Essays about: "Markowitz Mean Variance Theory"

Showing result 11 - 15 of 16 essays containing the words Markowitz Mean Variance Theory.

  1. 11. 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

  3. 12. A quantitative study of optimal asset allocation in a mean-CVaR & mean-variance framework

    University essay from Umeå universitet/Institutionen för matematik och matematisk statistik

    Author : Marcus Nilsson; [2014]
    Keywords : ;

    Abstract : Optimal portfolio selection has been an area of great focus ever since the inception of modern portfolio theory as proposed by Harry Markowitz. This project has applied Markowitz modern portfolio theory to an invest- ment universe created from the output of an economic scenario genera- tor. READ MORE

  4. 13. A Heuristic Downside Risk Approach to Real Estate Portfolio Structuring : a Comparison Between Modern Portfolio Theory and Post Modern Portfolio Theory

    University essay from KTH/Bygg- och fastighetsekonomi

    Author : Erik Hamrin; [2011]
    Keywords : Portfolio Optimization; Real Estate; Downside Risk; Mean Variance; MPT; PMPT; Semivariance; Standard Deviation.;

    Abstract : Portfolio diversification has been a subject frequently addressed since the publications of Markowitz in 1952 and 1959. However, the Modern Portfolio Theory and its mean variance framework have been criticized. The critiques refer to the assumptions that return distributions are normally distributed and the symmetric definition of risk. READ MORE

  5. 14. The Omega Function : A Comparison Between Optimized Portfolios

    University essay from Akademin för utbildning, kultur och kommunikation

    Author : Ali Salih; [2011]
    Keywords : Portfolio; Portfolio theory; optimising; optimizing; optimization; optimisation; Omega; Omega function; sharpe; sharpe ratio; ranking assets; markowitz; transaction cost;

    Abstract : The traditional way to analyze stocks and portfolios within the area of finance have been restricted to Sharpe and Markovitz. The Omega function and its properties enlighten the field of finance and differs from the traditional ways when it comes to the volatility of the stocks. READ MORE

  6. 15. The Perfect Portfolio

    University essay from Lunds universitet/Nationalekonomiska institutionen

    Author : Daniel Bertland; [2008]
    Keywords : asset allocation; Black-Litterman; Markowitz; Portfolio; Real Estate; Economics; econometrics; economic theory; economic systems; economic policy; Nationalekonomi; ekonometri; ekonomisk teori; ekonomiska system; ekonomisk politik; Business and Economics;

    Abstract : Nowadays investors have a large number of choices of how they can invest their money. One of their biggest challenges is how to allocate their portfolio between equities, bonds and properties. It can only be shown afterwards, which was the best allocation. That is why it is so popular to look at historical mean-variance to predict the future. READ MORE