Essays about: "GMV"

Showing result 1 - 5 of 6 essays containing the word GMV.

1. 1. Gray matter alterations in individuals with PTSD compared to controls : A systematic review

   University essay from Högskolan i Skövde/Institutionen för biovetenskap

   Author : Saga Sandkvist Studsare; Arash Arvidsson; [2023]
   Keywords : Post-traumatic stress disorder; PTSD; Voxel-Based Morphometry; gray matter;

   Abstract : This systematic review aims to investigate the alterations in gray matter volume (GMV) observed in the brains of individuals diagnosed with post-traumatic stress disorder (PTSD) through the Clinical Administered PTSD scale (CAPS) using Voxel-Based Morphometry (VBM) as a method. PTSD is diagnosed when an individual meets all the criteria for PTSD as defined by the DSM, which includes having experienced or witnessed a traumatic event, experiencing intrusive symptoms such as flashbacks or nightmares, avoiding triggers related to the trauma, experiencing negative changes in mood and cognition, and experiencing changes in arousal and reactivity. READ MORE

3. 2. The benefits of optimized portfolios- An empirical comparison between optimized portfolios and benchmarks

   University essay from Göteborgs universitet/Graduate School

   Author : John Nestenborg; Simon Petersson; [2022-06-29]
   Keywords : Optimized portfolios; Global Minimum Variance; GMV; Equal Risk Contribution; ERC; Naive portfolio; Market-Capitalization portfolio; Comparison between portfolio weighting schemes;

   Abstract : Uncertainty about the future is an everlasting part of investing. This study aims at testing the historical performance out-of-sample for optimized portfolios and if the performance was superior to benchmarks. 11 different portfolios are compared to two different benchmarks; the naive- and market-capitalized portfolio. READ MORE

4. 3. Portfolio Optimization : A DCC-GARCH forecast with implied volatility

   University essay from Linnéuniversitetet/Institutionen för ekonomistyrning och logistik (ELO)

   Author : Sam Bigdeli; Filip Bengtsson; [2019]
   Keywords : DCC-GARCH; Portfolio Optimization; Certainty Equivalence Tangency; CET; Global Minimum Variance; GMV; Minimum Conditional Value-at-Risk; MinCVaR; Implied volatility index; VIX;

   Abstract : This thesis performs portfolio optimization using three allocation methods, Certainty Equivalence Tangency (CET), Global Minimum Variance (GMV) and Minimum Conditional Value-at-Risk (MinCVaR). We estimate expected returns and covariance matrices based on 7 stock market indices with a DCC-GARCH model including an ARMA (1. READ MORE

5. 4. An alternative approach for solving the problem of close to singular covariance matrices in modern portfolio theory

   University essay from Lunds universitet/Statistiska institutionen

   Author : Martin Claeson; [2017]
   Keywords : global minimum variance portfolio; singular covariance matrix; sector index portfolio; Business and Economics; Mathematics and Statistics;

   Abstract : In this thesis the effects of utilizing the sample covariance matrix in the estimation of the global minimum variance (GMV) portfolio are presented. When the number of assets, N, are close to the number of observations, T, the sample covariance matrix approaches singularity, leading to a lot of uncertainties in form of estimation error. READ MORE

6. 5. A critical review of the global minimum variance theory

   University essay from Lunds universitet/Statistiska institutionen

   Author : Martin Claeson; [2016]
   Keywords : Mathematics and Statistics;

   Abstract : The main purpose of this thesis is to give a basic understanding of the GMV portfolio theory and the problematics that arise when using the sample covariance matrix as the only parameter. The reason for this is the amount of estimation error that tends to increase as the sample covariance matrix goes to a higher dimension. READ MORE