Essays about: "Mean variance-optimering"

Found 2 essays containing the words Mean variance-optimering.

  1. 1. An Empirical Study of Modern Portfolio Optimization

    University essay from KTH/Matematisk statistik

    Author : Erik Lagerström; Michael Magne Schrab; [2020]
    Keywords : Mean variance optimization; portfolio theory; asset allocation strategies; equal risk contribution; most diversified portfolio; empirical study; backtesting; Mean variance-optimering; portföljteori; allokeringsstrategier; equal risk contribution; most diversified portfolio; empirisk studie; historisk simulering;

    Abstract : Mean variance optimization has shortcomings making the strategy far from optimal from an investor’s perspective. The purpose of the study is to conduct an empirical investigation as to how modern methods of portfolio optimization address the shortcomings associated with mean variance optimization. READ MORE

  2. 2. Asset and Liability Management: Optimization using Least-Squares Monte Carlo

    University essay from Lunds universitet/Matematisk statistik

    Author : Sanna Brandel; [2018]
    Keywords : Asset and liability management; Solvency capital requirement; least-squares Monte Carlo; nested Monte Carlo simulation; risk-adjusted net asset value; mean-variance optimization; Mathematics and Statistics;

    Abstract : This thesis aims to examine an efficient asset and liability management method under Solvency II regulations, and to find an optimization framework that takes complex interactions between assets and liabilities into account. The investigated approach consists of a least-squares Monte Carlo method, where least-squares regression is used to obtain a proxy function for future net asset values. READ MORE