Essays about: "Asset allocation"

Showing result 1 - 5 of 115 essays containing the words Asset allocation.

  1. 1. Hierarchical Clustering To Improve Portfolio Tail Risk Characteristics

    University essay from Lunds universitet/Matematisk statistik

    Author : Adam Eidenvall; [2021]
    Keywords : Hierarchical Clustering; Asset Allocation; Portfolio Construction; Graph Theory; Machine Learning; Risk Parity; Regime Shift; Bootstrapping; Walk Forward; Mathematics and Statistics;

    Abstract : Many agree that estimating portfolio risks has better estimation possibilities, than estimations on returns. Therefore investors attempts to construct better, more efficient riskmanaged portfolios by diversifying portfolios through factors rather than traditional asset classes. READ MORE

  2. 2. Green Finance and its Relation to Asset Classes : Analyzing the dependency structure with a DCC-GARCH and a cross-quantilogram approach

    University essay from Linköpings universitet/Nationalekonomi; Linköpings universitet/Filosofiska fakulteten

    Author : Mona Ebadian; Linda Ivarsson; [2021]
    Keywords : ;

    Abstract : In this master thesis, we present the first empirical study that investigates the correlation- and dependence structure of green finance with major asset classes such as cryptocurrency, commodities, equity and currency on a global level. Over the years, green finance and sustainability questions have become more and more central in the literature. READ MORE

  3. 3. Hierarchical Clustering in Risk-Based Portfolio Construction

    University essay from KTH/Matematisk statistik

    Author : Natasha Nanakorn; Elin Palmgren; [2021]
    Keywords : Portfolio construction; asset allocation; risk-based asset allocation; hierarchical clustering; agglomerative clustering; hierarchical risk parity; risk; volatility; Portföljallokering; portföljhantering; portföljmetoder; riskbaserad portföljallokering; hierarkisk klustring; agglomerativ klustring; risk; volatilitet;

    Abstract : Following the global financial crisis, both risk-based and heuristic portfolio construction methods have received much attention from both academics and practitioners since these methods do not rely on the estimation of expected returns and as such are assumed to be more stable than Markowitz's traditional mean-variance portfolio. In 2016, Lopéz de Prado presented the Hierarchical Risk Parity (HRP), a new approach to portfolio construction which combines hierarchical clustering of assets with a heuristic risk-based allocation strategy in order to increase stability and improve out-of-sample performance. READ MORE

  4. 4. Volatility Forecasting Performance of GARCH Models : A Study on Nordic Indices During COVID-19

    University essay from Umeå universitet/Nationalekonomi

    Author : Ludwig Schmidt; [2021]
    Keywords : ;

    Abstract : Volatility forecasting is an important tool in financial economics such as risk management, asset allocation and option pricing since an understanding of future volatility can help professional and private investors minimize their losses. The purpose of this paper is to investigate the volatility forecasting performance of symmetric and asymmetric GARCH models on Nordic indices during COVID-19. READ MORE

  5. 5. 'The world has changed; these days, women are the ones who are keeping their families'. Gender norms, women's economic empowerment and male capture in the rural Tanzanian poultry value-chain

    University essay from Uppsala universitet/Institutionen för geovetenskaper

    Author : Viktor Johansson; [2021]
    Keywords : Sustainable Development; Gender Studies; Women s Empowerment; Gender Norms; Poultry; Tanzania;

    Abstract : The study presented in this thesis aimed to explore how gender norms in four rural districts in Kilimanjaro and Lindi Region of Tanzania might influence rural women chicken farmers' economic empowerment when an urban vendor introduces an improved breed of chicken. More specifically, the following aims were explored: the normative expectations for husbands and wives in the communities researched, and how these expectations may influence intra-household negotiation processes following a market-led intervention within the Tanzanian poultry value-chain;                                                                                                                                                                   if and how intra-household resource allocation may be changed if profits were to increase within a women-led business. READ MORE