Sökning: "Portfolio Optimisation"

Visar resultat 16 - 18 av 18 uppsatser innehållade orden Portfolio Optimisation.

  1. 16. Evaluating SEB Investment Strategy´s Recommended Mutual Fund Portfolios

    Magister-uppsats, Institutionen för matematik och fysik; Akademin för utbildning, kultur och kommunikation

    Författare :Alexander Mazyar Rostami; [2010]
    Nyckelord :Vasicek´s Technique; Portfolio Theory; Optimisation; Optimization; Mutual funds; Single-Index Model;

    Sammanfattning : Preview:     SEB Investment Strategy is the function in SEB that supports business units SEB      Private Banking and SEB Retail with investment philosophy and investment            process. The framework of SEB Investment Strategy encompasses to manage a     structured investment philosophy and process to produce a range of investment                    options and portfolios for different target groups. LÄS MER

  3. 17. A Quantitative Risk Optimization of Markowitz Model : An Empirical Investigation on Swedish Large Cap List

    Magister-uppsats, Institutionen för matematik och fysik

    Författare :Oliver Bjärnbo; Amir Kheirollah; [2007]
    Nyckelord :Optimisation; Portfolio theory; Stock Market; Markowitz; Excel Modeling; VaR; Sharpe ratio;

    Sammanfattning : This paper is an empirical study on Harry Markowitz work on Modern Portfolio Theory. The model introduced by him assumes the normality of assets’ return. We examined the OMX Large Cap List1 by mathematical and statistical methods for normality of assets’ returns. LÄS MER

  4. 18. Portfolio optimisation : improved risk-adjusted return?

    Magister-uppsats, Nationalekonomiska institutionen

    Författare :Jonathan Mårtensson; [2006]
    Nyckelord :Efficient frontier; mean-variance optimisation; portfolio optimisation; Sharpe ratio;

    Sammanfattning : In this thesis, portfolio optimisation is used to evaluate if a specific sample of portfolios have a higher risk level or lower expected return, compared to what may be obtained through optimisation. It also compares the return of optimised portfolios with the return of the original portfolios. LÄS MER