Sökning: "Minimum Variance Portfolio"

Visar resultat 1 - 5 av 48 uppsatser innehållade orden Minimum Variance Portfolio.

  1. 1. A Multi-Level Extension of the Hierarchical PCA Framework with Applications to Portfolio Construction with Futures Contracts

    Master-uppsats, KTH/Matematisk statistik

    Författare :Kajsa Bjelle; [2023]
    Nyckelord :Portfolio construction; asset allocation; principal component analysis; hierarchical principal component analysis; hierarchical shrinkage; eigenportfolio risk; Portföljkonstruktion; tillgångsallokering; principalkomponentanalys; hierarkisk principalkomponentanalys; hierarkisk krympning; egenportföljrisk;

    Sammanfattning : With an increasingly globalised market and growing asset universe, estimating the market covariance matrix becomes even more challenging. In recent years, there has been an extensive development of methods aimed at mitigating these issues. LÄS MER

  3. 2. Is reaching for the whisky bottle justified? Examining the value of whisky and its inclusion in the optimal portfolio

    Kandidat-uppsats, Lunds universitet/Nationalekonomiska institutionen

    Författare :Gustaf Lugnegård; Hugo Freij; [2023]
    Nyckelord :Whisky; hedonic regression; convenience yield; portfolio theory; Business and Economics;

    Sammanfattning : This study aims to evaluate whisky as an investment through two research questions: “What affects the value of whisky?” and “Should whisky be included in the optimal portfolio?”. The value of whisky is examined by constructing a hedonic regression using five hedonic attributes. Also, the convenience yield associated with whisky is examined. LÄS MER

  4. 3. Portfolio Optimization: The search for an optimal portfolio with cryptocurrencies and S&P 500

    Kandidat-uppsats,

    Författare :Anton Rapp; Henrik Thorwaldsson; [2022-07-11]
    Nyckelord :Portfolio optimization; Miniumum variance portfolio; Capital allocation line; Cryptocurrency; Diversification;

    Sammanfattning : This thesis’ aim is to create an optimal portfolio consisting of Bitcoin, Ethereum and S&P 500. We also examine the minimum variance portfolio with the framework of Markowitz's mean variance optimization model. LÄS MER

  5. 4. Portfolio Performance Analysis: Combining Cryptocurrencies with Traditional Assets

    Master-uppsats, Göteborgs universitet/Graduate School

    Författare :Mihail Huzun; [2022-06-29]
    Nyckelord :Cryptocurrencies; Bitcoin; Ethereum; Ripple; Litecoin; Portfolio Strategies; Diversification Benefits; Markowitz;

    Sammanfattning : 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

  7. 5. The benefits of optimized portfolios- An empirical comparison between optimized portfolios and benchmarks

    Master-uppsats, Göteborgs universitet/Graduate School

    Författare :John Nestenborg; Simon Petersson; [2022-06-29]
    Nyckelord :Optimized portfolios; Global Minimum Variance; GMV; Equal Risk Contribution; ERC; Naive portfolio; Market-Capitalization portfolio; Comparison between portfolio weighting schemes;

    Sammanfattning : Uncertainty about the future is an everlasting part of investing. This study aims at testing the historical performance out-of-sample for optimized portfolios and if the performance was superior to benchmarks. 11 different portfolios are compared to two different benchmarks; the naive- and market-capitalized portfolio. LÄS MER