Essays about: "Portföljoptimering"

Showing result 21 - 25 of 35 essays containing the word Portföljoptimering.

1. 21. PC Regression, Vector Autoregression, and Recurrent Neural Networks: How do they compare when predicting stock index returns for building efficient portfolios?

   University essay from KTH/Optimeringslära och systemteori

   Author : David Hallberg; Erik Renström; [2019]
   Keywords : PC Regression; Vektorautoregression; och Återkopplande Neurala Nätverk: En jämförelse mellan deras förmåga att prognostisera aktieindexavkastning för att konstruera effektiva portföljer; Huvudkomponentregression; vektorautoregression; LSTM; återkopplande neurala nätverk; portföljteori; portföljoptimering; maskininlärning; makroekonomi; finans; aktieavkastning; aktieindex;

   Abstract : This thesis examines the statistical and economic performance of modeling and predicting equity index returns by application of various statistical models on a set of macroeconomic and financial variables. By combining linear principal component regression, vector autoregressive models, and LSTM neural networks, the authors find that while a majority of the models display high statistical significance, virtually none of them successfully outperform classic portfolio theory on efficient markets in terms of risk-adjusted returns. READ MORE

3. 22. Break Point Detection for Strategic Asset Allocation

   University essay from KTH/Matematisk statistik

   Author : Erika Madebrink; [2019]
   Keywords : Strategic asset allocation; Bayesian; reversible jump; Markov chain Monte Carlo; regime switching;

   Abstract : This paper focuses on how to improve strategic asset allocation in practice. Strategic asset allocation is perhaps the most fundamental issue in portfolio management and it has been thoroughly discussed in previous research. We take our starting point in the traditional work of Markowitz within portfolio optimization. READ MORE

4. 23. Mean-Variance Portfolio Selection Accounting for Financial Bubbles: A Mean-Field Type Approach

   University essay from KTH/Matematisk statistik

   Author : Marcus Häggbom; Shayan Nafar; [2019]
   Keywords : Financial bubbles; portfolio optimization; mean-variance trade-off; mean-field type optimal control; fundamental value; mean reversion; Finansiella bubblor; portföljoptimering; optimal kontroll av medelfältstyp; fundamentalt värde; medelreversion;

   Abstract : The phenomenon of financial bubbles is known to have impacted various markets since the seventeenth century. Such bubbles are known to form when the market drastically overvalues the price of an asset, causing its market value to increase hyperbolically, only to suddenly collapse once the untenable perceived future prospects of the asset are realized. READ MORE

5. 24. Quantitative Portfolio Construction Using Stochastic Programming

   University essay from KTH/Matematisk statistik

   Author : Aidin Ashant; Elisabeth Hakim; [2018]
   Keywords : Asset Allocation; Dynamic Portfolio Construction; Stochastic Programming; Scenario Generation; Multivariate GARCH; DCC-GARCH; Copula-GARCH; Transaction Costs; Mean-Absolute Deviation; Risk Parity; Mean-Variance; Tillgångsallokering; Dynamisk Portfölj Konstruktion; Stokastisk Programmering; Scenario Generation; Multivariat GARCH; DCC-GARCH; Copula- GARCH; Transaktionskostnader; Mean-Absolute Deviation; Risk Parity; Mean-Variance;

   Abstract : In this study within quantitative portfolio optimization, stochastic programming is investigated as an investment decision tool. This research takes the direction of scenario based Mean-Absolute Deviation and is compared with the traditional Mean-Variance model and widely used Risk Parity portfolio. READ MORE

6. 25. Multi-period portfolio optimization given a priori information on signal dynamics and transactions costs

   University essay from KTH/Optimeringslära och systemteori

   Author : Jedra Yassir; [2018]
   Keywords : Multi-period portfolio optimization; portfolio selection; mean-variance optimization; return predictability; mean reverting processes; transactions costs; market impacts; stochastic optimal control.;

   Abstract : Multi-period portfolio optimization (MPO) has gained a lot of interest in modern portfolio theory due to its consideration for inter-temporal trading e effects, especially market impacts and transactions costs, and for its subtle reliability on return predictability. However, because of the heavy computational demand, portfolio policies based on this approach have been sparsely explored. READ MORE