Essays about: "Mean-Variance Analysis"

Showing result 6 - 10 of 33 essays containing the words Mean-Variance Analysis.

1. 6. The Black-Litterman Asset Allocation Model - An Empirical Analysis of Its Practical Use

   University essay from KTH/Matematik (Avd.)

   Author : Hampus Ernstsson; Max Börjes Liljesvan; [2021]
   Keywords : Black-Litterman model; asset allocation; portfolio optimization; investor views; portfolio management; Black-Litterman model; tillgångsallokering; portföljoptimering; investerarens förväntade avkastningar; portföljförvaltning;

   Abstract : Modern portfolio theory has its attractive characteristics of promoting diversification in a portfolio and can be seen as an easy alternative for setting optimal weights for portfolio managers. Furthermore, as portfolio managers try to beat a defined benchmark for their portfolio the Black-Litterman model allows them to include their own prospects on the future return of markets and securities. READ MORE

3. 7. 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

4. 8. How is ESG Affecting Stock Returns? A Portfolio- and Panel Data Analysis of US Firms in the S&P 500

   University essay from Lunds universitet/Nationalekonomiska institutionen

   Author : Per Jonas Partapuoli; Charlotte Breitz; [2020]
   Keywords : ESG; HML; S P 500; Momentum; Fama-French Five-factor Model; Portfolio Analysis; Panel Data Analysis; Sustainable Investing; Great Financial Crisis; Business and Economics;

   Abstract : The last two decades, socially responsible investing has emerged such that there is a value in itself to invest responsibly. This paper analyzes the relationship between Environmental, Social, Governance (ESG) and stock returns, and investigate if any of these three individual pillars have a more significant impact during the period 2005 – 2018. READ MORE

5. 9. What is the Optimal Allocation Level to Real Estate in a Swedish Mixed-Asset Portfolio Including both Direct and Indirect Real Estate?

   University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

   Author : Oscar Holgersson; Jacob Tingnell; [2020]
   Keywords : Capital Asset Pricing Model; Direct Real Estate; Hedonic Model; Mean-Variance Optimization; Mixed-Asset Portfolio;

   Abstract : We use mean-variance analysis to examine the optimal allocation to real estate for institutional investors investing in Swedish assets and whether direct real estate provides diversification benefits to a mixed-asset portfolio. The study takes the perspective of institutional investors interested in dividing the real estate asset class into the two asset categories direct real estate and indirect real estate. READ MORE

6. 10. Sustainability for Portfolio Optimization

   University essay from Mälardalens högskola/Akademin för utbildning, kultur och kommunikation

   Author : Asomani Kwadwo Anane; [2019]
   Keywords : Sustainability; portfolio optimization; Markowitz mean-variance theory;

   Abstract : The 2007-2008 financial crash and the looming climate change and global warming have heightened interest in sustainable investment. But whether the shift is as a result of the financial crash or a desire to preserve the environment, a sustainable investment might be desirable. READ MORE