Sökning: "global minimum variance portfolio"
Visar resultat 1 - 5 av 11 uppsatser innehållade orden global minimum variance portfolio.
1. The benefits of optimized portfolios- An empirical comparison between optimized portfolios and benchmarks
Master-uppsats, Göteborgs universitet/Graduate SchoolSammanfattning : Uncertainty about the future is an everlasting part of investing. This study aims at testing the historical performance out-of-sample for optimized portfolios and if the performance was superior to benchmarks. 11 different portfolios are compared to two different benchmarks; the naive- and market-capitalized portfolio. LÄS MER
2. The search for safe haven assets in the time of a global pandemic
Master-uppsats, Lunds universitet/Nationalekonomiska institutionenSammanfattning : The global pandemic has initially negatively influenced the financial markets all over the world. As a consequence, the volatility in the stock markets increased and investors have experienced great monetary losses. LÄS MER
3. Allocation of Alternative Investments in Portfolio Management. : A Quantitative Study Considering Investors' Liquidity Preferences
Master-uppsats, KTH/Matematik (Avd.)Sammanfattning : Despite the fact that illiquid assets pose several difficulties regarding portfolio allocation problems for investors, more investors are increasing their allocation towards them. Alternative assets are characterized as being harder to value and trade because of their illiquidity which raises the question of how they should be managed from an allocation optimization perspective. LÄS MER
4. Bitcoins roll i en Investeringsportfölj : A Mean-Variance Analysis of the Diversification Benefits
Kandidat-uppsats, Linnéuniversitetet/Institutionen för ekonomistyrning och logistik (ELO)Sammanfattning : The aim of this thesis is to explore the role of bitcoin in an investment portfolio. The paper examines the nature of bitcoin and additionally how bitcoin compares to gold when included in an investment portfolio. LÄS MER
5. Portfolio Optimization : A DCC-GARCH forecast with implied volatility
Magister-uppsats, Linnéuniversitetet/Institutionen för ekonomistyrning och logistik (ELO)Sammanfattning : This thesis performs portfolio optimization using three allocation methods, Certainty Equivalence Tangency (CET), Global Minimum Variance (GMV) and Minimum Conditional Value-at-Risk (MinCVaR). We estimate expected returns and covariance matrices based on 7 stock market indices with a DCC-GARCH model including an ARMA (1. LÄS MER