Sökning: "Portfolio Optimization"

Visar resultat 1 - 5 av 138 uppsatser innehållade orden Portfolio Optimization.

  1. 1. Portfolio Optimization Using the Atkinson Index

    Magister-uppsats, Lunds universitet/Nationalekonomiska institutionen

    Författare :Nils Billgert; [2019]
    Nyckelord :atkinson index; performance measure; portfolio optimization; Business and Economics;

    Sammanfattning : Traditional mean-variance optimization of portfolios has received much criticism due to its inability to account for higher order moments and non-quadratic utility. In this thesis, the topic of portfolio optimization is studied using the Atkinson index with CRRA utility. LÄS MER

  2. 2. A Utility Approach: Strategy Analysis and Optimization

    Master-uppsats, Lunds universitet/Matematisk statistik

    Författare :Magnús Ólafur Sigurdsson; [2019]
    Nyckelord :Utility optimization; Portfolio analysis; Dynamic programming; Bellman equation.; Technology and Engineering;

    Sammanfattning : Utility theory and Monte Carlo simulations are used to calculate optimal allocation for long term as well as, risk averse investors with a portfolio consisting of one risky asset and one risk-free bank account. The problems solved in this thesis are divided into two types, static and dynamic. LÄS MER

  3. 3. Portfolio Optimization : A DCC-GARCH forecast with implied volatility

    Magister-uppsats, Linnéuniversitetet/Institutionen för ekonomistyrning och logistik (ELO); Linnéuniversitetet/Institutionen för ekonomistyrning och logistik (ELO)

    Författare :Sam Bigdeli; Filip Bengtsson; [2019]
    Nyckelord :DCC-GARCH; Portfolio Optimization; Certainty Equivalence Tangency; CET; Global Minimum Variance; GMV; Minimum Conditional Value-at-Risk; MinCVaR; Implied volatility index; VIX;

    Sammanfattning : This thesis performs portfolio optimization using three allocation methods, Certainty Equivalence Tangency (CET), Global Minimum Variance (GMV) and Minimum Conditional Value-at-Risk (MinCVaR). We estimate expected returns and covariance matrices based on 7 stock market indices with a DCC-GARCH model including an ARMA (1. LÄS MER

  4. 4. Sustainable Investment Strategies : A Quantitative Evaluation of Sustainable Investment Strategies For Index Funds

    Uppsats för yrkesexamina på avancerad nivå, Umeå universitet/Institutionen för matematik och matematisk statistik; Umeå universitet/Institutionen för matematik och matematisk statistik

    Författare :John Erikmats; Johan Sjösten; [2019]
    Nyckelord :ESG; CSR; investment strategies; sustainable investment strategies; sustainability; sustainable investments; sustainable finance; index funds; tracking-error; tracking-error minimization; ESG; CSR; investeringsstrategier; hållbara investeringsstrategier; hållbarhet; hållbara investeringar; hållbar finans; indexfonder; tracking-error; minimering av tracking-error;

    Sammanfattning : Modern society is faced with the complex and intractable challenge of global warming, along with other environmental issues that could potentially alter our way of life if not managed properly. Is it possible that financial markets and equity investors could have a huge part to play in the transformation towards a greener and more sustainable world? Previous studies about investment strategies regarding sustainability have for the most part been centered around possibly less objective ESG-scores or around carbon and GHG-emissions only, with little or no consideration for water usage and waste management. LÄS MER

  5. 5. Online intra-day portfolio optimization using regime based models

    Uppsats för yrkesexamina på avancerad nivå, Lunds universitet/Matematisk statistik

    Författare :Sara Hafström Fremlin; [2019]
    Nyckelord :Multi-period portfolio selection; Model predictive control; Hidden Markov model; Mathematics and Statistics;

    Sammanfattning : In this thesis model predictive control (MPC) is used to dynamically optimize a portfolio where the data is sampled every 5 minutes. Previous research has shown how MPC optimization applied to daily sampled financial data can generate a portfolio that exceeds the value of standard portfolio strategies such as Strategic asset allocation. LÄS MER