Essays about: "Covariance matrix"

Showing result 36 - 40 of 55 essays containing the words Covariance matrix.

  1. 36. Mean-Variance Portfolio Optimization : Challenging the role of traditional covariance estimation

    University essay from KTH/Industriell Marknadsföring och Entreprenörskap

    Author : ZAKARIA MARAKBI; [2016]
    Keywords : portfolio allocation; mean-variance optimization; efficient frontier; covariance ma- trix; estimation error; optimization enigma; random matrix theory; shrinking; robust statistics;

    Abstract : Ever since its introduction in 1952, the Mean-Variance (MV) portfolio selection theory has remained a centerpiece within the realm of e_cient asset allocation. However, in scienti_c circles, the theory has stirred controversy. READ MORE

  3. 37. Carry trade optimization

    University essay from Göteborgs universitet/Institutionen för nationalekonomi med statistik

    Author : Peter Mannerbjörk; [2015-02-06]
    Keywords : carry trade; intrinsic currency value; portfolio optimization;

    Abstract : This thesis investigates various possible improvements of implementing the carry trade. For this purpose a number of benchmark carry trade strategies are formed to which the results of the modified strategies are compared. READ MORE

  4. 38. Measurement of dispersion barriers through SEM images

    University essay from Uppsala universitet/Centrum för bildanalys

    Author : Basel Aiesh; [2015]
    Keywords : ;

    Abstract : In this thesis digital image analysis is applied to Scanning Electron Microscope imagesof dispersion barriers to measure specific properties. The thin barriers are used asprotection for paperboard packaging and are made of polymers and fillers. READ MORE

  5. 39. Optimal Linear Combinations of Portfolios Subject to Estimation Risk

    University essay from Mälardalens högskola/Akademin för utbildning, kultur och kommunikation

    Author : Robin Jonsson; [2015]
    Keywords : Markowitz; Portfolio Optimization; Diversification; Convex Optimums; Linear Combinations; Estimation Risk; Parameter Uncertainty; Global Minimum Variance; Mean-Variance Analysis; Naive Diversification; Modern Portfolio Theory; Allocation; Shrinkage; Covariance Estimation;

    Abstract : The combination of two or more portfolio rules is theoretically convex in return-risk space, which provides for a new class of portfolio rules that gives purpose to the Mean-Variance framework out-of-sample. The author investigates the performance loss from estimation risk between the unconstrained Mean-Variance portfolio and the out-of-sample Global Minimum Variance portfolio. READ MORE

  6. 40. A risk-transaction cost trade-off model for index tracking

    University essay from KTH/Matematisk statistik

    Author : Alex Singh; [2014]
    Keywords : Cross-validation; Distribution of eigenvalues; Factor models; Portfolio rebalancing; Risk estimation; Transaction costs;

    Abstract : This master thesis considers and evaluates a few different risk models for stock portfolios, including an ordinary sample covariance matrix, factor models and an approach inspired from random matrix theory. The risk models are evaluated by simulating minimum variance portfolios and employing a cross-validation. READ MORE