Essays about: "Markowitz Mean-Variance Optimization"

Showing result 1 - 5 of 19 essays containing the words Markowitz Mean-Variance Optimization.

  1. 1. Portfolio Optimization Problems with Transaction Costs

    University essay from KTH/Skolan för teknikvetenskap (SCI)

    Author : Stina Gustavsson; Linnéa Gyllberg; [2023]
    Keywords : Portfolio optimization; variable transaction costs; fixed transaction costs;

    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

  3. 2. 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 kommunikation

    Author : Sabina Colakovic; [2022]
    Keywords : Modern Portfolio Theory; Markowitz Model; Mean-Variance Optimization; Valueat-Risk; Conditional Value-at-Risk; Geometric Mean Return; Efficient Frontier; Portfolio Optimization; Markowitz 2.0;

    Abstract : 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

  4. 3. The Rational Investor is a Bayesian

    University essay from KTH/Skolan för teknikvetenskap (SCI)

    Author : Jiajun Qu; [2022]
    Keywords : Portfolio optimization; Mean-variance optimization; Bayesian approach; Linear shrinkage; Black-Litterman; Robust optimization;

    Abstract : The concept of portfolio optimization has been widely studied in the academy and implemented in the financial markets since its introduction by Markowitz 70 years ago. The problem of the mean-variance optimization framework caused by input uncertainty has been one of the foci in the previous research. READ MORE

  5. 4. Inversion of Markowitz Portfolio Optimization to Evaluate Risk

    University essay from KTH/Skolan för elektroteknik och datavetenskap (EECS)

    Author : Axel Persson; Ran Li; [2021]
    Keywords : Markowitz Portfolio Optimization; Efficient Frontier; Diversification; Asset allocation; Risk and Return; Inverse optimization; Inverse problems;

    Abstract : This project investigates the applicability of the originalversion of Markowitz’s mean-variance model for portfoliooptimization to real-world modern actively managed portfolios.The method measures the mean-variance model’s capability toaccurately capture the riskiness of given portfolios, by invertingthe mathematical formulation of the model. READ MORE

  6. 5. Evaluation of a Portfolio in Dow Jones Industrial Average Optimized by Mean-Variance Analysis

    University essay from KTH/Matematisk statistik

    Author : Alexander Strid; Daniel Liu; [2020]
    Keywords : applied mathematics; mean-variance analysis; modern portfolio theory; Markowitz; Dow Jones Industrial Average; quadratic optimization; portfolio optimization; tillämpad matematik; mean-variance analysis; modern portföljteori; Markowitz; Dow Jones Industrial Average; kvadratisk optimering; portföljoptimering;

    Abstract : 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