Sökning: "Markowitz weights"
Visar resultat 1 - 5 av 9 uppsatser innehållade orden Markowitz weights.
1. Portfolio Strategies Under Different Inflationary Regimes
Master-uppsats, KTH/Matematik (Avd.)Sammanfattning : In 2023, the topic of ongoing inflation is being discussed almost daily as it has become inevitable. The global economy is facing significant uncertainty and downward pressure as several leading developed nations adopted expansionary fiscal policies and quantitative easing monetary policies during the pandemic. LÄS MER
2. A Quantitative Framework for Constructing a Multi-Asset CTA with a Momentum-Based Approach
Uppsats för yrkesexamina på avancerad nivå, Uppsala universitet/DatalogiSammanfattning : Commodity Trading Advisors (CTAs) have gained popularity due to their abilities to generate an absolute return strategy. Little is known about how CTAs work and what variables are important to tune in order to create a profitable strategy. LÄS MER
3. Portfolio Performance Analysis: Combining Cryptocurrencies with Traditional Assets
Master-uppsats, Göteborgs universitet/Graduate SchoolSammanfattning : This paper investigates the role of cryptocurrencies in enhancing the performance of portfolios constructed with traditional assets. Therefore, my thesis wants to ascertain if investors should consider adding cryptocurrencies to their investment portfolios. The sample period covers almost seven years of daily data. LÄS MER
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 kommunikationSammanfattning : 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
5. Simulation-Based Portfolio Optimization with Coherent Distortion Risk Measures
Master-uppsats, KTH/Matematisk statistikSammanfattning : This master's thesis studies portfolio optimization using linear programming algorithms. The contribution of this thesis is an extension of the convex framework for portfolio optimization with Conditional Value-at-Risk, introduced by Rockafeller and Uryasev. LÄS MER