Sökning: "portfölj optimering"
Visar resultat 1 - 5 av 18 uppsatser innehållade orden portfölj optimering.
1. Robust Portfolio Optimization with Correlation Penalties
Master-uppsats, KTH/Matematisk statistikSammanfattning : Robust portfolio optimization models attempt to address the standard optimization method's high sensitivity to noise in the parameter estimates, by taking an investor's uncertainty about the estimates into account when finding an optimal portfolio. In this thesis, we study robust variations of an extension of the mean-variance problem, where an additional term penalizing the portfolio's correlation with an exogenous return sequence is included in the objective. LÄS MER
2. Sustainability Filtration and Optimization: A Stepwise Integration Approach
Master-uppsats, KTH/Matematik (Avd.)Sammanfattning : This thesis explores the integration of sustainability into Modern Portfolio Theory (MPT) optimization by introducing stepwise filtration and optimization. This study acknowledges the growing importance of sustainability in investment strategies and modifies the traditional MPT framework to include environmental, social, and governance (ESG) factors. LÄS MER
3. Estimating Believed Knowledge of Portfolio Agents Using Inverse Optimization
Kandidat-uppsats, KTH/Skolan för elektroteknik och datavetenskap (EECS)Sammanfattning : In this report, we demonstrate the utility of inverse optimization in convex programming by applying it on estimating financial market beliefs and behaviors of portfolio investors. The inversion of the optimization utilized the Karush–Kuhn–Tucker optimality conditions specified for the current situation. LÄS MER
4. Evaluation of portfolio optimization methods on decentralized assets and hybridized portfolios
Master-uppsats, KTH/Matematik (Avd.)Sammanfattning : The market for decentralised financial instruments, more commonly known as cryptocurrencies, has gained momentum over the past recent years and the application areas are many. Modern portfolio theory has for years demonstrated its applicability to traditional assets, such as equities and other instruments, but to some extent omitted the application of mathematical portfolio theory with respect for cryptocurrencies. LÄS MER
5. Optimization of Collateral Allocation for Corporate Loans : A nonlinear network problem minimizing the expected loss in case of default
Master-uppsats, KTH/Matematik (Avd.)Sammanfattning : Collateral management has become an increasingly valuable aspect of credit risk. Managing collaterals and constructing accurate models for decision making can give any lender a competitive advantage and decrease overall risks. LÄS MER