Essays about: "Markowitz Mean Variance Theory"
Showing result 1 - 5 of 16 essays containing the words Markowitz Mean Variance Theory.
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1. Portfolio Optimization Problems with Transaction Costs
University essay from KTH/Skolan för teknikvetenskap (SCI)Abstract : Portfolio theory is a cornerstone of modern finance, and it is based on the idea that an investor can reduce risk by diversifying their investments across various assets. In practice, Harry Markowitz mean-variance optimization theory is expanded upon by taking into account variable and fixed transaction cost, making the model slightly more reliable. READ MORE
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2. Dynamic Covariance Modelling Using Generalised Wishart Processes
University essay from Lunds universitet/Matematisk statistikAbstract : Modern portfolio theory was pioneered by Markowitz who formulated the mean-variance problem, without which any discussion on quantitative approaches to portfolio selection would be incomplete. The framework boils down to finding the expected return $\mu$ and covariance $\Sigma$, after which the solution is proportional to $\Sigma^{-1}\mu$. READ MORE
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3. How to Get Rich by Fund of Funds Investment - An Optimization Method for Decision Making
University essay from Mälardalens universitet/Akademin för utbildning, kultur och kommunikationAbstract : Optimal portfolios have historically been computed using standard deviation as a risk measure.However, extreme market events have become the rule rather than the exception. To capturetail risk, investors have started to look for alternative risk measures such as Value-at-Risk andConditional Value-at-Risk. READ MORE
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4. Evaluation of a Portfolio in Dow Jones Industrial Average Optimized by Mean-Variance Analysis
University essay from KTH/Matematisk statistikAbstract : This thesis evaluates the mean-variance analysis framework by comparing the performance of an optimized portfolio consisting of stocks from the Dow Jones Industrial Average to the performance of the Dow Jones Industrial Average index itself. The results show that the optimized portfolio performs better than the corresponding index when evaluated on the period between 2015 and 2019. READ MORE
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5. Performance testing theblack-litterman model on OMXS30
University essay from Stockholms universitet/FinansieringAbstract : An investor wants to maximize return at the cost of as little risk as possible and theBlack-Litterman model can help see that this condition is met. This thesis willinvestigate whether a portfolio created by using modern portfolio theory can beat thebenchmark index in terms of risk-adjusted return during a five year backtest period(2013-2017). READ MORE