Sökning: "Modern Portfolio Theory MPT"
Visar resultat 1 - 5 av 13 uppsatser innehållade orden Modern Portfolio Theory MPT.
1. Sustainability Filtration and Optimization: A Stepwise Integration Approach
Master-uppsats, KTH/Matematik (Avd.)Sammanfattning : This thesis explores the integration of sustainability into Modern Portfolio Theory (MPT) optimization by introducing stepwise filtration and optimization. This study acknowledges the growing importance of sustainability in investment strategies and modifies the traditional MPT framework to include environmental, social, and governance (ESG) factors. LÄS MER
2. Portfolio Optimization Problems with Cardinality Constraints
Kandidat-uppsats, KTH/Skolan för teknikvetenskap (SCI)Sammanfattning : This thesis analyzes the mean variance optimization problem with respect to cardinalityconstraints. The aim of this thesis is to figure out how much of an impact transactionchanges has on the profit and risk of a portfolio. We solve the problem by implementingmixed integer programming (MIP) and solving the problem by using the Gurobi solver. LÄS MER
3. Spectral Portfolio Optimisation with LSTM Stock Price Prediction
Master-uppsats, KTH/Matematisk statistikSammanfattning : Nobel Prize-winning modern portfolio theory (MPT) has been considered to be one of the most important and influential economic theories within finance and investment management. MPT assumes investors to be riskaverse and uses the variance of asset returns as a proxy of risk to maximise the performance of a portfolio. LÄS MER
4. Assessing the Economic Value of Implied Volatility Estimates
D-uppsats, Handelshögskolan i Stockholm/Institutionen för finansiell ekonomiSammanfattning : This thesis studies the value of implied volatility estimates for portfolio allocation under the modern portfolio theory (MPT) framework introduced by Markowitz and compares the pricing performances of several common option pricing models. The thesis consists of two parts. LÄS MER
5. The Role of Gold in an Investment Portfolio : An empirical study on diversification benefits of gold from the perspective of Swedish investors
Uppsats för yrkesexamina på avancerad nivå, Umeå universitet/FöretagsekonomiSammanfattning : Human interaction with gold can be traced far back in history, and throughout history, the metal has been both worshipped and fought for. People almost intuitively place a high value on this yellow metal and gold has always had a special place in the human heart. LÄS MER