Essays about: "Markowitz optimization"
Showing result 1 - 5 of 47 essays containing the words Markowitz optimization.
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1. Portfolio Strategies Under Different Inflationary Regimes
University essay from KTH/Matematik (Avd.)Abstract : In 2023, the topic of ongoing inflation is being discussed almost daily as it has become inevitable. The global economy is facing significant uncertainty and downward pressure as several leading developed nations adopted expansionary fiscal policies and quantitative easing monetary policies during the pandemic. READ MORE
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2. Stochastic Portfolio Optimization
University essay from KTH/Skolan för teknikvetenskap (SCI)Abstract : The main purpose for an aggressive investor is to maximize the return in theinvestments. But in order to do so the risk should be taken into consideration.In this thesis, we utilize Markowitz portfolio theory, one of the standard modelsfor maximizing return while considering risk. READ MORE
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3. A Quantitative Framework for Constructing a Multi-Asset CTA with a Momentum-Based Approach
University essay from Uppsala universitet/DatalogiAbstract : Commodity Trading Advisors (CTAs) have gained popularity due to their abilities to generate an absolute return strategy. Little is known about how CTAs work and what variables are important to tune in order to create a profitable strategy. READ MORE
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4. 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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5. An investigation of Sustainable Assets, Equitiesand the Bond market during the Globalpandemic, COVID-19
University essay from Linköpings universitet/Nationalekonomi; Linköpings universitet/Filosofiska fakultetenAbstract : ESG investing has been a hot topic during several years and there have been numerousstudies examining the relationship between sustainable assets and non-sustainable assetsincluding green bonds, social bonds, environmental bonds, ESG-bonds and ESG indices;conventional bonds, S&P 500, common stocks and non-ESG indices. During negative marketshocks several ESG stocks and indices have been shown to outperform common stocks andindices. READ MORE