Sökning: "Portfolio Optimisation"

Visar resultat 11 - 15 av 18 uppsatser innehållade orden Portfolio Optimisation.

  1. 11. Conditional Value-at-Risk targeted portfolio optimisation

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

    Författare :Dennis Gill; Tim Herzig; [2017]
    Nyckelord :Conditional Value-at-Risk; Value-at-Risk; Coherent Risk Measures; Portfolio Optimisation; Monte Carlo Simulation;

    Sammanfattning : New financial regulations have constantly forced market participants to adapt to changing rules. Recent regulatory iterations require them to focus on tail risk in portfolios of financial assets. One metric to quantify tail risk in portfolios is the Conditional Value-at-Risk (cVaR). LÄS MER

  3. 12. Socially Responsible Investments? : -An empirical study on why investors do not invest in SRI

    Uppsats för yrkesexamina på avancerad nivå, Umeå universitet/Företagsekonomi

    Författare :Simon Lundström; Rasmus Rosberg; [2017]
    Nyckelord :SRI; socially responsible investment; environment; SRI; ansvarsfulla investeringar; miljö;

    Sammanfattning : In today’s society sustainability has become a highly discussed topic due to the increase in global average temperatures and changing ecosystems. Despite differentiating views regarding the origins of these changes, a proportion of the society have begun to adjust themselves into having more green profiles. LÄS MER

  4. 13. Evaluation of Alternative Weighting Techniques on the Swedish Stock Market

    Master-uppsats, KTH/Matematisk statistik

    Författare :Erik Finnerman; Carl Robin Kirchmann; [2015]
    Nyckelord :;

    Sammanfattning : The aim of this thesis is to evaluate how the stock index SIX30RX compares against portfolios based on the same stock selection but with alternative weighting techniques. Eleven alternative weighting techniques are used and divided into three categories; heuristic, optimisation and momentum based ones. LÄS MER

  5. 14. Risk Analysis Against Electricity Market Index and Portfolio Optimisation

    Master-uppsats, KTH/Matematisk statistik

    Författare :Oskar Ericsson; [2014]
    Nyckelord :;

    Sammanfattning : There has been a lack of a transparent index to compare electricity portfolios against for many years. Most industrial firms hedge the risks for their electricity needs by buying forward contracts which guarantee the price of a certain amount of power for a year or part of a year. LÄS MER

  7. 15. The Omega Function : A Comparison Between Optimized Portfolios

    Kandidat-uppsats, Akademin för utbildning, kultur och kommunikation

    Författare :Ali Salih; [2011]
    Nyckelord :Portfolio; Portfolio theory; optimising; optimizing; optimization; optimisation; Omega; Omega function; sharpe; sharpe ratio; ranking assets; markowitz; transaction cost;

    Sammanfattning : The traditional way to analyze stocks and portfolios within the area of finance have been restricted to Sharpe and Markovitz. The Omega function and its properties enlighten the field of finance and differs from the traditional ways when it comes to the volatility of the stocks. LÄS MER