Essays about: "Modern portföljteori MPT"

Found 3 essays containing the words Modern portföljteori MPT.

1. 1. Sustainability Filtration and Optimization: A Stepwise Integration Approach

   University essay from KTH/Matematik (Avd.)

   Author : Soroosh Jalaei; [2023]
   Keywords : Sustainability; Modern Portfolio Theory; Optimization; Sequential Quadratic Programming; Optimal ESG Portfolio.; Hållbarhet; Modern portföljteori; Optimering; Sequential Quadratic Programming; Optimal ESG-portfölj.;

   Abstract : This thesis explores the integration of sustainability into Modern Portfolio Theory (MPT) optimization by introducing stepwise filtration and optimization. This study acknowledges the growing importance of sustainability in investment strategies and modifies the traditional MPT framework to include environmental, social, and governance (ESG) factors. READ MORE

3. 2. 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

4. 3. 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