Sökning: "optimal portfolio var"

Visar resultat 1 - 5 av 20 uppsatser innehållade orden optimal portfolio var.

  1. 1. Applying Peaks-Over-Threshold for Increasing the Speed of Convergence of a Monte Carlo Simulation

    Master-uppsats, KTH/Matematik (Avd.)

    Författare :Eric Jakobsson; Thor Åhlgren; [2022]
    Nyckelord :Monte Carlo Simulation; Value-at-Risk; Expected Shortfall; Peaks- Over-Threshold; Life Insurances; Generalized Pareto Distribution; Extreme-Value-Theory; Monte Carlo Simulation; Value-at-Risk; Expected Shortfall; Peaks-Over-Threshold; Livförsäkringar; Generalized Pareto Fördelning; Extremvärdesteori;

    Sammanfattning : This thesis investigates applying the semiparametric method Peaks-Over-Threshold on data generated from a Monte Carlo simulation when estimating the financial risk measures Value-at-Risk and Expected Shortfall. The goal is to achieve a faster convergence than a Monte Carlo simulation when assessing extreme events that symbolise the worst outcomes of a financial portfolio. LÄS MER

  3. 2. Decomposition of ETFs: Building a synthetic portfolio of ETFs major positions

    Magister-uppsats, Lunds universitet/Nationalekonomiska institutionen

    Författare :Donatas Gadlijauskas; Evelina Sarul; [2022]
    Nyckelord :ETF; Portfolio optimization; Sharpe ratio; VaR; GARCH; Business and Economics;

    Sammanfattning : 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. 3. Optimisation of the Distribution of COVID-19 Vaccines

    Kandidat-uppsats, KTH/Matematisk statistik

    Författare :Paula Isacson; Daniel Maslov; [2021]
    Nyckelord :Mixed-integer program; stochastic program; supply chain management; reliability; Blandad heltalsprogrammering; stokastisk programmering; logistik av försörjningskedja; tillförlitlighet;

    Sammanfattning : This paper explores how to optimally distribute vaccines by deciding what middle warehouses to use for storage. For this purpose, a network has been designed with a central warehouse, a set of middle warehouses and a set of local hospitals. LÄS MER

  5. 4. Ett hållbart produktledarskap i PA Lpl ISLLv : En hållbar effektiv organisation för produktledarskap bakom vidmakthållande i PA Lpl ISLLv utgående från den organisatoriska projektledningsprocessen.

    Uppsats för yrkesexamina på grundnivå, Högskolan i Halmstad/Akademin för företagande, innovation och hållbarhet

    Författare :William Walldén; Filippa Sandelin; [2021]
    Nyckelord :;

    Sammanfattning : In 1937, Saab was founded to restore military aircraft to Sweden, where the product portfolio wasfurther developed with services and solutions for military defense and civil security. Today, theirservices are offered to the global market with a world-leading range of new technology that followsits customer needs. LÄS MER

  7. 5. ASSET-LIABILITY MANAGEMENT FROM THE PERSPECTIVE OF A PENSION FOUNDATION : SIMULATION AND EVALUATION OF INVESTMENT- AND PORTFOLIO SELECTION STRATEGIES

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

    Författare :Jean-Pierre Kayal; Martin Norberg; [2020]
    Nyckelord :Investment strategies; Portfolio Selection Strategies; Pension Foundation;

    Sammanfattning : Asset Liability Management is a current topic where accountability of asset management is of high importance. This is a result of continuously increasing investments in the stock market globally. The globalisation exposes a big part of the different markets to the same types of risk. LÄS MER