Essays about: "Modern Portfolio Theory MPT"

Showing result 1 - 5 of 9 essays containing the words Modern Portfolio Theory MPT.

  1. 1. Spectral Portfolio Optimisation with LSTM Stock Price Prediction

    University essay from KTH/Matematisk statistik

    Author : Nancy Wang; [2020]
    Keywords : Artificial Neural Network; LSTM; Spectral factor model; Portfolio optimisation; Stock price prediction; Time series analysis; Risk estimation; Spectral risk; Frequency-specific beta decomposition; Artificiella neurala nätverk; LSTM; Spektralfaktormodell; Portföljoptimering; Aktieprispredikering; Tidsserieranalys; Riskestimering; Spektra risk; Frekvensspecifik beta dekomposition;

    Abstract : Nobel Prize-winning modern portfolio theory (MPT) has been considered to be one of the most important and influential economic theories within finance and investment management. MPT assumes investors to be riskaverse and uses the variance of asset returns as a proxy of risk to maximise the performance of a portfolio. READ MORE

  3. 2. Assessing the Economic Value of Implied Volatility Estimates

    University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

    Author : Johannes Ackermann; [2018]
    Keywords : implied volatility; option pricing; modern portfolio theory; GARCH; Markov switching models;

    Abstract : This thesis studies the value of implied volatility estimates for portfolio allocation under the modern portfolio theory (MPT) framework introduced by Markowitz and compares the pricing performances of several common option pricing models. The thesis consists of two parts. READ MORE

  4. 3. The Role of Gold in an Investment Portfolio : An empirical study on diversification benefits of gold from the perspective of Swedish investors

    University essay from Umeå universitet/Företagsekonomi

    Author : Nelly Fernando; [2017]
    Keywords : Gold; Investment Portfolio;

    Abstract : Human interaction with gold can be traced far back in history, and throughout history, the metal has been both worshipped and fought for. People almost intuitively place a high value on this yellow metal and gold has always had a special place in the human heart. READ MORE

  5. 4. Market frictions effect on optimal real estate allocation in a multi-asset portfolio : A study of the Swedish market

    University essay from KTH/Fastigheter och byggande

    Author : Fabian Malm; Emil Javelius; [2017]
    Keywords : Mixed-asset portfolio; market frictions; market imperfections; real estate allocation; optimal allocation.; Marknadsimperfektioner; portföljteori; optimal allokering; fastighets allokering;

    Abstract : The weight of real estate in a multi-asset portfolio is a highly discussed matter and the main purpose for every investor is to reach an optimal diversification. The aim of the thesis is to apply a new allocation model, which considers market imperfections characterized by real estate. READ MORE

  6. 5. Does copula beat linearity? : Comparison of copulas and linear correlation in portfolio optimization.

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

    Author : Joakim Blom; Joakim Wargclou; [2016]
    Keywords : Copula; Portfolio Optimization; Extreme Value Theory; CVaR Optimization;

    Abstract : Modern portfolio theory (MPT) is an investment theory which was introduced by Harry Markowitz in 1952 and describes how risk averse investors can optimize their portfolios. The objective of MPT is to assemble a portfolio by maximizing the expected return given a level of market risk or minimizing the market risk given an expected return. READ MORE