Essays about: "Portföljoptimering"

Showing result 6 - 10 of 35 essays containing the word Portföljoptimering.

  1. 6. A Neural Network Approach for Generating Investors’ Views in the Black-Litterman Model

    University essay from KTH/Matematik (Avd.)

    Author : Rafael Lavatt; [2022]
    Keywords : Black-Litterman; Neural Networks; Portfolio Optimization; Black-Litterman; Neurala nätverk; portföljoptimering;

    Abstract : This thesis investigates how neural networks can be used to produce investors' views for the Black-Litterman market model. The study uses two data sets, one with global stock market indexes and one with stock market data from the S&P 500. READ MORE

  3. 7. 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

  4. 8. The Black-Litterman Asset Allocation Model - An Empirical Analysis of Its Practical Use

    University essay from KTH/Matematik (Avd.)

    Author : Hampus Ernstsson; Max Börjes Liljesvan; [2021]
    Keywords : Black-Litterman model; asset allocation; portfolio optimization; investor views; portfolio management; Black-Litterman model; tillgångsallokering; portföljoptimering; investerarens förväntade avkastningar; portföljförvaltning;

    Abstract : Modern portfolio theory has its attractive characteristics of promoting diversification in a portfolio and can be seen as an easy alternative for setting optimal weights for portfolio managers. Furthermore, as portfolio managers try to beat a defined benchmark for their portfolio the Black-Litterman model allows them to include their own prospects on the future return of markets and securities. READ MORE

  5. 9. Examining Inclusion of a Sustainability Criterion in Portfolio Optimization - Could an Investor Benefit from it?

    University essay from KTH/Matematik (Avd.)

    Author : Amin Klai; [2021]
    Keywords : Financial Mathematics; Portfolio Optimization; Sustainability; Finansiellmatematik; Portföljteori; Hållbarhet;

    Abstract : In today's society sustainability has become an important subject and has an impact on various sectors. Corporations include sustainability in their corporate strategy, which further affects the field of corporate finance. This has lead to a new insight among investors to include a sustainability criterion in their investment processes. READ MORE

  6. 10. 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