Essays about: "Mean-variance framework"

Showing result 1 - 5 of 25 essays containing the words Mean-variance framework.

  1. 1. DOES BITCOIN MAKE SWEDES SHARP(E)? An empirical study of the effect on riskadjusted return when including Bitcoin in the average Swedish investor´s portfolio

    University essay from

    Author : Sandra Hernvall; Kent Oskar Härnestav; [2018-07-05]
    Keywords : Bitcoin; Cryptocurrency; Portfolio Optimization; Hedge; Safe Haven; Diversification; Sharpe Ratio;

    Abstract : Globalization causes domestic markets to become increasingly correlated, making it harder for investors to find instruments for diversification. Bitcoin is a cryptocurrency that has shown spectacular returns and drawn great attention during the past two years. 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

  3. 3. A Black-Litterman portfolio allocation model combined with a Markov switching framework

    University essay from Lunds universitet/Matematisk statistik

    Author : Axel Skantze; [2018]
    Keywords : Mathematics and Statistics;

    Abstract : This is a M.Sc. thesis investigating the compatibility and performance of a regime switching framework as a complement to the Black-Litterman portfolio allocation model. Conclusively, it is considered to be a compatible match of models in terms of practical implementation and the results indicate that the model is performing well. READ MORE

  4. 4. Multi-period portfolio optimization given a priori information on signal dynamics and transactions costs

    University essay from KTH/Optimeringslära och systemteori

    Author : Jedra Yassir; [2018]
    Keywords : Multi-period portfolio optimization; portfolio selection; mean-variance optimization; return predictability; mean reverting processes; transactions costs; market impacts; stochastic optimal control.;

    Abstract : Multi-period portfolio optimization (MPO) has gained a lot of interest in modern portfolio theory due to its consideration for inter-temporal trading e effects, especially market impacts and transactions costs, and for its subtle reliability on return predictability. However, because of the heavy computational demand, portfolio policies based on this approach have been sparsely explored. READ MORE

  5. 5. The Mathematical Formulation and Practical Implementation of Markowitz 2.0

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

    Author : Erick Momanyi; [2017]
    Keywords : ;

    Abstract : Standard Deviation is a commonly used risk measures in risk management and portfolio optimization. Optimal portfolios have normally been computed using standard deviation as the measure of choice for risk. READ MORE