Essays about: "Modern Portfolio Theory MPT"

Showing result 6 - 10 of 11 essays containing the words Modern Portfolio Theory MPT.

  1. 6. 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

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

    University essay from 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

  4. 8. Multivariate Financial Time Series and Volatility Models with Applications to Tactical Asset Allocation

    University essay from KTH/Matematisk statistik

    Author : Markus Andersson; [2015]
    Keywords : Multivariate Financial Time Series; Multivariate Volatility Models; Modern Portfolio Theory MPT ; Tactical Asset Allocation TAA ; Multivariata finansiella tidsserier; Multivariata volatilitets modeller; Modern portföljteori MPT ; Taktisk tillgångsallokering TAA ;

    Abstract : The financial markets have a complex structure and the modelling techniques have recently been more and more complicated. So for a portfolio manager it is very important to find better and more sophisticated modelling techniques especially after the 2007-2008 banking crisis. READ MORE

  5. 9. Value-Cost Appraisal of Wind Energy Applying Portfolio Analysis

    University essay from Institutionen för kultur, energi och miljö

    Author : Oliver Moran; [2012]
    Keywords : ;

    Abstract : To meet electricity demand, electric utilities develop portfolio strategies for generation, transmission, and distributions systems. Portfolio strategies combine different assets in a portfolio (getting the average returns from the assets) but the risk or in other words the variability of these returns is expected to cancel each other out, since one asset is likely to be up when another is down. READ MORE

  6. 10. A Heuristic Downside Risk Approach to Real Estate Portfolio Structuring : a Comparison Between Modern Portfolio Theory and Post Modern Portfolio Theory

    University essay from KTH/Bygg- och fastighetsekonomi

    Author : Erik Hamrin; [2011]
    Keywords : Portfolio Optimization; Real Estate; Downside Risk; Mean Variance; MPT; PMPT; Semivariance; Standard Deviation.;

    Abstract : Portfolio diversification has been a subject frequently addressed since the publications of Markowitz in 1952 and 1959. However, the Modern Portfolio Theory and its mean variance framework have been criticized. The critiques refer to the assumptions that return distributions are normally distributed and the symmetric definition of risk. READ MORE