk measures in risk management and portfolio optimization. Optimal portfolios have normally been computed using standard deviation as the measure of choice for risk. LÄS MER