Sökning: "Portföljoptimering"

Visar resultat 21 - 25 av 52 uppsatser innehållade ordet Portföljoptimering.

1. 21. Debt Portfolio Optimization at the Swedish National Debt Office: : A Monte Carlo Simulation Model

   Kandidat-uppsats, KTH/Matematisk statistik

   Författare :Felix Greberg; [2020]
   Nyckelord :Public Debt Management; Financial Mathematics; Portfolio Optimization; Ornstein–Uhlenbeck; Vector Autoregression; Term Structure Evolution; Nelson-Siegel; R; Monte Carlo simulation; Skuldförvaltning; Finansiell matematik; Portföljoptimering; Ornstein–Uhlenbeck; Vector autoregression; Ränteutvecklingsmodeller; Nelson-Siegel; R; Monte Carlo-simulering;

   Sammanfattning : It can be difficult for a sovereign debt manager to see the implications on expected costs and risk of a specific debt management strategy, a simulation model can therefore be a valuable tool. This study investigates how future economic data such as yield curves, foreign exchange rates and CPI can be simulated and how a portfolio optimization model can be used for a sovereign debt office that mainly uses financial derivatives to alter its strategy. LÄS MER

3. 22. Portfolio Optimization: An Evaluation of the Downside Risk Framework on the Nordic Equity Markets

   Kandidat-uppsats, KTH/Matematisk statistik

   Författare :Fabian Pettersson; Oskar Ringström; [2020]
   Nyckelord :Downside risk; Mean-variance optimization; Modern portfolio theory; Semi-variance; Downside risk; Variansoptimering; Modern Portföljteori; Semi-varians;

   Sammanfattning : Risk management in portfolio construction is a widely discussed topic and the tradeoff between risk and return is always considered before an investment is made. Modern portfolio theory is a mathematical framework which describes how a rational investor can use diversification to optimize a portfolio, which suggests using variance to measure financial risk. LÄS MER

4. 23. Simulation-Based Portfolio Optimization with Coherent Distortion Risk Measures

   Master-uppsats, KTH/Matematisk statistik

   Författare :Andreas Prastorfer; [2020]
   Nyckelord :Risk Management; Portfolio Optimization; Conditional Value-at-Risk; Coherent Distortion Riks Measures; Elliptical Distribution; GARCH model; Normal Copulas; Extreme Value Theory; Risk Contributions; Riskhantering; Portföljoptimering; Conditional Value-at-Risk; Koherenta distortionsriskmått; Elliptiska fördelningar; GARCH modeller; Normal-copula; Extremvärdes teori; Riskbidrag;

   Sammanfattning : This master's thesis studies portfolio optimization using linear programming algorithms. The contribution of this thesis is an extension of the convex framework for portfolio optimization with Conditional Value-at-Risk, introduced by Rockafeller and Uryasev. LÄS MER

5. 24. A Three-Pronged Sustainability-Oriented Markowitz Model : Disruption in the fund selection process?

   Master-uppsats, KTH/Skolan för industriell teknik och management (ITM)

   Författare :Simon Louivion; Edward Sikorski; [2019]
   Nyckelord :Portfolio optimization; ecient frontier; multi-objective optimization problem; sustainability; ESG; ecient market hypothesis; behavioural finance; Portföljoptimering; ecient frontier; portföljteori; hållbarhet; ESG; hypotesen om effektiva marknader; beteendeekonomi;

   Sammanfattning : Since the term ESG was coined in 2005, the growth of sustainable investments has outpaced the overall asset management industry. A lot of research has been done with regards to the link between sustainability and financial performance, despite the fact that there is a lack of transparency in sustainability of listed companies. LÄS MER

7. 25. Maximum Predictability Portfolio Optimization

   Master-uppsats, KTH/Matematik (Avd.)

   Författare :Nazim Huseynov; [2019]
   Nyckelord :Portfolio optimization; linear programming; multi-factor model; Portföljoptimering; linjär optimering; multifaktormodell;

   Sammanfattning : Harry Markowitz work in the 50’s spring-boarded modernportfolio theory. It gives investors quantitative tools to compose and assessasset portfolios in a systematic fashion. The main idea of the Mean-Varianceframework is that composing an optimal portfolio is equivalent to solving aquadratic optimization problem. LÄS MER