Sökning: "modern portfolio selection theory"

Visar resultat 1 - 5 av 11 uppsatser innehållade orden modern portfolio selection theory.

1. 1. Dynamic Covariance Modelling Using Generalised Wishart Processes

   Master-uppsats, Lunds universitet/Matematisk statistik

   Författare :Fredrik Nilsson; [2023]
   Nyckelord :Covariance matrix; generalised Wishart process; Bayesian inference; Markov chain Monte Carlo; Hamiltonian Monte Carlo; Mathematics and Statistics;

   Sammanfattning : Modern portfolio theory was pioneered by Markowitz who formulated the mean-variance problem, without which any discussion on quantitative approaches to portfolio selection would be incomplete. The framework boils down to finding the expected return $\mu$ and covariance $\Sigma$, after which the solution is proportional to $\Sigma^{-1}\mu$. LÄS MER

3. 2. Värderingsmetodernas relevans i omstruktureringen mot hållbarhet på den svenska fondmarknaden

   Kandidat-uppsats,

   Författare :Isabella Bogavac; Filip Sollander; [2022-07-11]
   Nyckelord :Financial Methods of Anlaysis; Investment Decision; Swedish Funds; Profitability; Sustainability; ESG; SFDR;

   Sammanfattning : The relevance of valuation methods in the restructuring towards sustainability in the Swedish equity fund market. What analysis methods do Swedish fund managers use and what influences their investment decisions when sustainability is brought into focus? Previous research shows that profitability has been the most driving factor influencing investment decisions, but that aspects related to sustainability such as the environment have become increasingly more important. LÄS MER

4. 3. Social Investments: “It’s going slow, but it’s happening” : A study on the feasibility and future of Social Bonds and Social Outcome Contracts in Sweden

   Master-uppsats, Linköpings universitet/Nationalekonomi; Linköpings universitet/Filosofiska fakulteten

   Författare :Emelie Lebsund; Fanny Samuelsson; [2022]
   Nyckelord :Social sustainability; social bonds; social outcome contracts; social impact bonds; sustainability; CSR; institutional theory; transaction cost theory; modern portfolio selection theory; ESG;

   Sammanfattning : As we face increasingly complex problems of both a social and environmental nature, innovative and multifaceted solutions are required to create a sustainable future. Despite Sweden's leading position in terms of financial solutions to environmental issues, Sweden is behind most OECD economies in the development of a financial infrastructure for private investment for social and socio-economic projects. LÄS MER

5. 4. Covariance Matrix Regularization for Portfolio Selection: Achieving Desired Risk

   Master-uppsats, Lunds universitet/Matematisk statistik

   Författare :Manu Upadhyaya; [2020]
   Nyckelord :covariance matrix; portfolio selection; risk; Mathematics and Statistics;

   Sammanfattning : The modus operandi of most asset managers is to promise clients an annual risk target, where risk is measured by realized standard deviation of portfolio returns. Moreover, Markowitz (1952) portfolio selection requires an estimate of the covariance matrix of the returns of the financial instruments under consideration. LÄS MER

7. 5. 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