Sökning: "Variansoptimering"

Hittade 2 uppsatser innehållade ordet Variansoptimering.

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

3. 2. Multi-period portfolio optimization given a priori information on signal dynamics and transactions costs

   Master-uppsats, KTH/Optimeringslära och systemteori

   Författare :Jedra Yassir; [2018]
   Nyckelord :Multi-period portfolio optimization; portfolio selection; mean-variance optimization; return predictability; mean reverting processes; transactions costs; market impacts; stochastic optimal control.;

   Sammanfattning : Multi-period portfolio optimization (MPO) has gained a lot of interest in modern portfolio theory due to its consideration for inter-temporal trading e effects, especially market impacts and transactions costs, and for its subtle reliability on return predictability. However, because of the heavy computational demand, portfolio policies based on this approach have been sparsely explored. LÄS MER