Essays about: "Portfolio Asset Management"

Showing result 21 - 25 of 68 essays containing the words Portfolio Asset Management.

1. 21. Evaluating Markov Chain Monte Carlo Methods for Estimating Systemic Risk Measures Using Vine Copulas

   University essay from KTH/Matematisk statistik

   Author : Rasmus Guterstam; Vidar Trojenborg; [2021]
   Keywords : Systemic Risk; Value-at-risk; Risk allocation; Risk contributions; Markov Chain Monte Carlo; No-U-Turn Sampler; Metropolis-Hastings; Monte Carlo; Vine Copula; Systemisk Risk; Value-at-risk; Riskallokering; Riskbidrag; Markov Chain Monte Carlo; No-U-Turn Sampler; Metropolis-Hastings; Monte Carlo; Vine Copula;

   Abstract : This thesis attempts to evaluate the Markov Chain Monte Carlo (MCMC) methods Metropolis-Hastings (MH) and No-U-Turn Sampler (NUTS) to estimate systemic risk measures. The subject of analysis is an equity portfolio provided by a Nordic asset management firm, which is modelled using a vine copula. READ MORE

3. 22. Family farm and financial asset : external land ownership and family agriculture on the Swedish Plains

   University essay from SLU/Dept. of Urban and Rural Development

   Author : Hedvig Goldhahn; [2021]
   Keywords : financialization; family farming; land ownership; tenancy; Uppsala Akademiförvaltning;

   Abstract : In Sweden, the potential deregulation of the land market has been discussed in recent years, motivated by the increasing demand for external capital in agriculture. Corporate entities’ are currently restricted from purchasing farmland by the Swedish Land Acquisition Act. READ MORE

4. 23. Capturing Tail Risk in a Risk Budgeting Model

   University essay from KTH/Matematisk statistik

   Author : Filip Lundin; Markus Wahlgren; [2020]
   Keywords : ;

   Abstract : Risk budgeting, in contrast to conventional portfolio management strategies, is all about distributing the risk between holdings in a portfolio. The risk in risk budgeting is traditionally measured in terms of volatility and a Gaussian distribution is commonly utilized for modeling return data. READ MORE

5. 24. Spectral Portfolio Optimisation with LSTM Stock Price Prediction

   University essay from KTH/Matematisk statistik

   Author : Nancy Wang; [2020]
   Keywords : Artificial Neural Network; LSTM; Spectral factor model; Portfolio optimisation; Stock price prediction; Time series analysis; Risk estimation; Spectral risk; Frequency-specific beta decomposition; Artificiella neurala nätverk; LSTM; Spektralfaktormodell; Portföljoptimering; Aktieprispredikering; Tidsserieranalys; Riskestimering; Spektra risk; Frekvensspecifik beta dekomposition;

   Abstract : Nobel Prize-winning modern portfolio theory (MPT) has been considered to be one of the most important and influential economic theories within finance and investment management. MPT assumes investors to be riskaverse and uses the variance of asset returns as a proxy of risk to maximise the performance of a portfolio. READ MORE

6. 25. Mixed Integer Linear Programming for Allocation of Collateral within Securities Lending

   University essay from KTH/Optimeringslära och systemteori

   Author : Martin Wass; [2020]
   Keywords : Collateral; collateral management; optimisation; mixed integer linear programming; collateral allocation; opportunity cost; triparty collateral management; counterparty risk; Säkerheter; säkerhetshantering; optimering; blandat-heltal linjär programmering; alternativkostnad; motpartsrisk; tripartykostnad;

   Abstract : A mixed integer linear programming formulation is used to solve the problem of allocating assets from a bank to its counterparties as collateral within securities lending. The aim of the optimisation is to reduce the cost of allocated collateral, which is broken down into the components opportunity cost, counterparty risk cost and triparty cost. READ MORE