Essays about: "Minimum-Variance"
Showing result 6 - 10 of 54 essays containing the word Minimum-Variance.
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6. The benefits of optimized portfolios- An empirical comparison between optimized portfolios and benchmarks
University essay from Göteborgs universitet/Graduate SchoolAbstract : 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
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7. Black-Litterman Model for Portfolio Performance Enhancement - An Out-Of-Sample Evaluation of the Black-Litterman Model on a U.S. Stock-Dominated Portfolio
University essay from Göteborgs universitet/Institutionen för nationalekonomi med statistikAbstract : In this thesis, the Black-Litterman model is evaluated out-of-sample and compared to mean-variance and naïve allocation. Two references are implemented in the Black-Litterman framework, the minimum-variance and naive portfolios. The study complements previ-ous work by considering a stock-dominated portfolio, where all assets are from the U.S. READ MORE
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8. Portfolio Diversification with Commodities : From a Swedish Perspective
University essay from Linköpings universitet/Nationalekonomi; Linköpings universitet/Filosofiska fakultetenAbstract : This paper investigates the diversification characteristics of commodities in relation to the Swedish equity index OMXSPI. Much of the previous literature concludes that gold and oil possess diversification or hedging properties against the US equity markets. READ MORE
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9. Deep Reinforcement Learning Approach to Portfolio Optimization
University essay from Lunds universitet/Nationalekonomiska institutionenAbstract : 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. READ MORE
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10. The search for safe haven assets in the time of a global pandemic
University essay from Lunds universitet/Nationalekonomiska institutionenAbstract : 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
