Essays about: "Markowitz Mean Variance Theory"

Showing result 6 - 10 of 16 essays containing the words Markowitz Mean Variance Theory.

  1. 6. Sustainability for Portfolio Optimization

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

    Author : Asomani Kwadwo Anane; [2019]
    Keywords : Sustainability; portfolio optimization; Markowitz mean-variance theory;

    Abstract : The 2007-2008 financial crash and the looming climate change and global warming have heightened interest in sustainable investment. But whether the shift is as a result of the financial crash or a desire to preserve the environment, a sustainable investment might be desirable. READ MORE

  3. 7. Markowitz vs Black--Litterman: A Comparison of Two Portfolio Optimisation Models

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

    Author : Eismann Eismann; [2018]
    Keywords : ;

    Abstract : Modern portfolio theory first gained its ground among researchers and academics, but has become increasingly popular among practitioners. This paper examines the two popular portfolio optimization models, Markowitz mean-variance model and Black-Litterman formula and compares their results on real data. READ MORE

  4. 8. Black-Litterman Model: Practical Asset Allocation Model Beyond Traditional Mean-Variance

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

    Author : Shuhrat Abdumuminov; David Emanuel Esteky; [2016]
    Keywords : Black-Litterman Model Practical Asset Allocation Model Beyond Traditional Mean-Variance Portfolio Theory;

    Abstract : This paper consolidates and compares the applicability and practicality of Black-Litterman model versus traditional Markowitz Mean-Variance model. Although well-known model such as Mean-Variance is academically sound and popular, it is rarely used among asset managers due to its deficiencies. READ MORE

  5. 9. Black-Litterman Model : Practical Asset Allocation Model Beyond Traditional Mean-Variance

    University essay from Mälardalens högskola/Utbildningsvetenskap och Matematik

    Author : David Emanuel Esteky; SHUHRAT ABDUMUMINOV; [2016]
    Keywords : Asset Allocation; Black-Letterman; portfolio theory; practical portfolio management; Mean-Variance; Portfolio optimization; Modern portfolio theory; Portfolio selection; efficent frontier; Markowitz;

    Abstract : Today the Black-Litterman model is used as an asset allocation tool by many of the largest investment banks around the globe. The Black-Litterman model was derived based on the Mean- Variance framework to maximize return for a given level of portfolio risk. READ MORE

  6. 10. Risk-Efficient Portfolios; Estimation Error In Essence

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

    Author : Daniel Adobah-Otchey; [2016]
    Keywords : Financial Engineering;

    Abstract : This thesis primarily looks at estimation error problems and other related issues arising in connection with portfolio optimization. With some available assets, a portfolio program or optimizer seeks to distribute a fixed amount of capital among these available assets to optimize some cost function. READ MORE