Sökning: "tracking portfolio"

Visar resultat 1 - 5 av 35 uppsatser innehållade orden tracking portfolio.

1. 1. Analysing the Optimal Fund Selection and Allocation Structure of a Fund of Funds

   Master-uppsats, KTH/Matematik (Avd.)

   Författare :Idun Cederberg; Ida Cui; [2023]
   Nyckelord :Master Thesis; Financial Mathematics; Fund of Funds; Portfolio Optimization; Mean Variance Optimization; Masterexamensarbete; finansiell matematik; fond i fond; portföljoptimering; modern portföljteori;

   Sammanfattning : This thesis aims to investigate different types of optimization methods that can be used when optimizing fund of fund portfolios. Moreover, the thesis investigates which funds that should be included and what their respective portfolio weights should be, in order to outperform the Swedish SIX Portfolio Return Index. LÄS MER

3. 2. Dispersion Trading: A Way to Hedge Vega Risk in Index Options

   Master-uppsats, KTH/Matematik (Avd.)

   Författare :Albin Irell Fridlund; Johanna Heberlein; [2023]
   Nyckelord :Dispersion Trading; Volatility Trading; Volatility Hedging; Vega Hedging; Option Trading; Back-testing; Liquidity provider; OMXS30 options; Index options; Spridningshandel; Volitilitetshandel; Volitilitetssäkring; Vega säkring; Optionshandel; Back-testing; Likviditetgivare; OMXS30 optioner; Index optioner;

   Sammanfattning : Since the introduction of derivatives to the financial markets, volatility trading has emerged as a method for investors to make money in every market condition. In parallel with introducing derivatives to the financial markets, hedging methods have emerged and are today essential instruments for the liquidity providers active in the markets. LÄS MER

4. 3. Optimal Portfolio Re-Balancing on Fixed Periods using a Cost/Risk Adaptation Model and Stochastic Optimization.

   Master-uppsats, Linköpings universitet/Produktionsekonomi

   Författare :Max Ehn; Marcus Jämte; [2023]
   Nyckelord :Optimal portfolio re-balancing; optimal liquidation; minimize transaction costs; trading-volume estimation; stochastic optimization; Financial mathematics; tracking error; execution strategies; opportunity costs; liquidation costs; applied mathematics; PRIIP regulation; Swing-pricing;

   Sammanfattning : In this thesis we investigate the problem of portfolio re-balancing for fixed periods using a cost/risk adaptation model and stochastic optimization. The cost/risk adaptation model takes theory of optimal liquidity costs and risk preference to build a universe in which we try to find better strategies than conventional ones. LÄS MER

5. 4. Deep Reinforcement Learning Approach to Portfolio Optimization

   Kandidat-uppsats, Lunds universitet/Nationalekonomiska institutionen

   Författare :Lorik Sadriu; [2022]
   Nyckelord :Deep Reinforcement Learning; Portfolio Optimization; Portfolio performance; EMH; Business and Economics;

   Sammanfattning : This paper evaluates whether a deep reinforcement learning (DRL) approach can be implemented, on the Swedish stock market, to optimize a portfolio. The objective is to create and train two DRL algorithms that can construct portfolios that will be benchmarked against the market portfolio, tracking OMXS30, and the two conventional methods, the naive portfolio, and minimum variance portfolio. LÄS MER

7. 5. Exploration of the next generation of green electricity procurement strategies : Evaluation of 24/7 carbon-free electricity and emissionality and their implications for carbon accounting

   Master-uppsats, KTH/Skolan för elektroteknik och datavetenskap (EECS)

   Författare :Eloi Fàbrega Ferrer; [2022]
   Nyckelord :Carbon Accounting; Electricity Procurement; Emissionality; Emissions; Renewables; 24 7 Carbon-Free; Förnybar Energi; Koldioxidfri Dygnet Runt; Koldioxidredovisning; Koldioxidutsläpp; Upphandling Av El;

   Sammanfattning : Under the current climate emergency, the electricity industry is taking quick steps to introduce new technology and market processes that could contribute to the decarbonization of the power system. The creation of the energy attribute certificates more than two decades ago has allowed consumers to choose the origin of their electricity. LÄS MER