Essays about: "Asset allocation"

Showing result 31 - 35 of 132 essays containing the words Asset allocation.

1. 31. Relationship between Real Estate Industry and Stock Market in China

   University essay from Jönköping University/IHH, Nationalekonomi

   Author : Zeyu Di; [2020]
   Keywords : real estate; stock market; causal relationship; asset allocation; economic area; portfolio; Chinese provinces;

   Abstract : Each individual is both a consumer and an investor in the market. It is the common goal of every investor to achieve a high return on investment through the portfolio of profit maximization. As a result, the ratio of assets in a portfolio has become a hot topic. READ MORE

3. 32. Rebalancing 2.0-A Macro Approach to Portfolio Rebalancing

   University essay from KTH/Matematisk statistik

   Author : Rawand Sultani; [2020]
   Keywords : Statistics; Applied Mathematics; Financial Mathematics; Rebalancing; Asset Allocation; Monte-Carlo; Backtesting; Makro; Statistik; Tillämpad matematik; Finansiell matematik; Rebalansering; Tillgångsallokering; Monte-Carlo; Backtesting; Makro;

   Abstract : Portfolio rebalancing has become a popular tool for institutional investors the last decade. Adaptive asset allocation, an approach suggest by William Sharpe is a new approach to portfolio rebalancing taking market capitalization of asset classes into consideration when setting the normal portfolio and adapting it to a risk profile. READ MORE

4. 33. An Empirical Study of Modern Portfolio Optimization

   University essay from KTH/Matematisk statistik

   Author : Erik Lagerström; Michael Magne Schrab; [2020]
   Keywords : Mean variance optimization; portfolio theory; asset allocation strategies; equal risk contribution; most diversified portfolio; empirical study; backtesting; Mean variance-optimering; portföljteori; allokeringsstrategier; equal risk contribution; most diversified portfolio; empirisk studie; historisk simulering;

   Abstract : Mean variance optimization has shortcomings making the strategy far from optimal from an investor’s perspective. The purpose of the study is to conduct an empirical investigation as to how modern methods of portfolio optimization address the shortcomings associated with mean variance optimization. READ MORE

5. 34. What is the Optimal Allocation Level to Real Estate in a Swedish Mixed-Asset Portfolio Including both Direct and Indirect Real Estate?

   University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

   Author : Oscar Holgersson; Jacob Tingnell; [2020]
   Keywords : Capital Asset Pricing Model; Direct Real Estate; Hedonic Model; Mean-Variance Optimization; Mixed-Asset Portfolio;

   Abstract : We use mean-variance analysis to examine the optimal allocation to real estate for institutional investors investing in Swedish assets and whether direct real estate provides diversification benefits to a mixed-asset portfolio. The study takes the perspective of institutional investors interested in dividing the real estate asset class into the two asset categories direct real estate and indirect real estate. READ MORE

6. 35. Mixed Integer Linear Programming for Allocation of Collateral within Securities Lending

   University essay from KTH/Optimeringslära och systemteori

   Author : Martin Wass; [2020]
   Keywords : Collateral; collateral management; optimisation; mixed integer linear programming; collateral allocation; opportunity cost; triparty collateral management; counterparty risk; Säkerheter; säkerhetshantering; optimering; blandat-heltal linjär programmering; alternativkostnad; motpartsrisk; tripartykostnad;

   Abstract : A mixed integer linear programming formulation is used to solve the problem of allocating assets from a bank to its counterparties as collateral within securities lending. The aim of the optimisation is to reduce the cost of allocated collateral, which is broken down into the components opportunity cost, counterparty risk cost and triparty cost. READ MORE