Essays about: "Markowitz weights"

Showing result 1 - 5 of 9 essays containing the words Markowitz weights.

  1. 1. Portfolio Strategies Under Different Inflationary Regimes

    University essay from KTH/Matematik (Avd.)

    Author : Mohit Parkash; Diana Halladgi Naghadeh; [2023]
    Keywords : Inflation; Regression Analysis; Portfolio Optimization; Markowitz; Efficient Frontier; Asset Allocation; Portfolio Management; Financial Mathematics; Inflation; Regressionsanalys; Portföljoptimering; Markowitz; Effektiv Front; Tillgångsallokering; Portföljförvaltning; Finansiell Matematik;

    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

  3. 2. A Quantitative Framework for Constructing a Multi-Asset CTA with a Momentum-Based Approach

    University essay from Uppsala universitet/Datalogi

    Author : Rebecca Fällström; [2023]
    Keywords : Commodity trading advisors; CTA; trend-following; momentum strategies; risk parity; equally weighted; Markowitz weights; optimization;

    Abstract : 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

  4. 3. Portfolio Performance Analysis: Combining Cryptocurrencies with Traditional Assets

    University essay from Göteborgs universitet/Graduate School

    Author : Mihail Huzun; [2022-06-29]
    Keywords : Cryptocurrencies; Bitcoin; Ethereum; Ripple; Litecoin; Portfolio Strategies; Diversification Benefits; Markowitz;

    Abstract : This paper investigates the role of cryptocurrencies in enhancing the performance of portfolios constructed with traditional assets. Therefore, my thesis wants to ascertain if investors should consider adding cryptocurrencies to their investment portfolios. The sample period covers almost seven years of daily data. READ MORE

  5. 4. 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

  6. 5. Simulation-Based Portfolio Optimization with Coherent Distortion Risk Measures

    University essay from KTH/Matematisk statistik

    Author : Andreas Prastorfer; [2020]
    Keywords : Risk Management; Portfolio Optimization; Conditional Value-at-Risk; Coherent Distortion Riks Measures; Elliptical Distribution; GARCH model; Normal Copulas; Extreme Value Theory; Risk Contributions; Riskhantering; Portföljoptimering; Conditional Value-at-Risk; Koherenta distortionsriskmått; Elliptiska fördelningar; GARCH modeller; Normal-copula; Extremvärdes teori; Riskbidrag;

    Abstract : This master's thesis studies portfolio optimization using linear programming algorithms. The contribution of this thesis is an extension of the convex framework for portfolio optimization with Conditional Value-at-Risk, introduced by Rockafeller and Uryasev. READ MORE