Sökning: "Portfolio Weights"

Visar resultat 16 - 20 av 58 uppsatser innehållade orden Portfolio Weights.

1. 16. Risk Spillovers between BRICS Stock Markets, US Stock Market, Gold and Oil: A portfolio management approach

   Master-uppsats, Lunds universitet/Nationalekonomiska institutionen

   Författare :Sofia Fors; Carl Billing; [2020]
   Nyckelord :BRICS; DCC-GJR-GARCH; risk spillovers; financial contagion; portfolio selection; Business and Economics;

   Sammanfattning : This study investigates the correlation between the US stock market, oil prices, gold prices and the stock markets of five emerging markets: Brazil, Russia, India, China and South Africa (BRICS), in order to explore the risk spillovers and the financial contagion between the markets. A DCC-GJR-GARCH model is applied to daily data of returns from January 2000 to April 2020 and considers both a full sample analysis along with a three-pronged subsample analysis. LÄS MER

3. 17. ASSET-LIABILITY MANAGEMENT FROM THE PERSPECTIVE OF A PENSION FOUNDATION : SIMULATION AND EVALUATION OF INVESTMENT- AND PORTFOLIO SELECTION STRATEGIES

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

   Författare :Jean-Pierre Kayal; Martin Norberg; [2020]
   Nyckelord :Investment strategies; Portfolio Selection Strategies; Pension Foundation;

   Sammanfattning : Asset Liability Management is a current topic where accountability of asset management is of high importance. This is a result of continuously increasing investments in the stock market globally. The globalisation exposes a big part of the different markets to the same types of risk. LÄS MER

4. 18. Simulation-Based Portfolio Optimization with Coherent Distortion Risk Measures

   Master-uppsats, KTH/Matematisk statistik

   Författare :Andreas Prastorfer; [2020]
   Nyckelord :Risk Management; Portfolio Optimization; Conditional Value-at-Risk; Coherent Distortion Riks Measures; Elliptical Distribution; GARCH model; Normal Copulas; Extreme Value Theory; Risk Contributions; Riskhantering; Portföljoptimering; Conditional Value-at-Risk; Koherenta distortionsriskmått; Elliptiska fördelningar; GARCH modeller; Normal-copula; Extremvärdes teori; Riskbidrag;

   Sammanfattning : This master's thesis studies portfolio optimization using linear programming algorithms. The contribution of this thesis is an extension of the convex framework for portfolio optimization with Conditional Value-at-Risk, introduced by Rockafeller and Uryasev. LÄS MER

5. 19. 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

7. 20. 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

   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