Sökning: "Multi-period portfolio optimization"

Hittade 2 uppsatser innehållade orden Multi-period portfolio optimization.

1. 1. Online intra-day portfolio optimization using regime based models

   Uppsats för yrkesexamina på avancerad nivå, Lunds universitet/Matematisk statistik

   Författare :Sara Hafström Fremlin; [2019]
   Nyckelord :Multi-period portfolio selection; Model predictive control; Hidden Markov model; Mathematics and Statistics;

   Sammanfattning : In this thesis model predictive control (MPC) is used to dynamically optimize a portfolio where the data is sampled every 5 minutes. Previous research has shown how MPC optimization applied to daily sampled financial data can generate a portfolio that exceeds the value of standard portfolio strategies such as Strategic asset allocation. LÄS MER

3. 2. Multi-period portfolio optimization given a priori information on signal dynamics and transactions costs

   Master-uppsats, KTH/Optimeringslära och systemteori

   Författare :Jedra Yassir; [2018]
   Nyckelord :Multi-period portfolio optimization; portfolio selection; mean-variance optimization; return predictability; mean reverting processes; transactions costs; market impacts; stochastic optimal control.;

   Sammanfattning : Multi-period portfolio optimization (MPO) has gained a lot of interest in modern portfolio theory due to its consideration for inter-temporal trading e effects, especially market impacts and transactions costs, and for its subtle reliability on return predictability. However, because of the heavy computational demand, portfolio policies based on this approach have been sparsely explored. LÄS MER