Sökning: "atkinson index"

Hittade 2 uppsatser innehållade orden atkinson index.

1. 1. Portfolio Optimization Using the Atkinson Index

   Magister-uppsats, Lunds universitet/Nationalekonomiska institutionen

   Författare :Nils Billgert; [2019]
   Nyckelord :atkinson index; performance measure; portfolio optimization; Business and Economics;

   Sammanfattning : Traditional mean-variance optimization of portfolios has received much criticism due to its inability to account for higher order moments and non-quadratic utility. In this thesis, the topic of portfolio optimization is studied using the Atkinson index with CRRA utility. LÄS MER

3. 2. Investigating the performance of fundamentally-weighted portfolios

   Kandidat-uppsats, Lunds universitet/Nationalekonomiska institutionen

   Författare :Katja Rasic; [2019]
   Nyckelord :Fundamental indexation; equally weighted portfolio; performance measures; Atkinson index; Business and Economics;

   Sammanfattning : Market indices based on market capitalization have been argued to be the most mean-variance efficient for a long time. In recent years, this argument has been questioned and other methods of weighting portfolios have been suggested. One of these is the weighting by fundamental indexation. LÄS MER