Essays about: "Portföljoptimering"

Showing result 1 - 5 of 35 essays containing the word Portföljoptimering.

1. 1. Portfolio Strategies Under Different Inflationary Regimes

   University essay from KTH/Matematik (Avd.)

   Author : Mohit Parkash; Diana Halladgi Naghadeh; [2023]
   Keywords : Inflation; Regression Analysis; Portfolio Optimization; Markowitz; Efficient Frontier; Asset Allocation; Portfolio Management; Financial Mathematics; Inflation; Regressionsanalys; Portföljoptimering; Markowitz; Effektiv Front; Tillgångsallokering; Portföljförvaltning; Finansiell Matematik;

   Abstract : In 2023, the topic of ongoing inflation is being discussed almost daily as it has become inevitable. The global economy is facing significant uncertainty and downward pressure as several leading developed nations adopted expansionary fiscal policies and quantitative easing monetary policies during the pandemic. READ MORE

3. 2. Robust Portfolio Optimization with Correlation Penalties

   University essay from KTH/Matematisk statistik

   Author : Pelle Nydahl; [2023]
   Keywords : Portfolio Optimization; Portfolio Allocation; Robust Optimization; Correlation; Risk Factor Model; EMA Filtering; Weighted Linear Regression; Portföljoptimering; Portföljallokering; Robust optimering; Korrelation; Riskfaktor-modell; EMA-filtrering; Viktad linjär regression;

   Abstract : Robust portfolio optimization models attempt to address the standard optimization method's high sensitivity to noise in the parameter estimates, by taking an investor's uncertainty about the estimates into account when finding an optimal portfolio. In this thesis, we study robust variations of an extension of the mean-variance problem, where an additional term penalizing the portfolio's correlation with an exogenous return sequence is included in the objective. READ MORE

4. 3. Analysing the Optimal Fund Selection and Allocation Structure of a Fund of Funds

   University essay from KTH/Matematik (Avd.)

   Author : Idun Cederberg; Ida Cui; [2023]
   Keywords : Master Thesis; Financial Mathematics; Fund of Funds; Portfolio Optimization; Mean Variance Optimization; Masterexamensarbete; finansiell matematik; fond i fond; portföljoptimering; modern portföljteori;

   Abstract : This thesis aims to investigate different types of optimization methods that can be used when optimizing fund of fund portfolios. Moreover, the thesis investigates which funds that should be included and what their respective portfolio weights should be, in order to outperform the Swedish SIX Portfolio Return Index. READ MORE

5. 4. Stochastic Optimization of Asset Management Project Portfolios: A Risk-Informed Approach

   University essay from KTH/Matematik (Avd.)

   Author : Sebastian Persson; Niklas Hansson; [2023]
   Keywords : Nuclear asset management; Risk-informed asset management; Portfolio optimization; Project selection; Knapsack problem; Monte Carlo simulation; Conditional Value at Risk; Tillgångsförvaltning; Riskinformerad tillgångsförvaltning; Portföljoptimering; Projekturval; Kappsäcksproblem; Monte Carlo simulering; Conditional Value at Risk;

   Abstract : Asset management within the nuclear industry has become an increasingly relevant topic as safety requirements have tightened and energy security has become more important. Asset management ensures performance and reliability in a nuclear facility by balancing costs, opportunities, and risks to get the most out of assets. READ MORE

6. 5. Portfolio Optimization: The search for an optimal portfolio with cryptocurrencies and S&P 500

   University essay from

   Author : Anton Rapp; Henrik Thorwaldsson; [2022-07-11]
   Keywords : Portfolio optimization; Miniumum variance portfolio; Capital allocation line; Cryptocurrency; Diversification;

   Abstract : This thesis’ aim is to create an optimal portfolio consisting of Bitcoin, Ethereum and S&P 500. We also examine the minimum variance portfolio with the framework of Markowitz's mean variance optimization model. READ MORE