Essays about: "Portföljoptimering"

Showing result 1 - 5 of 27 essays containing the word Portföljoptimering.

  1. 1. Quantum Portfolio Optimization : a Multi-Level Perspective Study of the Swedish Fund Management Industry

    University essay from KTH/Industriell ekonomi och organisation (Inst.)

    Author : Olle Malmberg; Joakim Wellenstam; [2021]
    Keywords : Quantum computers; portfolio optimization; multi-level perspective; technological transition; finance; socio-technical; Kvantdatorer; portföljoptimering; multi-level perspective; teknisk omvandling; finans; socio-teknisk;

    Abstract : In recent years, quantum computers have achieved new levels of sophistication and are by some estimates only a few years from being used in production. A growing body of literature points toward their potential uses within various industries, with the finance industry identified as exceptionally full of prospective applications. READ MORE

  2. 2. Inversion of Markowitz Portfolio Optimization to Evaluate Risk

    University essay from KTH/Skolan för elektroteknik och datavetenskap (EECS)

    Author : Axel Persson; Ran Li; [2021]
    Keywords : Markowitz Portfolio Optimization; Efficient Frontier; Diversification; Asset allocation; Risk and Return; Inverse optimization; Inverse problems;

    Abstract : This project investigates the applicability of the originalversion of Markowitz’s mean-variance model for portfoliooptimization to real-world modern actively managed portfolios.The method measures the mean-variance model’s capability toaccurately capture the riskiness of given portfolios, by invertingthe mathematical formulation of the model. READ MORE

  3. 3. Deep Learning for Dynamic Portfolio Optimization

    University essay from KTH/Matematisk statistik

    Author : Victor Molnö; [2021]
    Keywords : Dynamic portfolio optimization; No-trade-region; Deep learning; Policy iteration; Dynamisk portföljoptimering; Handelsstoppregion; Djupinlärning; Policyiterering;

    Abstract : This thesis considers a deep learning approach to a dynamic portfolio optimization problem. A proposed deep learning algorithm is tested on a simplified version of the problem with promising results, which suggest continued testing of the algorithm, on a larger scale for the original problem. READ MORE

  4. 4. Evaluation of a Portfolio in Dow Jones Industrial Average Optimized by Mean-Variance Analysis

    University essay from KTH/Matematisk statistik

    Author : Alexander Strid; Daniel Liu; [2020]
    Keywords : applied mathematics; mean-variance analysis; modern portfolio theory; Markowitz; Dow Jones Industrial Average; quadratic optimization; portfolio optimization; tillämpad matematik; mean-variance analysis; modern portföljteori; Markowitz; Dow Jones Industrial Average; kvadratisk optimering; portföljoptimering;

    Abstract : This thesis evaluates the mean-variance analysis framework by comparing the performance of an optimized portfolio consisting of stocks from the Dow Jones Industrial Average to the performance of the Dow Jones Industrial Average index itself. The results show that the optimized portfolio performs better than the corresponding index when evaluated on the period between 2015 and 2019. READ MORE

  5. 5. An Empirical Study of Modern Portfolio Optimization

    University essay from KTH/Matematisk statistik

    Author : Erik Lagerström; Michael Magne Schrab; [2020]
    Keywords : Mean variance optimization; portfolio theory; asset allocation strategies; equal risk contribution; most diversified portfolio; empirical study; backtesting; Mean variance-optimering; portföljteori; allokeringsstrategier; equal risk contribution; most diversified portfolio; empirisk studie; historisk simulering;

    Abstract : Mean variance optimization has shortcomings making the strategy far from optimal from an investor’s perspective. The purpose of the study is to conduct an empirical investigation as to how modern methods of portfolio optimization address the shortcomings associated with mean variance optimization. READ MORE