Essays about: "Mean-variance"

Showing result 11 - 15 of 121 essays containing the word Mean-variance.

1. 11. Black-Litterman Model for Portfolio Performance Enhancement - An Out-Of-Sample Evaluation of the Black-Litterman Model on a U.S. Stock-Dominated Portfolio

   University essay from Göteborgs universitet/Institutionen för nationalekonomi med statistik

   Author : Christoffer Hellekant; Rasmus Olofsson; [2022-02-15]
   Keywords : ;

   Abstract : In this thesis, the Black-Litterman model is evaluated out-of-sample and compared to mean-variance and naïve allocation. Two references are implemented in the Black-Litterman framework, the minimum-variance and naive portfolios. The study complements previ-ous work by considering a stock-dominated portfolio, where all assets are from the U.S. READ MORE

3. 12. How to Get Rich by Fund of Funds Investment - An Optimization Method for Decision Making

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

   Author : Sabina Colakovic; [2022]
   Keywords : Modern Portfolio Theory; Markowitz Model; Mean-Variance Optimization; Valueat-Risk; Conditional Value-at-Risk; Geometric Mean Return; Efficient Frontier; Portfolio Optimization; Markowitz 2.0;

   Abstract : Optimal portfolios have historically been computed using standard deviation as a risk measure.However, extreme market events have become the rule rather than the exception. To capturetail risk, investors have started to look for alternative risk measures such as Value-at-Risk andConditional Value-at-Risk. READ MORE

4. 13. The Rational Investor is a Bayesian

   University essay from KTH/Skolan för teknikvetenskap (SCI)

   Author : Jiajun Qu; [2022]
   Keywords : Portfolio optimization; Mean-variance optimization; Bayesian approach; Linear shrinkage; Black-Litterman; Robust optimization;

   Abstract : The concept of portfolio optimization has been widely studied in the academy and implemented in the financial markets since its introduction by Markowitz 70 years ago. The problem of the mean-variance optimization framework caused by input uncertainty has been one of the foci in the previous research. READ MORE

5. 14. Factor Models for Futures Contracts to Improve Estimation of the Correlation Matrix

   University essay from Lunds universitet/Matematisk statistik

   Author : Ellen Ek; [2022]
   Keywords : Correlation matrix; Hierarchical Principal Component Analysis; Factor Model; Clusters; Portfolio Optimization; Futures Contracts; Mathematics and Statistics;

   Abstract : In this paper regularization of the correlation matrix between futures contracts is examined. With starting point in the recently established HPCA framework (Avellaneda, 2019), a couple of different extensions to the one-factor model is suggested. Extensions are made in terms of adjusting the model according to different cluster structures. READ MORE

6. 15. Robo-Advisor portfolioperformance : Studying the effects of building an efficientportfolio from Value at Risk, ExpectedShortfall and Mean-Variance optimization

   University essay from Blekinge Tekniska Högskola/Institutionen för industriell ekonomi

   Author : Tobias Brännvall; Stella El Masry; [2022]
   Keywords : Fintech; Robo-advisory; Innovation;

   Abstract : In this research we conduct an in-depth examination of the several financial theories as well asevaluating different implementations of a hypothetical Robo-advisor and the correspondingperformance under market stress (COVID-19). Thus, we contribute a view on Robo-advisors’ benefitsand limitations, providing a foundation for better understanding its potential. READ MORE