Essays about: "Minimum-Variance"

Showing result 11 - 15 of 54 essays containing the word Minimum-Variance.

1. 11. Factor Models for Futures Contracts to Improve Estimation of the Correlation Matrix

   University essay from Lunds universitet/Matematisk statistik

   Author : Ellen Ek; [2022]
   Keywords : Correlation matrix; Hierarchical Principal Component Analysis; Factor Model; Clusters; Portfolio Optimization; Futures Contracts; Mathematics and Statistics;

   Abstract : In this paper regularization of the correlation matrix between futures contracts is examined. With starting point in the recently established HPCA framework (Avellaneda, 2019), a couple of different extensions to the one-factor model is suggested. Extensions are made in terms of adjusting the model according to different cluster structures. READ MORE

3. 12. Volatility Forecasting of an Optimal Portfolio

   University essay from Mälardalens universitet/Akademin för utbildning, kultur och kommunikation

   Author : Asima Saleemi; [2022]
   Keywords : Optimal Portfolio; Volatility modelling and Forecasting; Minimum Variance; ARCH model; GARCH Model; GJR-GARCH Model;

   Abstract : This thesis aims to construct an optimal portfolio and model as well as forecast its volatility. The performance of the optimal portfolio is then compared to two benchmarks, namely, an equally weighted portfolio and the market index SP 500. The volatility is estimated by employing two GARCH-type models known as standard GARCH, and GJR-GARCH. READ MORE

4. 13. Impact of Transaction costs on dynamic portfolio optimizations : A comparison of active and passive investing in the realm of the Swedish stock market

   University essay from Jönköping University/Internationella Handelshögskolan

   Author : Toma Georgiev; Harbi Kurmakhadov; [2022]
   Keywords : Dynamic Optimization; Active Investing; Passive Investing; Transaction Costs; OMX30; Modern Portfolio Theory;

   Abstract : A growing number of studies have been conducted in the sphere of portfolio analysis concerning different approaches for analyzing stocks and outperforming the market. Pioneers in the sphere of portfolio theory like William Sharpe and Harry Markowitz have developed strategies and ratios for portfolio analysis that could generate positive risk-adjusted returns. READ MORE

5. 14. Bitcoin vs Gold, The Hedge Game - Volatility and Portfolio Analysis of Bitcoin and Gold during Market Distress

   University essay from Lunds universitet/Nationalekonomiska institutionen

   Author : Axel Löveråsen; Erik Tyrsing; [2021]
   Keywords : Bitcoin; Gold; Hedge; Volatility; Portfolio Analysis; Business and Economics;

   Abstract : Over the recent years the interest in cryptocurrencies and Bitcoin has increased significantly. The price of Bitcoin has gone up substantially since the end of 2020 and more individual and institutional investors are incorporating Bitcoin to their portfolio. READ MORE

6. 15. Modern Portfolio Theory Combined With Magic Formula : A study on how Modern Portfolio Theory can improve an established investment strategy.

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

   Author : Axel Ljungberg; Anton Högstedt; [2021]
   Keywords : Magic Formula; Modern portfolio theory; efficient frontier; Efficient market hypothesis; Sharpe ratio; risk-adjusted returns; Jensen’s alpha; beta; CAPM; OMXSPI;

   Abstract : This study examines whether modern portfolio theory can be used to improve the Magic Formula investment strategy. With the assets picked by the investment strategy we modify the portfolios by weighting the portfolios in accordance with modern portfolio theory. READ MORE