Sökning: "index and mean-variance."
Visar resultat 1 - 5 av 39 uppsatser innehållade orden index and mean-variance..
1. Analysing the Optimal Fund Selection and Allocation Structure of a Fund of Funds
Master-uppsats, KTH/Matematik (Avd.)Sammanfattning : This thesis aims to investigate different types of optimization methods that can be used when optimizing fund of fund portfolios. Moreover, the thesis investigates which funds that should be included and what their respective portfolio weights should be, in order to outperform the Swedish SIX Portfolio Return Index. LÄS MER
2. Portfolio Optimization: The search for an optimal portfolio with cryptocurrencies and S&P 500
Kandidat-uppsats,Sammanfattning : This thesis’ aim is to create an optimal portfolio consisting of Bitcoin, Ethereum and S&P 500. We also examine the minimum variance portfolio with the framework of Markowitz's mean variance optimization model. LÄS MER
3. Decomposition of ETFs: Building a synthetic portfolio of ETFs major positions
Magister-uppsats, Lunds universitet/Nationalekonomiska institutionenSammanfattning : This paper investigates the performance of benchmark indices and according ETFs against the synthetic portfolios that were built using the five major holdings of the selected benchmark index and its ETF. Not only do we test the synthetic portfolios, but from them, we make optimal (re-balanced) portfolios using mean-variance optimization (with short-selling constraints). LÄS MER
4. Black – Litterman eller Markowitz : En jämförelse av optimerade portföljer och OMXS30 index
Kandidat-uppsats, KTH/Fastigheter och byggandeSammanfattning : Varje investerare vill se sitt kapital växa så mycket som möjligt men samtidigt inte utsätta kapitalet för onödiga risker. Högre risk, högre avkastning är två synonymer inom den finansiella världen. Investerare världen över söker hela tiden nya möjligheter att öka sin avkastning utan att behöva höja sin risk. LÄS MER
5. Considering Tail Events in Hedge Fund Portfolio Optimization
Master-uppsats, Linköpings universitet/ProduktionsekonomiSammanfattning : The Fourth Swedish National Pension Fund (AP4), as well as many other large investors, has noted deficiencies the Mean-Variance framework for portfolio management of asset with non-normal characteristics. The main problem apparent in the Mean-Variance framework, when investing in alternative assets such as hedge funds, is the lacking systematic control of the balance between the measurements of risk due normal variation and tail-risk. LÄS MER