Sökning: "Mean variance optimization"

Visar resultat 21 - 25 av 88 uppsatser innehållade orden Mean variance optimization.

  1. 21. 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

  3. 22. 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

  4. 23. Inversion of Markowitz Portfolio Optimization to Evaluate Risk

    Kandidat-uppsats, KTH/Skolan för elektroteknik och datavetenskap (EECS)

    Författare :Axel Persson; Ran Li; [2021]
    Nyckelord :Markowitz Portfolio Optimization; Efficient Frontier; Diversification; Asset allocation; Risk and Return; Inverse optimization; Inverse problems;

    Sammanfattning : This project investigates the applicability of the originalversion of Markowitz’s mean-variance model for portfoliooptimization to real-world modern actively managed portfolios.The method measures the mean-variance model’s capability toaccurately capture the riskiness of given portfolios, by invertingthe mathematical formulation of the model. LÄS MER

  5. 24. Evaluation of a Portfolio in Dow Jones Industrial Average Optimized by Mean-Variance Analysis

    Kandidat-uppsats, KTH/Matematisk statistik

    Författare :Alexander Strid; Daniel Liu; [2020]
    Nyckelord :applied mathematics; mean-variance analysis; modern portfolio theory; Markowitz; Dow Jones Industrial Average; quadratic optimization; portfolio optimization; tillämpad matematik; mean-variance analysis; modern portföljteori; Markowitz; Dow Jones Industrial Average; kvadratisk optimering; portföljoptimering;

    Sammanfattning : This thesis evaluates the mean-variance analysis framework by comparing the performance of an optimized portfolio consisting of stocks from the Dow Jones Industrial Average to the performance of the Dow Jones Industrial Average index itself. The results show that the optimized portfolio performs better than the corresponding index when evaluated on the period between 2015 and 2019. LÄS MER

  7. 25. An Empirical Study of Modern Portfolio Optimization

    Master-uppsats, KTH/Matematisk statistik

    Författare :Erik Lagerström; Michael Magne Schrab; [2020]
    Nyckelord :Mean variance optimization; portfolio theory; asset allocation strategies; equal risk contribution; most diversified portfolio; empirical study; backtesting; Mean variance-optimering; portföljteori; allokeringsstrategier; equal risk contribution; most diversified portfolio; empirisk studie; historisk simulering;

    Sammanfattning : Mean variance optimization has shortcomings making the strategy far from optimal from an investor’s perspective. The purpose of the study is to conduct an empirical investigation as to how modern methods of portfolio optimization address the shortcomings associated with mean variance optimization. LÄS MER