Sökning: "portföljallokering"

Visar resultat 1 - 5 av 13 uppsatser innehållade ordet portföljallokering.

  1. 1. Robust Portfolio Optimization with Correlation Penalties

    Master-uppsats, KTH/Matematisk statistik

    Författare :Pelle Nydahl; [2023]
    Nyckelord :Portfolio Optimization; Portfolio Allocation; Robust Optimization; Correlation; Risk Factor Model; EMA Filtering; Weighted Linear Regression; Portföljoptimering; Portföljallokering; Robust optimering; Korrelation; Riskfaktor-modell; EMA-filtrering; Viktad linjär regression;

    Sammanfattning : 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

  3. 2. A Multi-Level Extension of the Hierarchical PCA Framework with Applications to Portfolio Construction with Futures Contracts

    Master-uppsats, KTH/Matematisk statistik

    Författare :Kajsa Bjelle; [2023]
    Nyckelord :Portfolio construction; asset allocation; principal component analysis; hierarchical principal component analysis; hierarchical shrinkage; eigenportfolio risk; Portföljkonstruktion; tillgångsallokering; principalkomponentanalys; hierarkisk principalkomponentanalys; hierarkisk krympning; egenportföljrisk;

    Sammanfattning : With an increasingly globalised market and growing asset universe, estimating the market covariance matrix becomes even more challenging. In recent years, there has been an extensive development of methods aimed at mitigating these issues. LÄS MER

  4. 3. Har svenska fonder förskjutits på riskskalan?

    Kandidat-uppsats, Lunds universitet/Nationalekonomiska institutionen

    Författare :Christian Hovstadius; [2022]
    Nyckelord :Kvantitativa lättnader; penningpolitik; portföljallokering; räntebärande värdepapper; staggered difference-in-differences; Business and Economics;

    Sammanfattning : Under senare år har centralbanker världen över genomfört okonventionella penningpolitiska metoder i form av att köpa räntebärande värdepapper från marknaden, även kallat kvantitativa lättnader. Detta leder till att marknadsräntor sjunker, vilket inte minst påverkar fonder som handlar med dessa papper. LÄS MER

  5. 4. Hierarchical Portfolio Allocation with Community Detection

    Master-uppsats, KTH/Matematik (Avd.)

    Författare :Kiar Fatah; Taariq Nazar; [2022]
    Nyckelord :Portfolio Allocation; Hierarchical Clustering; Graph Theory; Community Detection; Modern Portfolio Theory; Portföljallokering; Hierarkisk klustring; Grafteori; Community Detection; Modern Portföljteori;

    Sammanfattning : Traditionally, practitioners use modern portfolio theory to invest optimally. Its appeal lies in its mathematical simplicity and elegance. However, despite its beauty, the theory it is plagued with many problems, which are in combination called the Markowitz curse. LÄS MER

  7. 5. Optimal Portfolio Allocation of Commodities for the Swedish Investor

    Kandidat-uppsats,

    Författare :Sebastian Henfalk; Alexandra Wesley; [2021-08-17]
    Nyckelord :Optimal Portfolio Allocation into Commodities; OMXS30GI; Bloomberg Commodity Index BCOM ; Sub-Sectors; Sharpe Ratio; Swedish Investor; Financialization; Diversification; Hedge; Precious Metals; Inflation; Råvaror; Optimal Allokering; Ädelmetaller;

    Sammanfattning : Commodities have historically been seen as great diversifiers to stocks and bonds. Following the financialization in late 1990s and early 2000s this began to be questioned by previous research due to increasing correlations with the stock market, which has created a need for further research with in the field. LÄS MER