Essays about: "Mean-variance framework"

Showing result 16 - 20 of 41 essays containing the words Mean-variance framework.

1. 16. 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

3. 17. 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

4. 18. 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

5. 19. 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

6. 20. 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