Sökning: "Modern portfolio theory"

Visar resultat 1 - 5 av 120 uppsatser innehållade orden Modern portfolio theory.

1. 1. Beyond the Crisis: A Safe Haven Analysis : Empirical Insights into the Divergence of Gold and Bonds for Portfolio Hedging

   Kandidat-uppsats, Umeå universitet/Företagsekonomi

   Författare :Anthony Baugi; Eugene Zhang; [2024]
   Nyckelord :Gold; Bonds; Safe Haven; Hedging; US Treasury; Volatility; Covid; Portfolio Theory; Asset Dynamics; Fiscal Policy; Monetary Policy; Financial Crisis; Asset Management; Risk Management; Portfolio Risk;

   Sammanfattning : Purpose: This thesis investigates the relationship concerning traditional safe haven assets, gold and US 10-year treasury bonds during periods of market instability, specifically during the economic concerns raised by the COVID-19 pandemic. It assesses the hedging and safe haven properties of these assets and their dynamic nature throughout two periods of unconventional monetary and fiscal policy measures by the Federal Reserve & US Congress respectively. LÄS MER

3. 2. ESG Balancing the Books and the Planet: A Quantitative Analysis of Risk-Adjusted Returns in ESG and Traditional Funds

   Kandidat-uppsats, Göteborgs universitet/Institutionen för nationalekonomi med statistik

   Författare :Benjamin Javidi; Malin Larsson; [2023-08-25]
   Nyckelord :Capital Asset Pricing Model CAPM ; Fama-French three-factor model; ESG; Sharpe ratio; OLS Regression Analysis; Modern Portfolio Theory;

   Sammanfattning : The demand for sustainable investment has increased in the last decade. “Environmental, Social and Governance” (ESG) are characteristics within sustainable investment and are commonly considered in private investing. LÄS MER

4. 3. Sustainability Filtration and Optimization: A Stepwise Integration Approach

   Master-uppsats, KTH/Matematik (Avd.)

   Författare :Soroosh Jalaei; [2023]
   Nyckelord :Sustainability; Modern Portfolio Theory; Optimization; Sequential Quadratic Programming; Optimal ESG Portfolio.; Hållbarhet; Modern portföljteori; Optimering; Sequential Quadratic Programming; Optimal ESG-portfölj.;

   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

5. 4. Portfolio Optimization Problems with Cardinality Constraints

   Kandidat-uppsats, KTH/Skolan för teknikvetenskap (SCI)

   Författare :Abolgasem Esmaeily; Felix Loge; [2023]
   Nyckelord :Portfolio Optimization; Modern Portfolio Theory MPT • Mixed Integer Programming MIP ; Efficient Frontier; Cardinality Constraints; Daily Returns; Expected Returns; Asset Allocation; Diversification;

   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

7. 5. Macroeconomic Factors and their role in Moderating Diversification effect of Asset Classes in the EU

   Master-uppsats, Umeå universitet/Företagsekonomi

   Författare :Karl Nilsson; Tanyue Zheng; [2023]
   Nyckelord :macroeconomic factors; asset classes; diversification strategies; portfolio management; institutional qualities;

   Sammanfattning : After the 2008 financial crisis, some have questioned the historically positive benefits ofdiversification, meanwhile others have stated a clear misunderstanding of whatdiversification entails. This study argues diversification is still viable in portfolio theory,and that more effort should be emphasized on macroeconomic factors’ role in theoptimal portfolio. LÄS MER