Essays about: "Mean-variance"

Showing result 6 - 10 of 121 essays containing the word Mean-variance.

  1. 6. Navigating the Volatility Adjustment in Solvency II : Portfolio Optimization for Balance Sheet Stability

    University essay from Umeå universitet/Institutionen för matematik och matematisk statistik

    Author : Max Thorendal; [2023]
    Keywords : ;

    Abstract : This thesis investigates volatility adjustment from the Solvency II regulation and portfolio allocation methods for pension- and life insurance companies aiming to maintain a stable balance sheet. The volatility adjustment is a component added to the risk-free rate for discounting the present value of future liabilities, and it is calculated monthly based on the spread levels in the fixed-income market. READ MORE

  3. 7. Portfolio Optimization Problems with Transaction Costs

    University essay from KTH/Skolan för teknikvetenskap (SCI)

    Author : Stina Gustavsson; Linnéa Gyllberg; [2023]
    Keywords : Portfolio optimization; variable transaction costs; fixed transaction costs;

    Abstract : Portfolio theory is a cornerstone of modern finance, and it is based on the idea that an investor can reduce risk by diversifying their investments across various assets. In practice, Harry Markowitz mean-variance optimization theory is expanded upon by taking into account variable and fixed transaction cost, making the model slightly more reliable. READ MORE

  4. 8. Dynamic Covariance Modelling Using Generalised Wishart Processes

    University essay from Lunds universitet/Matematisk statistik

    Author : Fredrik Nilsson; [2023]
    Keywords : Covariance matrix; generalised Wishart process; Bayesian inference; Markov chain Monte Carlo; Hamiltonian Monte Carlo; Mathematics and Statistics;

    Abstract : Modern portfolio theory was pioneered by Markowitz who formulated the mean-variance problem, without which any discussion on quantitative approaches to portfolio selection would be incomplete. The framework boils down to finding the expected return $\mu$ and covariance $\Sigma$, after which the solution is proportional to $\Sigma^{-1}\mu$. READ MORE

  5. 9. Portfolio Optimization: The search for an optimal portfolio with cryptocurrencies and S&P 500

    University essay from

    Author : Anton Rapp; Henrik Thorwaldsson; [2022-07-11]
    Keywords : Portfolio optimization; Miniumum variance portfolio; Capital allocation line; Cryptocurrency; Diversification;

    Abstract : This thesis’ aim is to create an optimal portfolio consisting of Bitcoin, Ethereum and S&P 500. We also examine the minimum variance portfolio with the framework of Markowitz's mean variance optimization model. READ MORE

  6. 10. Portfolio Performance Analysis: Combining Cryptocurrencies with Traditional Assets

    University essay from Göteborgs universitet/Graduate School

    Author : Mihail Huzun; [2022-06-29]
    Keywords : Cryptocurrencies; Bitcoin; Ethereum; Ripple; Litecoin; Portfolio Strategies; Diversification Benefits; Markowitz;

    Abstract : This paper investigates the role of cryptocurrencies in enhancing the performance of portfolios constructed with traditional assets. Therefore, my thesis wants to ascertain if investors should consider adding cryptocurrencies to their investment portfolios. The sample period covers almost seven years of daily data. READ MORE