Essays about: "Optimal portfolio choice"

Showing result 1 - 5 of 20 essays containing the words Optimal portfolio choice.

  1. 1. Macroeconomic Factors and their role in Moderating Diversification effect of Asset Classes in the EU

    University essay from Umeå universitet/Företagsekonomi

    Author : Karl Nilsson; Tanyue Zheng; [2023]
    Keywords : macroeconomic factors; asset classes; diversification strategies; portfolio management; institutional qualities;

    Abstract : After the 2008 financial crisis, some have questioned the historically positive benefits ofdiversification, meanwhile others have stated a clear misunderstanding of whatdiversification entails. This study argues diversification is still viable in portfolio theory,and that more effort should be emphasized on macroeconomic factors’ role in theoptimal portfolio. READ MORE

  3. 2. Decomposition of ETFs: Building a synthetic portfolio of ETFs major positions

    University essay from Lunds universitet/Nationalekonomiska institutionen

    Author : Donatas Gadlijauskas; Evelina Sarul; [2022]
    Keywords : ETF; Portfolio optimization; Sharpe ratio; VaR; GARCH; Business and Economics;

    Abstract : This paper investigates the performance of benchmark indices and according ETFs against the synthetic portfolios that were built using the five major holdings of the selected benchmark index and its ETF. Not only do we test the synthetic portfolios, but from them, we make optimal (re-balanced) portfolios using mean-variance optimization (with short-selling constraints). READ MORE

  4. 3. Optimal Income Taxation with Heterogeneous Excess Returns and Portfolio Choice

    University essay from Uppsala universitet/Nationalekonomiska institutionen

    Author : Gustav Häggbom; [2022]
    Keywords : ;

    Abstract : .... READ MORE

  5. 4. Applying Treynor-Black Model with AP7 Såfa in the Swedish Premium Pension System : To choose between active and passive portfolio management

    University essay from Karlstads universitet/Handelshögskolan (from 2013)

    Author : Albin Tyllgren; [2021]
    Keywords : Index Funds; Mutual Funds; Premium Pension System; Treynor-Black Model;

    Abstract : Background: Since 1998 Sweden has individual accounts as a part of both public and occupational schemes (Sundén 2006). Yearly, 2,5% of the pensionable income is set aside to the premium pension (The Swedish Pension Agency 2021) Individuals are able to choose how the premiums should be paid in the system and in what way the money should be invested, either by choosing from the fund market or by refraining from making an active choice and instead let the Swedish pension agency management their money in the passive alternative called AP7 Såfa. READ MORE

  6. 5. The use of SRI strategies and motivational factors : A case study among banks and fund companies

    University essay from Linnéuniversitetet/Institutionen för nationalekonomi och statistik (NS)

    Author : Oskar Karlsson; Erik Sjöbeck; [2020]
    Keywords : SRI strategies; Sustainable and responsible investments; Modern Portfolio Choice Theory; Expected Utility Theory; Motivation; Profit maximization; Banks and fund companies;

    Abstract : Background: In today's society, there is more pressure to be sustainable and not least in the financial world. Several agreements, such as the Paris Agreement, have been created to steer countries towards more sustainability. When it comes to the economy, several SRI strategies have been developed to serve the same purpose. READ MORE