Sökning: "Mean variance-optimering"
Hittade 2 uppsatser innehållade orden Mean variance-optimering.
1. An Empirical Study of Modern Portfolio Optimization
Master-uppsats, KTH/Matematisk statistikSammanfattning : 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
2. Asset and Liability Management: Optimization using Least-Squares Monte Carlo
Master-uppsats, Lunds universitet/Matematisk statistikSammanfattning : This thesis aims to examine an efficient asset and liability management method under Solvency II regulations, and to find an optimization framework that takes complex interactions between assets and liabilities into account. The investigated approach consists of a least-squares Monte Carlo method, where least-squares regression is used to obtain a proxy function for future net asset values. LÄS MER