Essays about: "Minimum Variance Portfolios"

Showing result 1 - 5 of 26 essays containing the words Minimum Variance Portfolios.

  1. 1. 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

  3. 2. 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

  4. 3. The benefits of optimized portfolios- An empirical comparison between optimized portfolios and benchmarks

    University essay from Göteborgs universitet/Graduate School

    Author : John Nestenborg; Simon Petersson; [2022-06-29]
    Keywords : Optimized portfolios; Global Minimum Variance; GMV; Equal Risk Contribution; ERC; Naive portfolio; Market-Capitalization portfolio; Comparison between portfolio weighting schemes;

    Abstract : Uncertainty about the future is an everlasting part of investing. This study aims at testing the historical performance out-of-sample for optimized portfolios and if the performance was superior to benchmarks. 11 different portfolios are compared to two different benchmarks; the naive- and market-capitalized portfolio. READ MORE

  5. 4. 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

  6. 5. Portfolio Diversification with Commodities : From a Swedish Perspective

    University essay from Linköpings universitet/Nationalekonomi; Linköpings universitet/Filosofiska fakulteten

    Author : Simon Derenkow; Max Walméus; [2022]
    Keywords : Commodities; DCC-GARCH; OMXSPI; Inflation; Correlation; Diversification; Modern Portfolio Theory;

    Abstract : This paper investigates the diversification characteristics of commodities in relation to the Swedish equity index OMXSPI. Much of the previous literature concludes that gold and oil possess diversification or hedging properties against the US equity markets. READ MORE