Essays about: "Multi-Objective Portfolio Selection"

Found 2 essays containing the words Multi-Objective Portfolio Selection.

1. 1. A Three-Pronged Sustainability-Oriented Markowitz Model : Disruption in the fund selection process?

   University essay from KTH/Skolan för industriell teknik och management (ITM)

   Author : Simon Louivion; Edward Sikorski; [2019]
   Keywords : Portfolio optimization; ecient frontier; multi-objective optimization problem; sustainability; ESG; ecient market hypothesis; behavioural finance; Portföljoptimering; ecient frontier; portföljteori; hållbarhet; ESG; hypotesen om effektiva marknader; beteendeekonomi;

   Abstract : Since the term ESG was coined in 2005, the growth of sustainable investments has outpaced the overall asset management industry. A lot of research has been done with regards to the link between sustainability and financial performance, despite the fact that there is a lack of transparency in sustainability of listed companies. READ MORE

3. 2. 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