Sökning: "portföljallokering"
Visar resultat 1 - 5 av 13 uppsatser innehållade ordet portföljallokering.
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. A Multi-Level Extension of the Hierarchical PCA Framework with Applications to Portfolio Construction with Futures Contracts
Master-uppsats, KTH/Matematisk statistikSammanfattning : 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
3. Har svenska fonder förskjutits på riskskalan?
Kandidat-uppsats, Lunds universitet/Nationalekonomiska institutionenSammanfattning : 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
4. Hierarchical Portfolio Allocation with Community Detection
Master-uppsats, KTH/Matematik (Avd.)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
5. Optimal Portfolio Allocation of Commodities for the Swedish Investor
Kandidat-uppsats,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