Sökning: "Portfolio Optimization"

Visar resultat 1 - 5 av 152 uppsatser innehållade orden Portfolio Optimization.

  1. 1. Kryptovalutors betydelse i framtida portföljer

    Kandidat-uppsats,

    Författare :Tobias Frisell; Mattias Wahman; [2020-10-12]
    Nyckelord :Cryptocurrency; Bitcoin; Bloomberg Galaxy Crypto Index; Portfolio optimization; Monte-Carlo simulation; Sharpe Ratio; Diversification;

    Sammanfattning : The aim of this thesis is to examine whether cryptocurrencies should be included in future investment portfolios or not. This thesis not only focuses on Bitcoin, but also uses the Bloomberg Galaxy Crypto Index to represent the cryptocurrency market as a whole. LÄS MER

  2. 2. Evaluation of a Portfolio in Dow Jones Industrial Average Optimized by Mean-Variance Analysis

    Kandidat-uppsats, KTH/Matematisk statistik; KTH/Matematisk statistik

    Författare :Alexander Strid; Daniel Liu; [2020]
    Nyckelord :applied mathematics; mean-variance analysis; modern portfolio theory; Markowitz; Dow Jones Industrial Average; quadratic optimization; portfolio optimization; tillämpad matematik; mean-variance analysis; modern portföljteori; Markowitz; Dow Jones Industrial Average; kvadratisk optimering; portföljoptimering;

    Sammanfattning : This thesis evaluates the mean-variance analysis framework by comparing the performance of an optimized portfolio consisting of stocks from the Dow Jones Industrial Average to the performance of the Dow Jones Industrial Average index itself. The results show that the optimized portfolio performs better than the corresponding index when evaluated on the period between 2015 and 2019. LÄS MER

  3. 3. An Empirical Study of Modern Portfolio Optimization

    Master-uppsats, KTH/Matematisk statistik; KTH/Matematisk statistik

    Författare :Erik Lagerström; Michael Magne Schrab; [2020]
    Nyckelord :Mean variance optimization; portfolio theory; asset allocation strategies; equal risk contribution; most diversified portfolio; empirical study; backtesting; Mean variance-optimering; portföljteori; allokeringsstrategier; equal risk contribution; most diversified portfolio; empirisk studie; historisk simulering;

    Sammanfattning : Mean variance optimization has shortcomings making the strategy far from optimal from an investor’s perspective. The purpose of the study is to conduct an empirical investigation as to how modern methods of portfolio optimization address the shortcomings associated with mean variance optimization. LÄS MER

  4. 4. Green Portfolio: Optimization under environmental constraints

    Kandidat-uppsats, Lunds universitet/Nationalekonomiska institutionen

    Författare :Wilhelm Wachtmeister; Rutger Smith; [2020]
    Nyckelord :Portfolio Selection; Sustainable Investing; Equity Portfolios; Emissions Intensity; Mean-Variance Optimization; Business and Economics;

    Sammanfattning : The aim of this thesis is to compare traditionally optimized equity portfolios to an alternative which takes the economic effects of environmental damage in to consideration. The comparison between the portfolios are made by their composition, in terms of economic sectors, and their characteristics, such as performance, size and risk. LÄS MER

  5. 5. Private Equity Portfolio Management and Positive Alphas

    Kandidat-uppsats, KTH/Matematisk statistik

    Författare :Rikard Franksson; [2020]
    Nyckelord :Nordic private equity performance; private equity valuation; CAPM; portfolio optimization; multivariate linear regression; quadratic optimization; Nordiskt privatkapitals prestation; värdering av privatkapital; CAPM; portföljoptimering; multipel linjär regression; kvadratisk optimering;

    Sammanfattning : This project aims to analyze Nordic companies active in the sector of Information and Communications Technology (ICT), and does this in two parts. Part I entails analyzing public companies to construct a valuation model aimed at predicting the enterprise value of private companies. LÄS MER