Essays about: "Asset allocation"
Showing result 36 - 40 of 132 essays containing the words Asset allocation.
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36. ASSET-LIABILITY MANAGEMENT FROM THE PERSPECTIVE OF A PENSION FOUNDATION : SIMULATION AND EVALUATION OF INVESTMENT- AND PORTFOLIO SELECTION STRATEGIES
University essay from Umeå universitet/Institutionen för matematik och matematisk statistikAbstract : Asset Liability Management is a current topic where accountability of asset management is of high importance. This is a result of continuously increasing investments in the stock market globally. The globalisation exposes a big part of the different markets to the same types of risk. READ MORE
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37. Portfolio Performance Optimization Using Multivariate Time Series Volatilities Processed With Deep Layering LSTM Neurons and Markowitz
University essay from KTH/Matematisk statistikAbstract : The stock market is a non-linear field, but many of the best-known portfolio optimization algorithms are based on linear models. In recent years, the rapid development of machine learning has produced flexible models capable of complex pattern recognition. READ MORE
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38. A Utility Approach: Strategy Analysis and Optimization
University essay from Lunds universitet/Matematisk statistikAbstract : Utility theory and Monte Carlo simulations are used to calculate optimal allocation for long term as well as, risk averse investors with a portfolio consisting of one risky asset and one risk-free bank account. The problems solved in this thesis are divided into two types, static and dynamic. READ MORE
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39. Online intra-day portfolio optimization using regime based models
University essay from Lunds universitet/Matematisk statistikAbstract : In this thesis model predictive control (MPC) is used to dynamically optimize a portfolio where the data is sampled every 5 minutes. Previous research has shown how MPC optimization applied to daily sampled financial data can generate a portfolio that exceeds the value of standard portfolio strategies such as Strategic asset allocation. READ MORE
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40. Measuring the impact of strategic and tactic allocation for managed futures portfolios
University essay from KTH/Matematisk statistikAbstract : The optimal asset allocation is an ever current matter for investment managers. This thesis aims to investigate the impact of risk parity and target volatility on the Sharpe ratio of a portfolio consisting of futures contracts on equity indices and bonds during the period 2000-2018. READ MORE