Sökning: "Semi-varians"

Hittade 1 uppsats innehållade ordet Semi-varians.

  1. 1. Portfolio Optimization: An Evaluation of the Downside Risk Framework on the Nordic Equity Markets

    Kandidat-uppsats, KTH/Matematisk statistik

    Författare :Fabian Pettersson; Oskar Ringström; [2020]
    Nyckelord :Downside risk; Mean-variance optimization; Modern portfolio theory; Semi-variance; Downside risk; Variansoptimering; Modern Portföljteori; Semi-varians;

    Sammanfattning : Risk management in portfolio construction is a widely discussed topic and the tradeoff between risk and return is always considered before an investment is made. Modern portfolio theory is a mathematical framework which describes how a rational investor can use diversification to optimize a portfolio, which suggests using variance to measure financial risk. LÄS MER