Essays about: "Multi-period portfolio selection"

Found 2 essays containing the words Multi-period portfolio selection.

1. 1. Online intra-day portfolio optimization using regime based models

   University essay from Lunds universitet/Matematisk statistik

   Author : Sara Hafström Fremlin; [2019]
   Keywords : Multi-period portfolio selection; Model predictive control; Hidden Markov model; Mathematics and Statistics;

   Abstract : In this thesis model predictive control (MPC) is used to dynamically optimize a portfolio where the data is sampled every 5 minutes. Previous research has shown how MPC optimization applied to daily sampled financial data can generate a portfolio that exceeds the value of standard portfolio strategies such as Strategic asset allocation. READ MORE

3. 2. Multi-period portfolio optimization given a priori information on signal dynamics and transactions costs

   University essay from KTH/Optimeringslära och systemteori

   Author : Jedra Yassir; [2018]
   Keywords : Multi-period portfolio optimization; portfolio selection; mean-variance optimization; return predictability; mean reverting processes; transactions costs; market impacts; stochastic optimal control.;

   Abstract : Multi-period portfolio optimization (MPO) has gained a lot of interest in modern portfolio theory due to its consideration for inter-temporal trading e effects, especially market impacts and transactions costs, and for its subtle reliability on return predictability. However, because of the heavy computational demand, portfolio policies based on this approach have been sparsely explored. READ MORE