Essays about: "markowitz algorithm"

Showing result 1 - 5 of 6 essays containing the words markowitz algorithm.

  1. 1. 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

  3. 2. Hierarchical Portfolio Allocation with Community Detection

    University essay from KTH/Matematik (Avd.)

    Author : Kiar Fatah; Taariq Nazar; [2022]
    Keywords : Portfolio Allocation; Hierarchical Clustering; Graph Theory; Community Detection; Modern Portfolio Theory; Portföljallokering; Hierarkisk klustring; Grafteori; Community Detection; Modern Portföljteori;

    Abstract : Traditionally, practitioners use modern portfolio theory to invest optimally. Its appeal lies in its mathematical simplicity and elegance. However, despite its beauty, the theory it is plagued with many problems, which are in combination called the Markowitz curse. READ MORE

  4. 3. Break Point Detection for Strategic Asset Allocation

    University essay from KTH/Matematisk statistik

    Author : Erika Madebrink; [2019]
    Keywords : Strategic asset allocation; Bayesian; reversible jump; Markov chain Monte Carlo; regime switching;

    Abstract : This paper focuses on how to improve strategic asset allocation in practice. Strategic asset allocation is perhaps the most fundamental issue in portfolio management and it has been thoroughly discussed in previous research. We take our starting point in the traditional work of Markowitz within portfolio optimization. READ MORE

  5. 4. Greenhouse Gas Footprint Minimization of Credit Default Swap Baskets

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

    Author : Oscar Britse; Johan Jarnmo; [2018]
    Keywords : credit default swap; CDS; CDS basket; greenhouse gas; emission; iTraxx; CDX; portfolio optimization; ECOBAR; Markowitz;

    Abstract : Global bond market capitalization amounts to approximately $100 trillion, compared to $60 trillion in the equity markets. Despite debt financing being a large part of the global financial market, the measurements and greenhouse gas reduction investment strategies to date are not nearly as thorough as for equity financing. READ MORE

  6. 5. Assessing the Economic Value of Implied Volatility Estimates

    University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

    Author : Johannes Ackermann; [2018]
    Keywords : implied volatility; option pricing; modern portfolio theory; GARCH; Markov switching models;

    Abstract : This thesis studies the value of implied volatility estimates for portfolio allocation under the modern portfolio theory (MPT) framework introduced by Markowitz and compares the pricing performances of several common option pricing models. The thesis consists of two parts. READ MORE