Essays about: "Mean-variance framework"
Showing result 11 - 15 of 41 essays containing the words Mean-variance framework.
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11. Allocation of Alternative Investments in Portfolio Management. : A Quantitative Study Considering Investors' Liquidity Preferences
University essay from KTH/Matematik (Avd.)Abstract : Despite the fact that illiquid assets pose several difficulties regarding portfolio allocation problems for investors, more investors are increasing their allocation towards them. Alternative assets are characterized as being harder to value and trade because of their illiquidity which raises the question of how they should be managed from an allocation optimization perspective. READ MORE
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12. Dollar-Cost Averaging Versus Lump-Sum-Investing : Evidence from Sweden
University essay from Uppsala universitet/Företagsekonomiska institutionenAbstract : Dollar-Cost Averaging (DCA) is a popular investment strategy for purchasing equity securities. Even though previous research shows that DCA is somehow inefficient, it has remained a default strategy widely recommended by financial advisors worldwide. READ MORE
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13. Evaluation of a Portfolio in Dow Jones Industrial Average Optimized by Mean-Variance Analysis
University essay from KTH/Matematisk statistikAbstract : 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
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14. Portfolio Optimization: An Evaluation of the Downside Risk Framework on the Nordic Equity Markets
University essay from KTH/Matematisk statistikAbstract : Risk management in portfolio construction is a widely discussed topic and the tradeoff between risk and return is always considered before an investment is made. Modern portfolio theory is a mathematical framework which describes how a rational investor can use diversification to optimize a portfolio, which suggests using variance to measure financial risk. READ MORE
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15. Portfolio Optimization using the Entropic Value-at-Risk: An Investor Preference Approach
University essay from Lunds universitet/Nationalekonomiska institutionenAbstract : It is very important for an investor to choose an accurate and effective risk measure when optimizing a portfolio of different assets. Recently, in addition to the standard risk measures such as variance or Value-at-Risk (VaR), more developed risk measures have emerged and one of them is the entropic Value-at-Risk (EVaR). READ MORE