Essays about: "Markowitz"

Showing result 1 - 5 of 77 essays containing the word Markowitz.

  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. Stochastic Portfolio Optimization

    University essay from KTH/Skolan för teknikvetenskap (SCI)

    Author : Alexander Tedestedt; Tobias Eriksson; [2023]
    Keywords : stochastic; portfolio; optimization;

    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

  4. 3. 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

  5. 4. Exploring the Diversification Benefits of NFT Sectors

    University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

    Author : Alexander Ekberg; Albin Wägmark; [2023]
    Keywords : Non-Fungible Tokens; NFTs; Diversification; Bayes-Stein; Markowitz;

    Abstract : This study investigates the evolving diversification benefits of adding Non-Fungible Token (NFT) sector indices to a portfolio consisting of traditional assets. Focusing on two investor types with contrasting risk appetites, this research examines the diversification potential before and after the 2020 Bullrun. READ MORE

  6. 5. 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