Essays about: "Optimal Portfolio Choice"

Showing result 11 - 15 of 20 essays containing the words Optimal Portfolio Choice.

  1. 11. Strategic Asset Allocation - The Impact of Foreign Exposure on Portfolio Choice

    University essay from Lunds universitet/Nationalekonomiska institutionen

    Author : Philip Robertsson; [2016]
    Keywords : Strategic asset allocation; Dynamic programming; Foreign exposure; Portfolio choice; Certainty equivalent of wealth; Business and Economics;

    Abstract : Plenty of research has been made on strategic asset allocation, but the focus on foreign market exposure is sparse. This paper analyzes how the investor’s portfolio choice is affected when exposed to four foreign assets, one domestic asset, and the risk free interest rate. READ MORE

  3. 12. Implementation of mean-variance and tail optimization based portfolio choice on risky assets

    University essay from KTH/Skolan för teknikvetenskap (SCI)

    Author : Younes Djehiche; Erik Bröte; [2016]
    Keywords : Markowitz mean-variance; Tail optimization; Portfolio optimization; Efficient frontier; Value-at-Risk; t-copula;

    Abstract : An asset manager's goal is to provide a high return relative the risk taken, and thus faces the challenge of how to choose an optimal portfolio. Many mathematical methods have been developed to achieve a good balance between these attributes and using di erent risk measures. READ MORE

  4. 13. Skewness in portfolio allocation: a comparison between different mean-variance and mean-variance-skewness investors

    University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

    Author : Piero Bertone; Gustaf Wallenberg; [2016]
    Keywords : Skewness; Portfolio allocation; Expected utility;

    Abstract : We investigate the problem of portfolio allocation using an expected utility framework where investors' preference for positive skewness of returns is introduced. We develop a three-parameter generalized utility function that can be used to capture the full spectrum of absolute and relative risk aversions from CARA to DRRA in comparable settings. READ MORE

  5. 14. Collateral choice option valuation

    University essay from KTH/Matematisk statistik

    Author : Sébastian Mollaret; [2015]
    Keywords : Collateral; optimal collateral posting; multi-currency collateral; collateral pricing; collateral discounting; conditional independence.;

    Abstract : A bank borrowing some money has to give some securities to the lender, which is called collateral. Different kinds of collateral can be posted, like cash in different currencies or a stock portfolio depending on the terms of the contract, which is called a Credit Support Annex (CSA). READ MORE

  6. 15. Heterogeneity of U.S. Household Labor Income: Evidence from Stock Market

    University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

    Author : Zhixue Su; [2014]
    Keywords : Labor Income Process; Heterogeneity; Optimal Portfolio Choice; Beta Decile Index Portfolio; Sector Index Portfolio;

    Abstract : The thesis is aimed to have a deeper understanding of heterogeneity of household labor income process across different educational levels and industrial categories. I utilize a fixed-effect model and risk decomposition methodology to analyze the differences of risk profile of labor income innovations and the correlation between labor income process and stock portfolio returns. READ MORE