Essays about: "Portfolio selection"

Showing result 11 - 15 of 125 essays containing the words Portfolio selection.

1. 11. A comparison of the innovation performance of European entrepreneurial firms backed by Corporate Venture Capital and Independent Venture Capital

   University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

   Author : Suzanne Mooren; James Gibbons; [2023]
   Keywords : Corporate Venture Capital; Independent Venture Capital; Innovation; Publicly Owned Firms; Europe;

   Abstract : Corporate venture capital (CVC) has seen an enormous rise in Europe over the past decade, however, has been scarcely researched in terms of its impact on innovation. This paper is the first one to examine the impact of corporate venture capital (CVC) on the innovation, measured as number of patents granted and number of citations per patent, of public portfolio firms in comparison to firms backed by independent venture capital (IVC) in Europe. READ MORE

3. 12. Dynamic Covariance Modelling Using Generalised Wishart Processes

   University essay from Lunds universitet/Matematisk statistik

   Author : Fredrik Nilsson; [2023]
   Keywords : Covariance matrix; generalised Wishart process; Bayesian inference; Markov chain Monte Carlo; Hamiltonian Monte Carlo; Mathematics and Statistics;

   Abstract : Modern portfolio theory was pioneered by Markowitz who formulated the mean-variance problem, without which any discussion on quantitative approaches to portfolio selection would be incomplete. The framework boils down to finding the expected return $\mu$ and covariance $\Sigma$, after which the solution is proportional to $\Sigma^{-1}\mu$. READ MORE

4. 13. Investigating the Formulation and Implementation of Strategy Through Project Selection in the Swedish Process Industry

   University essay from Blekinge Tekniska Högskola

   Author : Lars Hanses; Albin Tärnåsen; [2023]
   Keywords : Strategy implementation; strategy formulation; project selection; process industry;

   Abstract : Corporate strategies have a low success rate and strategic objectives are frequently not met. To gain insight into this phenomenon, this research explores the process of generating and implementing strategy through CAPEX projects within the mature Swedish process industry. READ MORE

5. 14. An Investigation and Comparison of Machine Learning Methods for Selecting Stressed Value-at-Risk Scenarios

   University essay from Uppsala universitet/Avdelningen för systemteknik

   Author : Moa Tennberg; [2023]
   Keywords : Value-at-Risk; Total margin; Procyclicality; Machine learning; Binary classification; Supervised learning; Unsupervised learning; Random forest; Multilayer perceptron;

   Abstract : Stressed Value-at-Risk (VaR) is a statistic used to measure an entity's exposure to market risk by evaluating possible extreme portfolio losses. Stressed VaR scenarios can be used as a metric to describe the state of the financial market and can be used to detect and counter procyclicality by allowing central clearing counterparities (CCP) to increase margin requirements. READ MORE

6. 15. Scenario Generation for Stress Testing Using Generative Adversarial Networks : Deep Learning Approach to Generate Extreme but Plausible Scenarios

   University essay from Umeå universitet/Institutionen för matematik och matematisk statistik

   Author : Jonas Gustafsson; Conrad Jonsson; [2023]
   Keywords : Machine Learning; Generative Adversarial Network GAN ; Wasserstein Generative Adversarial Network WGAN ; Scenario Generation; Stress Testing; Central Counterparty Clearing;

   Abstract : Central Clearing Counterparties play a crucial role in financial markets, requiring robust risk management practices to ensure operational stability. A growing emphasis on risk analysis and stress testing from regulators has led to the need for sophisticated tools that can model extreme but plausible market scenarios. READ MORE