Essays about: "Optimal Portfolio Choice"

Showing result 6 - 10 of 20 essays containing the words Optimal Portfolio Choice.

  1. 6. Risk Spillovers between BRICS Stock Markets, US Stock Market, Gold and Oil: A portfolio management approach

    University essay from Lunds universitet/Nationalekonomiska institutionen

    Author : Sofia Fors; Carl Billing; [2020]
    Keywords : BRICS; DCC-GJR-GARCH; risk spillovers; financial contagion; portfolio selection; Business and Economics;

    Abstract : This study investigates the correlation between the US stock market, oil prices, gold prices and the stock markets of five emerging markets: Brazil, Russia, India, China and South Africa (BRICS), in order to explore the risk spillovers and the financial contagion between the markets. A DCC-GJR-GARCH model is applied to daily data of returns from January 2000 to April 2020 and considers both a full sample analysis along with a three-pronged subsample analysis. READ MORE

  3. 7. Optimal portfolio selection and risk-adjusted performance of 51 equity funds available in the Swedish premium pension

    University essay from Högskolan i Jönköping/Internationella Handelshögskolan

    Author : Ninos Khouchaba; Emilia Svensson; [2018]
    Keywords : Pension; Premium pension; Swedish pension authority; national retirement pension; funds; AP7; Seventh AP Fund;

    Abstract : In order to assure a livelihood for the working population after retirement, the national retirement pension was developed. The system is based on 18.5% of each tax-paying worker’s annual salary. The national retirement pension system in Sweden consist of two parts. READ MORE

  4. 8. On the Performance of Mean-Risk Portfolio Optimization Strategies

    University essay from Umeå universitet/Nationalekonomi

    Author : Andreas Blanck; [2018]
    Keywords : ;

    Abstract : Finding a portfolio strategy that entails optimal performance and risk diversification may be a complicated task for investors. In this thesis, we explore and evaluate the performances of several non-trivial portfolio optimization strategies, based on various measures of risk, to identify the optimal choice. READ MORE

  5. 9. The Mathematical Formulation and Practical Implementation of Markowitz 2.0

    University essay from Mälardalens högskola/Akademin för utbildning, kultur och kommunikation

    Author : Erick Momanyi; [2017]
    Keywords : ;

    Abstract : Standard Deviation is a commonly used risk measures in risk management and portfolio optimization. Optimal portfolios have normally been computed using standard deviation as the measure of choice for risk. READ MORE

  6. 10. Prospect Utility Portfolio Optimization

    University essay from Lunds universitet/Nationalekonomiska institutionen

    Author : Niklas Lindeke; [2016]
    Keywords : Utility Maximization; Portfolio Choice; Gradient Ascent; Sparse Group LASSO; Business and Economics;

    Abstract : Portfolio choice theory have in the last decades seen a rise in utilising more advanced utility functions for finding optimal portfolios. This is partly a consequence of the relatively simplistic nature of the quadratic utility, which is often assumed in the classical mean-variance framework. READ MORE