Essays about: "Mean-Variance Criterion"

Found 3 essays containing the words Mean-Variance Criterion.

  1. 1. VIX ETPs as Portfolio Diversifiers

    University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

    Author : Nils Hartung von Hartungen; Michael Katzdobler; [2017]
    Keywords : VIX; ETPs; Mean-Variance Spanning; Mean-Variance Criterion; Multi-Objective Portfolio Selection;

    Abstract : This paper studies whether the popularity of VIX ETPs can be explained by their suitability as portfolio diversifiers for retail investors having access to a typical set of ETFs. We first carry out an analysis from the perspective of investors with a quadratic utility function by employing the mean-variance spanning test and the mean-variance criterion. READ MORE

  3. 2. A mean-variance Portfolio Optimizing Trading Algorithm using regime-switching Economic Parameters

    University essay from Lunds universitet/Matematisk statistik

    Author : Jacob Blomgren; [2016]
    Keywords : nancial engineering; algorithmic trading; portfolio optimiza- tion; mean-variance criterion; regime-switching; quadratic programming; hid- den markov model; Mathematics and Statistics;

    Abstract : In this master's thesis a model of algorithmic trading is constructed. The model aims to create an optimal investment portfolio consisting of a risk-free asset and a risky asset. The risky asset is in the form of a stock generated using regime-switching parameters with a Markov chain explaining the state of the economy. READ MORE

  4. 3. Testing market efficiency in an ex-dividend setting - Could the market be efficient in the presence of inefficiency?

    University essay from Lunds universitet/Företagsekonomiska institutionen

    Author : Magnus Swärdh; Gustaf Kullenberg; [2013]
    Keywords : Market efficiency; inefficiency; volatility; risk-return; compensation; Sharpe ration; Treynor’s performance index.; Business and Economics;

    Abstract : Market efficiency in an ex-dividend context is still a disputed matter in the world of finance. Even though numerous articles have been published in the area, with several different approaches, this anomaly is still contested. READ MORE