Sökning: "asset allocation"

Visar resultat 6 - 10 av 152 uppsatser innehållade orden asset allocation.

  1. 6. Portfolio Optimization Problems with Cardinality Constraints

    Kandidat-uppsats, KTH/Skolan för teknikvetenskap (SCI)

    Författare :Abolgasem Esmaeily; Felix Loge; [2023]
    Nyckelord :Portfolio Optimization; Modern Portfolio Theory MPT • Mixed Integer Programming MIP ; Efficient Frontier; Cardinality Constraints; Daily Returns; Expected Returns; Asset Allocation; Diversification;

    Sammanfattning : This thesis analyzes the mean variance optimization problem with respect to cardinalityconstraints. The aim of this thesis is to figure out how much of an impact transactionchanges has on the profit and risk of a portfolio. We solve the problem by implementingmixed integer programming (MIP) and solving the problem by using the Gurobi solver. LÄS MER

  3. 7. A Quantitative Framework for Constructing a Multi-Asset CTA with a Momentum-Based Approach

    Uppsats för yrkesexamina på avancerad nivå, Uppsala universitet/Datalogi

    Författare :Rebecca Fällström; [2023]
    Nyckelord :Commodity trading advisors; CTA; trend-following; momentum strategies; risk parity; equally weighted; Markowitz weights; optimization;

    Sammanfattning : Commodity Trading Advisors (CTAs) have gained popularity due to their abilities to generate an absolute return strategy. Little is known about how CTAs work and what variables are important to tune in order to create a profitable strategy. LÄS MER

  4. 8. Allokering av institutionellt kapital till private equity-fonder : Beslutsprocessen och kapitalets väg från svenska institutioner till private equity-fonder

    Kandidat-uppsats, KTH/Fastighetsföretagande och finansiella system

    Författare :Gustav Löf; William Westerdahl Widlund; [2023]
    Nyckelord :Private Equity; Alternative Investments; Swedish Institutions; Behavioral Finance; Private equity; alternativa investeringar; svenska institutioner; ekonomisk beteendeteori;

    Sammanfattning : Private equity har under lång tid varit ett attraktivt alternativ vid allokering av kapital. Under de senaste fyrtio åren har tillgångsslaget fått mer fäste i Sverige. LÄS MER

  5. 9. Navigating the Volatility Adjustment in Solvency II : Portfolio Optimization for Balance Sheet Stability

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

    Författare :Max Thorendal; [2023]
    Nyckelord :;

    Sammanfattning : This thesis investigates volatility adjustment from the Solvency II regulation and portfolio allocation methods for pension- and life insurance companies aiming to maintain a stable balance sheet. The volatility adjustment is a component added to the risk-free rate for discounting the present value of future liabilities, and it is calculated monthly based on the spread levels in the fixed-income market. LÄS MER

  7. 10. Fight or Flight: How stock market crashes affect private investors’ portfolio diversification in Sweden

    Master-uppsats, Jönköping University/Internationella Handelshögskolan

    Författare :Ludvig Löfqvist; Erik Åhlstad; [2023]
    Nyckelord :Investment behavior; Diversification; Stock market crash; Demographic factors;

    Sammanfattning : Background: Stock ownership has been increasing in Sweden, with 2,7 million individual owners in 2022, up from 2,1 million in 2018. A trend shows that younger individuals are becoming more involved in stock ownership, while those over 40 are decreasing in numbers. LÄS MER