Sökning: "Portfolio Optimisation"

Visar resultat 6 - 10 av 18 uppsatser innehållade orden Portfolio Optimisation.

  1. 6. Scenario Reduction in Debt Simulations Using Recurrent Autoencoders : Finding Meaningful Patterns in Stochastic Processes

    Master-uppsats, KTH/Skolan för elektroteknik och datavetenskap (EECS)

    Författare :Love Eklund; [2021]
    Nyckelord :;

    Sammanfattning : This thesis studies how improvements can be made to a simulation model used to analyse debt portfolios. Today, the simulation model needs to evaluate a portfolio over a large sample of scenarios to get accurate results. This can be time-consuming if the portfolios consist of many different and complex securities. LÄS MER

  3. 7. 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

  4. 8. Mixed Integer Linear Programming for Allocation of Collateral within Securities Lending

    Master-uppsats, KTH/Optimeringslära och systemteori

    Författare :Martin Wass; [2020]
    Nyckelord :Collateral; collateral management; optimisation; mixed integer linear programming; collateral allocation; opportunity cost; triparty collateral management; counterparty risk; Säkerheter; säkerhetshantering; optimering; blandat-heltal linjär programmering; alternativkostnad; motpartsrisk; tripartykostnad;

    Sammanfattning : A mixed integer linear programming formulation is used to solve the problem of allocating assets from a bank to its counterparties as collateral within securities lending. The aim of the optimisation is to reduce the cost of allocated collateral, which is broken down into the components opportunity cost, counterparty risk cost and triparty cost. LÄS MER

  5. 9. Robo-advisors on the Swedish Market : From a Portfolio Management Perspective

    Master-uppsats, Högskolan i Jönköping/Internationella Handelshögskolan

    Författare :Sebastian Mhanga; Axel Berg; [2019]
    Nyckelord :;

    Sammanfattning : Robo-advisory is a new category in portfolio management and the investment management industry. Few studies have been done on how robo-advisors’ perform in the long run. The purpose of this research is to replicate and backtest the Swedish robo-advisors’ from 2010 to 2019 and analyse their performance. LÄS MER

  7. 10. Markowitz vs Black--Litterman: A Comparison of Two Portfolio Optimisation Models

    Kandidat-uppsats, Mälardalens högskola/Akademin för utbildning, kultur och kommunikation

    Författare :Eismann Eismann; [2018]
    Nyckelord :;

    Sammanfattning : Modern portfolio theory first gained its ground among researchers and academics, but has become increasingly popular among practitioners. This paper examines the two popular portfolio optimization models, Markowitz mean-variance model and Black-Litterman formula and compares their results on real data. LÄS MER