Sökning: "Portfolio Asset Management"

Visar resultat 1 - 5 av 56 uppsatser innehållade orden Portfolio Asset Management.

  1. 1. 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

  2. 2. Does the sinner beat the saint? An empirical study of the Nordic stock market

    Master-uppsats, Göteborgs universitet/Graduate School

    Författare :Jonathan Winberg; [2019-11-27]
    Nyckelord :Sin Stocks; Sin Stock Anomaly; Nordic Stock Market; Fama-French Three-Factor Model; CAPM; Asset Pricing Models; Portfolio Asset Management; OLS; Gambling; Tobacco; Alcohol; Weapons; Oil Gas; Self-Financing; Portfolio Strategy;

    Sammanfattning : MSc in Finance.... LÄS MER

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

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

  4. 4. Does One Size Fit All? Branding Strategies for Plus-Size Labels in the Fashion Industry

    Magister-uppsats, Lunds universitet/Företagsekonomiska institutionen

    Författare :Jella Lynn Hauptmann; Julia Ausserdorfer; [2019]
    Nyckelord :Plus-Size; Brand Architecture; Brand Strategy; Fashion Branding; Brand Portfolio; Business and Economics;

    Sammanfattning : Purpose: With increasing obesity rates and the change of beauty ideals within society, the plus-size fashion market currently enjoys a massive upturn and many established fashion retailers realise the opportunities within this ever more important segment. However, the integration of plus-size brands can be challenging as being plus-size is still connected to a stigma. LÄS MER

  5. 5. Break Point Detection for Strategic Asset Allocation

    Master-uppsats, KTH/Matematisk statistik

    Författare :Erika Madebrink; [2019]
    Nyckelord :Strategic asset allocation; Bayesian; reversible jump; Markov chain Monte Carlo; regime switching;

    Sammanfattning : This paper focuses on how to improve strategic asset allocation in practice. Strategic asset allocation is perhaps the most fundamental issue in portfolio management and it has been thoroughly discussed in previous research. We take our starting point in the traditional work of Markowitz within portfolio optimization. LÄS MER