Essays about: "tracking portfolio"
Showing result 1 - 5 of 33 essays containing the words tracking portfolio.
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1. Analysing the Optimal Fund Selection and Allocation Structure of a Fund of Funds
University essay from KTH/Matematik (Avd.)Abstract : This thesis aims to investigate different types of optimization methods that can be used when optimizing fund of fund portfolios. Moreover, the thesis investigates which funds that should be included and what their respective portfolio weights should be, in order to outperform the Swedish SIX Portfolio Return Index. READ MORE
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2. Dispersion Trading: A Way to Hedge Vega Risk in Index Options
University essay from KTH/Matematik (Avd.)Abstract : Since the introduction of derivatives to the financial markets, volatility trading has emerged as a method for investors to make money in every market condition. In parallel with introducing derivatives to the financial markets, hedging methods have emerged and are today essential instruments for the liquidity providers active in the markets. READ MORE
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3. Optimal Portfolio Re-Balancing on Fixed Periods using a Cost/Risk Adaptation Model and Stochastic Optimization.
University essay from Linköpings universitet/ProduktionsekonomiAbstract : In this thesis we investigate the problem of portfolio re-balancing for fixed periods using a cost/risk adaptation model and stochastic optimization. The cost/risk adaptation model takes theory of optimal liquidity costs and risk preference to build a universe in which we try to find better strategies than conventional ones. READ MORE
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4. 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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5. Exploration of the next generation of green electricity procurement strategies : Evaluation of 24/7 carbon-free electricity and emissionality and their implications for carbon accounting
University essay from KTH/Skolan för elektroteknik och datavetenskap (EECS)Abstract : Under the current climate emergency, the electricity industry is taking quick steps to introduce new technology and market processes that could contribute to the decarbonization of the power system. The creation of the energy attribute certificates more than two decades ago has allowed consumers to choose the origin of their electricity. READ MORE