Essays about: "Global Minimum Variance"

Showing result 1 - 5 of 16 essays containing the words Global Minimum Variance.

  1. 1. The benefits of optimized portfolios- An empirical comparison between optimized portfolios and benchmarks

    University essay from Göteborgs universitet/Graduate School

    Author : John Nestenborg; Simon Petersson; [2022-06-29]
    Keywords : Optimized portfolios; Global Minimum Variance; GMV; Equal Risk Contribution; ERC; Naive portfolio; Market-Capitalization portfolio; Comparison between portfolio weighting schemes;

    Abstract : Uncertainty about the future is an everlasting part of investing. This study aims at testing the historical performance out-of-sample for optimized portfolios and if the performance was superior to benchmarks. 11 different portfolios are compared to two different benchmarks; the naive- and market-capitalized portfolio. READ MORE

  3. 2. The search for safe haven assets in the time of a global pandemic

    University essay from Lunds universitet/Nationalekonomiska institutionen

    Author : Katja Rasic; [2022]
    Keywords : Volatility spillover; diagonal BEKK-GARCH; global pandemic; safe haven; Business and Economics;

    Abstract : The global pandemic has initially negatively influenced the financial markets all over the world. As a consequence, the volatility in the stock markets increased and investors have experienced great monetary losses. READ MORE

  4. 3. Allocation of Alternative Investments in Portfolio Management. : A Quantitative Study Considering Investors' Liquidity Preferences

    University essay from KTH/Matematik (Avd.)

    Author : Kamyar Espahbodi; Roumi Roumi; [2021]
    Keywords : Shadow Allocations; Liquidity; Illiquidity; Alternative Assets; Liquid Assets; Illiquid Assets; Investor Preferences; Monte Carlo Simulations; Tangency Portfolio; Global Minimum Risk Portfolio; Skuggallokeringar; Likviditet; Illikviditet; Alternativa Tillgångar; Likvida Tillgångar; Illikvida Tillgångar; Investerarpreferenser; Monte Carlo-Simuleringar; Tangentportföljen; Minimiriskportföljen;

    Abstract : Despite the fact that illiquid assets pose several difficulties regarding portfolio allocation problems for investors, more investors are increasing their allocation towards them. Alternative assets are characterized as being harder to value and trade because of their illiquidity which raises the question of how they should be managed from an allocation optimization perspective. READ MORE

  5. 4. Sensitivity analysis in high-dimensional space

    University essay from Uppsala universitet/Institutionen för informationsteknologi

    Author : Shuyi Qin; [2021]
    Keywords : ;

    Abstract : Calculating the atomic charge is one of the challenging parts in the molecular simulation process which is an important goal in computational chemistry. In this thesis, we used the Alexandria Charge Model to generate charges. READ MORE

  6. 5. Portfolio Optimization : A DCC-GARCH forecast with implied volatility

    University essay from Linnéuniversitetet/Institutionen för ekonomistyrning och logistik (ELO)

    Author : Sam Bigdeli; Filip Bengtsson; [2019]
    Keywords : DCC-GARCH; Portfolio Optimization; Certainty Equivalence Tangency; CET; Global Minimum Variance; GMV; Minimum Conditional Value-at-Risk; MinCVaR; Implied volatility index; VIX;

    Abstract : This thesis performs portfolio optimization using three allocation methods, Certainty Equivalence Tangency (CET), Global Minimum Variance (GMV) and Minimum Conditional Value-at-Risk (MinCVaR). We estimate expected returns and covariance matrices based on 7 stock market indices with a DCC-GARCH model including an ARMA (1. READ MORE