Sökning: "Markowitz theory"

Visar resultat 1 - 5 av 56 uppsatser innehållade orden Markowitz theory.

  1. 1. Stochastic Portfolio Optimization

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

    Författare :Alexander Tedestedt; Tobias Eriksson; [2023]
    Nyckelord :stochastic; portfolio; optimization;

    Sammanfattning : The main purpose for an aggressive investor is to maximize the return in theinvestments. But in order to do so the risk should be taken into consideration.In this thesis, we utilize Markowitz portfolio theory, one of the standard modelsfor maximizing return while considering risk. LÄS MER

  3. 2. Portfolio Optimization Problems with Transaction Costs

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

    Författare :Stina Gustavsson; Linnéa Gyllberg; [2023]
    Nyckelord :Portfolio optimization; variable transaction costs; fixed transaction costs;

    Sammanfattning : Portfolio theory is a cornerstone of modern finance, and it is based on the idea that an investor can reduce risk by diversifying their investments across various assets. In practice, Harry Markowitz mean-variance optimization theory is expanded upon by taking into account variable and fixed transaction cost, making the model slightly more reliable. LÄS MER

  4. 3. Dynamic Covariance Modelling Using Generalised Wishart Processes

    Master-uppsats, Lunds universitet/Matematisk statistik

    Författare :Fredrik Nilsson; [2023]
    Nyckelord :Covariance matrix; generalised Wishart process; Bayesian inference; Markov chain Monte Carlo; Hamiltonian Monte Carlo; Mathematics and Statistics;

    Sammanfattning : Modern portfolio theory was pioneered by Markowitz who formulated the mean-variance problem, without which any discussion on quantitative approaches to portfolio selection would be incomplete. The framework boils down to finding the expected return $\mu$ and covariance $\Sigma$, after which the solution is proportional to $\Sigma^{-1}\mu$. LÄS MER

  5. 4. 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

  7. 5. Cryptocurrencies and Market Indices: A Markowitz Portfolio Optimization Problem

    Kandidat-uppsats, Lunds universitet/Nationalekonomiska institutionen

    Författare :Espen Lever; [2022]
    Nyckelord :Cryptocurrency; Bitcoin; Ethereum; Sharpe ratio; Market index; Business and Economics;

    Sammanfattning : This thesis will explore the role of cryptocurrencies in a market index portfolio. The portfolios of a mix of Bitcoin, Ether and the market indices S&P 500, OMXS30 and VTI will be examined and optimized to maximize the Sharpe ratio. LÄS MER