Essays about: "Mean-variance framework"

Showing result 31 - 35 of 41 essays containing the words Mean-variance framework.

  1. 31. On Portfolio Optimization: The Benefits of Constraints in the Presence of Transaction Costs

    University essay from Uppsala universitet/Nationalekonomiska institutionen

    Author : Alan Ramilton; [2014]
    Keywords : Portfolio Optimization; Transaction Costs; Holding Constraints; Turnover Constraints; Investment Strategy; Portfolio Rebalancing Model;

    Abstract : Most studies view transaction costs and constraints separate in the mean-variance framework. As such, I evaluate the benefits of holding and turnover constraints in the presence of transaction costs on Swedish Asset Returns. In theory, the benefits should be limited when transaction costs are included in the portfolio rebalancing problem. READ MORE

  3. 32. DYNAMIC PORTFOLIO STRATEGY - USING A MULTIVARIATE GARCH MODEL

    University essay from Lunds universitet/Nationalekonomiska institutionen

    Author : Stefan Svärd; [2014]
    Keywords : EGARCH; DCC; Multivariate GARCH model; GARCH-M; OMXS30; Active Portfolio Management; Business and Economics;

    Abstract : This paper examines if it is possible to achieve a higher cumulative and risk adjusted return through an active portfolio strategy compared to a passive portfolio strategy. This is done through a mean-variance framework in which the variance is forecasted using two different models. READ MORE

  4. 33. The Role of Gold in a Portfolio in Different Market Conditions-Is gold still an attractive investment after the financial crisis in 2008?

    University essay from Lunds universitet/Företagsekonomiska institutionen

    Author : Thian Thiumsak; Kittiporn Sinsukthavorn; [2013]
    Keywords : Business and Economics;

    Abstract : This thesis examines whether gold is still attractive to be invested as one of the portfolio component after the financial crisis in 2008. Besides, the study suggests the appropriate weight of gold in the portfolio investment during the normal and crisis periods. This paper uses the U.S. READ MORE

  5. 34. The Black-Litterman Model Applied on OMXS30

    University essay from Lunds universitet/Nationalekonomiska institutionen

    Author : Fredrik Gertzell; [2013]
    Keywords : Black-Litterman; portfolio optimization; omxs30; Business and Economics;

    Abstract : This thesis applies the Black-Litterman (BL) model on the stocks that makes up the Swedish stock index OMXS30 during the year of 2012. Public information in the form of stock recommendations from financial institutions has been used as views in the BL-framework. READ MORE

  6. 35. Portfolio optimization: The Downside risk framework versus the Mean-Variance framework

    University essay from Lunds universitet/Nationalekonomiska institutionen

    Author : Hulda Sigmundsdóttir; Shubiao Ren; [2012]
    Keywords : Mean-variance framework; expected shortfall; Sharpe ratio; downside risk ratio.; Business and Economics;

    Abstract : The tradeoff between risk and return is a topic that most investors consider carefully before an investment decision is made. Markowitz’s pioneer work on portfolio selection using the mean-variance framework has entailed a great extent of research in this field. READ MORE