Essays about: "Optimal Portfolio Choice"

Showing result 16 - 20 of 20 essays containing the words Optimal Portfolio Choice.

  1. 16. Evaluating Capital Allocation Below Portfolio Level

    University essay from Lunds universitet/Matematisk statistik

    Author : Philip Sandwall; Oscar Ågren; [2013]
    Keywords : Mathematics and Statistics;

    Abstract : This thesis explores the ability for retail banks to allocate economic capital below portfolio level. First, a discussion about capital requirements and risk measures to provide a sound basis for determining the economic capital of the bank. READ MORE

  3. 17. An empirical study in risk management: estimation of Value at Risk with GARCH family models

    University essay from Statistiska institutionen

    Author : Askar Nyssanov; [2013]
    Keywords : Value at Risk; univariate and multivariate GARCH models; classical VaR approaches; evaluation tests;

    Abstract : In this paper the performance of classical approaches and GARCH family models are evaluated and compared in estimation one-step-ahead VaR. The classical VaR methodology includes historical simulation (HS), RiskMetrics, and unconditional approaches. READ MORE

  4. 18. Market integration for local farmers : case study of vegetable trade in Sourt Nikom District, Siem Reap Province, Cambodia

    University essay from SLU/Dept. of Urban and Rural Development

    Author : Phanith Chou; [2011]
    Keywords : market integration; rural markets; vegetable trade; Cambodia;

    Abstract : This study analyses farmers’ adjustments of vegetable production and trading decisions in relation to a number of market- as well as non-market related factors. Fluctuations in the price of vegetables, degree of specialization in vegetable production and the choice of vegetable crop portfolio, as well as the impact of external actors such as GOs and NGOs are examples of factors influencing farmers’ decisions and actions. READ MORE

  5. 19. Comparing Return-Risk and Direct Utility Maximization Portfolio Optimization Methods by ‘Certainty Equivalence Curves’

    University essay from Lunds universitet/Nationalekonomiska institutionen

    Author : Hien Vu; [2009]
    Keywords : Portfolio Optimization Return Risk Direct Utility Maximization CE; Economics; econometrics; economic theory; economic systems; economic policy; Nationalekonomi; ekonometri; ekonomisk teori; ekonomiska system; ekonomisk politik; Business and Economics;

    Abstract : Mean-Risk portfolio optimization method proposes an efficient frontier that consists of portfolios not dominated by any portfolio. Consequently, this method reduces the choice set by excluding inefficient portfolios. Different risk measures offer different efficient frontiers, which can be interpreted as different optimal choice sets. READ MORE

  6. 20. Portfolio Implications of Homeownership - Hedging Housing Risk in Urban and Peripheral Sweden

    University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi; Handelshögskolan i Stockholm/Institutionen för nationalekonomi

    Author : Philip Löfgren; Ludvig Mattsson; [2007]
    Keywords : household portfolio; homeownership; hedging; real estate;

    Abstract : This paper investigates the investment implications of the housing consumption choice in a mean-variance framework using quarterly time series ranging from the first quarter 1986 to the last quarter 2005. We analyze the investment portfolio of the Swedish household on a quarterly horizon containing general stocks, real estate stocks, T-bills, government bonds and housing. READ MORE