Essays about: "Portfolio Optimization"

Showing result 1 - 5 of 140 essays containing the words Portfolio Optimization.

  1. 1. Generative Neural Network for Portfolio Optimization

    University essay from Mälardalens högskola/Akademin för utbildning, kultur och kommunikation

    Author : Mengxin Liu; [2021]
    Keywords : GAN; Portfolio Optimization; Neural Networks;

    Abstract : This thesis aims to overcome the drawbacks of traditional portfolio optimization by employing Generative Deep Neural Networks on real stock data. The proposed framework is capable of generating return data that have similar statistical characteristics as the original stock data. READ MORE

  2. 2. Sustainability scores for portfolio performance

    University essay from KTH/Matematisk statistik

    Author : Felix Stern; [2020]
    Keywords : ESG; financial mathematics; Co2; sustainability; portfolio optimization; sustainable investment; ESG; Co2; finansiell matematik; hållbarhet; hållbara portföljer; portfölj optimering;

    Abstract : In this thesis, the traditional methods of only using ESG scores to screen stocks for sustainable portfolios is broadened. The selection of securities for portfolios will instead depend on aggregation, weighting and normalization of a wider set of sustainability variables, in turn creating more all-encompassing sustainability scores. READ MORE

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

    University essay from KTH/Matematisk statistik; 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

  4. 4. An Empirical Study of Modern Portfolio Optimization

    University essay from KTH/Matematisk statistik; 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

  5. 5. Green Portfolio: Optimization under environmental constraints

    University essay from Lunds universitet/Nationalekonomiska institutionen

    Author : Wilhelm Wachtmeister; Rutger Smith; [2020]
    Keywords : Portfolio Selection; Sustainable Investing; Equity Portfolios; Emissions Intensity; Mean-Variance Optimization; Business and Economics;

    Abstract : The aim of this thesis is to compare traditionally optimized equity portfolios to an alternative which takes the economic effects of environmental damage in to consideration. The comparison between the portfolios are made by their composition, in terms of economic sectors, and their characteristics, such as performance, size and risk. READ MORE