Sökning: "Portföljoptimering"

Visar resultat 16 - 20 av 52 uppsatser innehållade ordet Portföljoptimering.

1. 16. Deep Learning for Dynamic Portfolio Optimization

   Master-uppsats, KTH/Matematisk statistik

   Författare :Victor Molnö; [2021]
   Nyckelord :Dynamic portfolio optimization; No-trade-region; Deep learning; Policy iteration; Dynamisk portföljoptimering; Handelsstoppregion; Djupinlärning; Policyiterering;

   Sammanfattning : This thesis considers a deep learning approach to a dynamic portfolio optimization problem. A proposed deep learning algorithm is tested on a simplified version of the problem with promising results, which suggest continued testing of the algorithm, on a larger scale for the original problem. LÄS MER

3. 17. Evaluation of a Portfolio in Dow Jones Industrial Average Optimized by Mean-Variance Analysis

   Kandidat-uppsats, KTH/Matematisk statistik

   Författare :Alexander Strid; Daniel Liu; [2020]
   Nyckelord :applied mathematics; mean-variance analysis; modern portfolio theory; Markowitz; Dow Jones Industrial Average; quadratic optimization; portfolio optimization; tillämpad matematik; mean-variance analysis; modern portföljteori; Markowitz; Dow Jones Industrial Average; kvadratisk optimering; portföljoptimering;

   Sammanfattning : This thesis evaluates the mean-variance analysis framework by comparing the performance of an optimized portfolio consisting of stocks from the Dow Jones Industrial Average to the performance of the Dow Jones Industrial Average index itself. The results show that the optimized portfolio performs better than the corresponding index when evaluated on the period between 2015 and 2019. LÄS MER

4. 18. An Empirical Study of Modern Portfolio Optimization

   Master-uppsats, KTH/Matematisk statistik

   Författare :Erik Lagerström; Michael Magne Schrab; [2020]
   Nyckelord :Mean variance optimization; portfolio theory; asset allocation strategies; equal risk contribution; most diversified portfolio; empirical study; backtesting; Mean variance-optimering; portföljteori; allokeringsstrategier; equal risk contribution; most diversified portfolio; empirisk studie; historisk simulering;

   Sammanfattning : Mean variance optimization has shortcomings making the strategy far from optimal from an investor’s perspective. The purpose of the study is to conduct an empirical investigation as to how modern methods of portfolio optimization address the shortcomings associated with mean variance optimization. LÄS MER

5. 19. Spectral Portfolio Optimisation with LSTM Stock Price Prediction

   Master-uppsats, KTH/Matematisk statistik

   Författare :Nancy Wang; [2020]
   Nyckelord :Artificial Neural Network; LSTM; Spectral factor model; Portfolio optimisation; Stock price prediction; Time series analysis; Risk estimation; Spectral risk; Frequency-specific beta decomposition; Artificiella neurala nätverk; LSTM; Spektralfaktormodell; Portföljoptimering; Aktieprispredikering; Tidsserieranalys; Riskestimering; Spektra risk; Frekvensspecifik beta dekomposition;

   Sammanfattning : 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

7. 20. Private Equity Portfolio Management and Positive Alphas

   Kandidat-uppsats, KTH/Matematisk statistik

   Författare :Rikard Franksson; [2020]
   Nyckelord :Nordic private equity performance; private equity valuation; CAPM; portfolio optimization; multivariate linear regression; quadratic optimization; Nordiskt privatkapitals prestation; värdering av privatkapital; CAPM; portföljoptimering; multipel linjär regression; kvadratisk optimering;

   Sammanfattning : This project aims to analyze Nordic companies active in the sector of Information and Communications Technology (ICT), and does this in two parts. Part I entails analyzing public companies to construct a valuation model aimed at predicting the enterprise value of private companies. LÄS MER