Essays about: "Mean-variance"
Showing result 21 - 25 of 121 essays containing the word Mean-variance.
-
21. Hedging and Diversification Benefits of Cryptocurrencies: A study of a novel asset class
University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomiAbstract : The purpose of this study is to conduct an examination into the hedging capabilities and diversification benefits of cryptocurrencies with the aim to add to a very limited set of existing literature. The objective is to investigate whether or not the role of cryptocurrencies in financial markets pertain to hedging and improving risk-adjusted returns. READ MORE
-
22. Analysis of the Performance of ETFs. A study on the US market
University essay from Lunds universitet/Nationalekonomiska institutionenAbstract : Exchange Traded Funds are known as a relatively recent financial innovation and have been gaining investors' interest in recent years. The performance of ETF in comparison to other benchmarks is still the central concern when investors make an investment decision. READ MORE
-
23. Modelling regime shifts for foreign exchange market data using hidden Markov models
University essay from KTH/Matematik (Avd.)Abstract : Financial data is often said to follow different market regimes. These regimes, which not possible to observe directly, are assumed to influence the observable returns. In this thesis such regimes are modeled using hidden Markov models. READ MORE
-
24. The Black-Litterman Asset Allocation Model - An Empirical Analysis of Its Practical Use
University essay from KTH/Matematik (Avd.)Abstract : Modern portfolio theory has its attractive characteristics of promoting diversification in a portfolio and can be seen as an easy alternative for setting optimal weights for portfolio managers. Furthermore, as portfolio managers try to beat a defined benchmark for their portfolio the Black-Litterman model allows them to include their own prospects on the future return of markets and securities. READ MORE
-
25. 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