Sökning: "Optimal Portfolio"

Visar resultat 11 - 15 av 190 uppsatser innehållade orden Optimal Portfolio.

1. 11. Merton's Portfolio Problem under Grezelak-Oosterlee-Van Veeren Model

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

   Författare :Tara Romsäter; [2023]
   Nyckelord :Merton s Optimal Investment-Consumption Problem; Dynamic Programming; Hamilton-Jacobi-Bellman equation; Stochastic Volatility Model.;

   Sammanfattning : Merton’s Optimal Investment-Consumption Problem is a classic optimization problem in finance. It aims to find the optimal controls for a portfolio with both risky and risk-less assets, inorder to maximize an investor’s utility function. LÄS MER

3. 12. Optimal Portfolio Allocation in the Middle East Real Estate Market: A Comparative Study of the UAE and Qatar : Why could UAE or Qatar be an opportunity for European businesses and portfolio investors in the Middle East?

   Kandidat-uppsats, Linnéuniversitetet/Institutionen för marknadsföring och turismvetenskap (MTS)

   Författare :Ayman Bazerbashi; Erik Nguyen; [2023]
   Nyckelord :Real estate market; UAE; Qatar; European investment; Market conditions; Cultural understanding; Geopolitical risks; Investment strategies;

   Sammanfattning : This research compares the real estate markets of the United Arab Emirates (UAE) and Qatar, focusing on opportunities and challenges for European businesses and portfolio investors. The study integrates theoretical frameworks, empirical findings from interviews, and analysis of official reports. LÄS MER

4. 13. Economic Capital Models : Methods for fitting loss distributions

   Uppsats för yrkesexamina på avancerad nivå, Umeå universitet/Institutionen för matematik och matematisk statistik

   Författare :William Fritzell; [2023]
   Nyckelord :Economic Capital; Distribution fitting; MCMC;

   Sammanfattning : The thesis provides a well-researched classical approach to fit and predict the losses (extreme) for Lloyds Bank’s Dutch mortgage portfolio, their defaulted Dutch mortgage portfolio, and their German personal and car loan portfolio. This is a crucial piece for quantification of the economic loss, required for effective credit risk management by the Bank. LÄS MER

5. 14. Optimal Portfolio Re-Balancing on Fixed Periods using a Cost/Risk Adaptation Model and Stochastic Optimization.

   Master-uppsats, Linköpings universitet/Produktionsekonomi

   Författare :Max Ehn; Marcus Jämte; [2023]
   Nyckelord :Optimal portfolio re-balancing; optimal liquidation; minimize transaction costs; trading-volume estimation; stochastic optimization; Financial mathematics; tracking error; execution strategies; opportunity costs; liquidation costs; applied mathematics; PRIIP regulation; Swing-pricing;

   Sammanfattning : In this thesis we investigate the problem of portfolio re-balancing for fixed periods using a cost/risk adaptation model and stochastic optimization. The cost/risk adaptation model takes theory of optimal liquidity costs and risk preference to build a universe in which we try to find better strategies than conventional ones. LÄS MER

7. 15. LSTM-based Directional Stock Price Forecasting for Intraday Quantitative Trading

   Kandidat-uppsats, KTH/Skolan för elektroteknik och datavetenskap (EECS)

   Författare :Isabella Mustén Ross; [2023]
   Nyckelord :Deep Learning; Long-Short-Term-Memory LSTM ; ARIMA; Financial Time Series Forecasting; Algorithmic Trading; Intraday Trading; Stock Prediction; Djupinlärning; LSTM; ARIMA; finansiella tidsserier; algoritmisk aktiehandel; intradagshandel; aktieprediktion;

   Sammanfattning : Deep learning techniques have exhibited remarkable capabilities in capturing nonlinear patterns and dependencies in time series data. Therefore, this study investigates the application of the Long-Short-Term-Memory (LSTM) algorithm for stock price prediction in intraday quantitative trading using Swedish stocks in the OMXS30 index from February 28, 2013, to March 1, 2023. LÄS MER