Sökning: "Naive Diversification"

Visar resultat 1 - 5 av 6 uppsatser innehållade orden Naive Diversification.

  1. 1. Portfolio Optimization – Bitcoin & Downside Risk

    Kandidat-uppsats, Lunds universitet/Nationalekonomiska institutionen

    Författare :Vilgot Kraft; [2022]
    Nyckelord :Bitcoin; Portfolio Optimization; Conditional Value-at-Risk; Sharpe Ratio; Downside Risk; Business and Economics;

    Sammanfattning : The purpose of this paper is to analyze how the inclusion of cryptocurrency, specifically Bitcoin, affects downside risk in a diversified portfolio. The analysis utilizes a number of performance measures and combines Modern Portfolio Theory with a Post-Modern Portfolio Theory optimization in order to evaluate different portfolios. LÄS MER

  3. 2. A Neural Network Approach for Generating Investors’ Views in the Black-Litterman Model

    Master-uppsats, KTH/Matematik (Avd.)

    Författare :Rafael Lavatt; [2022]
    Nyckelord :Black-Litterman; Neural Networks; Portfolio Optimization; Black-Litterman; Neurala nätverk; portföljoptimering;

    Sammanfattning : This thesis investigates how neural networks can be used to produce investors' views for the Black-Litterman market model. The study uses two data sets, one with global stock market indexes and one with stock market data from the S&P 500. LÄS MER

  4. 3. Evaluating Private Equity Returns from the Investor Perspective - are Limited Partners Getting Carried Away?

    D-uppsats, Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

    Författare :Julia Hederstierna; Richard Sabrie; [2017]
    Nyckelord :Private Equity; Performance; PME; Public Markets; Direct Alpha;

    Sammanfattning : In this study, we evaluate the performance of close to 900 buyout and venture capital funds from 1979 to 2008. Returns are measured using traditional performance measures, the internal rate of return and the investment multiple, as well as four different Public Market Equivalent measures, which compares private equity fund returns to the returns of corresponding investments in a publicly traded index. LÄS MER

  5. 4. Bigger Beta is not always Better: A Study of Low-Beta Strategies

    D-uppsats, Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

    Författare :Julius Philipp Röder; Cherdwong Pongjindathip; [2015]
    Nyckelord :BAB; Low-Beta Anomaly; Index Investing; Country vs. Industry; Naive Strategy;

    Sammanfattning : This paper tests to what extent it is possible by an individual investor to implement a low-beta strategy, using 78 MSCI indices of countries and industries with a naive diversification (equal-weighting). Five different strategies with three rebalancing windows are built, implementing a simple ranking method. LÄS MER

  7. 5. Optimal Linear Combinations of Portfolios Subject to Estimation Risk

    Master-uppsats, Mälardalens högskola/Akademin för utbildning, kultur och kommunikation

    Författare :Robin Jonsson; [2015]
    Nyckelord :Markowitz; Portfolio Optimization; Diversification; Convex Optimums; Linear Combinations; Estimation Risk; Parameter Uncertainty; Global Minimum Variance; Mean-Variance Analysis; Naive Diversification; Modern Portfolio Theory; Allocation; Shrinkage; Covariance Estimation;

    Sammanfattning : The combination of two or more portfolio rules is theoretically convex in return-risk space, which provides for a new class of portfolio rules that gives purpose to the Mean-Variance framework out-of-sample. The author investigates the performance loss from estimation risk between the unconstrained Mean-Variance portfolio and the out-of-sample Global Minimum Variance portfolio. LÄS MER