Essays about: "Minimum-Variance"

Showing result 16 - 20 of 54 essays containing the word Minimum-Variance.

1. 16. An Empirical Study of Modern Portfolio Optimization

   University essay from KTH/Matematisk statistik

   Author : Erik Lagerström; Michael Magne Schrab; [2020]
   Keywords : Mean variance optimization; portfolio theory; asset allocation strategies; equal risk contribution; most diversified portfolio; empirical study; backtesting; Mean variance-optimering; portföljteori; allokeringsstrategier; equal risk contribution; most diversified portfolio; empirisk studie; historisk simulering;

   Abstract : Mean variance optimization has shortcomings making the strategy far from optimal from an investor’s perspective. The purpose of the study is to conduct an empirical investigation as to how modern methods of portfolio optimization address the shortcomings associated with mean variance optimization. READ MORE

3. 17. Enhancing ESG-Risk Modelling - A study of the dependence structure of sustainable investing

   University essay from KTH/Matematisk statistik

   Author : Edvin Berg; Karl Wilhelm Lange; [2020]
   Keywords : ESG; Sustainable Investing; Dependency Structure; Correlation; Risk; Random Matrix Theory; Eigenvalue; Eigenvalue Decomposition; Minimum Variance Portfolio; ESG; Hållbar Investering; Beroendestruktur; Korrelation; Stokastisk Matristeori; Egenvärden; Egenvärdes Dekomposition; Minimal Variansportfölj;

   Abstract : The interest in sustainable investing has increased significantly during recent years. Asset managers and institutional investors are urged to invest more sustainable from their stakeholders, reducing their investment universe. READ MORE

4. 18. Risk Spillovers between BRICS Stock Markets, US Stock Market, Gold and Oil: A portfolio management approach

   University essay from Lunds universitet/Nationalekonomiska institutionen

   Author : Sofia Fors; Carl Billing; [2020]
   Keywords : BRICS; DCC-GJR-GARCH; risk spillovers; financial contagion; portfolio selection; Business and Economics;

   Abstract : This study investigates the correlation between the US stock market, oil prices, gold prices and the stock markets of five emerging markets: Brazil, Russia, India, China and South Africa (BRICS), in order to explore the risk spillovers and the financial contagion between the markets. A DCC-GJR-GARCH model is applied to daily data of returns from January 2000 to April 2020 and considers both a full sample analysis along with a three-pronged subsample analysis. READ MORE

5. 19. 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

6. 20. Beamforming and Blind Signal Separation for Far-field Voice Capture using a Microphone Array

   University essay from Lunds universitet/Institutionen för elektro- och informationsteknik

   Author : Luke Postema; Johan Davidsson; [2019]
   Keywords : Beamforming; Microphone array; Minimum variance distortionless response; delay-and-sum; direction of arrival; blind signal separation; Technology and Engineering;

   Abstract : With the evolving technology of mobile electronics and other forms of communication methods, an increasing demand of speech intelligibility is introduced. In a conference room for example, multiple microphones are placed directly in front of the speaker in order to pick up clean speech. However, several challenges still exist. READ MORE