Essays about: "Portfolio Optimization"

Showing result 6 - 10 of 201 essays containing the words Portfolio Optimization.

  1. 6. Analysing the Optimal Fund Selection and Allocation Structure of a Fund of Funds

    University essay from KTH/Matematik (Avd.)

    Author : Idun Cederberg; Ida Cui; [2023]
    Keywords : Master Thesis; Financial Mathematics; Fund of Funds; Portfolio Optimization; Mean Variance Optimization; Masterexamensarbete; finansiell matematik; fond i fond; portföljoptimering; modern portföljteori;

    Abstract : This thesis aims to investigate different types of optimization methods that can be used when optimizing fund of fund portfolios. Moreover, the thesis investigates which funds that should be included and what their respective portfolio weights should be, in order to outperform the Swedish SIX Portfolio Return Index. READ MORE

  3. 7. Portfolio Optimization Problems with Cardinality Constraints

    University essay from KTH/Skolan för teknikvetenskap (SCI)

    Author : Abolgasem Esmaeily; Felix Loge; [2023]
    Keywords : Portfolio Optimization; Modern Portfolio Theory MPT • Mixed Integer Programming MIP ; Efficient Frontier; Cardinality Constraints; Daily Returns; Expected Returns; Asset Allocation; Diversification;

    Abstract : This thesis analyzes the mean variance optimization problem with respect to cardinalityconstraints. The aim of this thesis is to figure out how much of an impact transactionchanges has on the profit and risk of a portfolio. We solve the problem by implementingmixed integer programming (MIP) and solving the problem by using the Gurobi solver. READ MORE

  4. 8. Develop a Process for the Selection of New Continuous Improvement Projects : A case study of the prioritization of Lean Six-Sigmain the quality management team in an assembly industry through the AHP method

    University essay from Mälardalens universitet/Akademin för innovation, design och teknik

    Author : Roopa Attibele Prakash; Adeleh Edalati; [2023]
    Keywords : CI Projects; MCDM methods; AHP; FMEA; Project Prioritization;

    Abstract : The research focuses on the selection and prioritization of Continuous Improvement (CI)projects in organizations. This study emphasizes the importance of recognizing appropriatecriteria for selecting projects that align with an organization's needs, skills, and goals. READ MORE

  5. 9. The Impact of Quantum Computing on the Financial Sector : Exploring the Current Performance and Prospects of Quantum Computing for Financial Applications through Mean-Variance Optimization

    University essay from Linköpings universitet/Produktionsekonomi

    Author : Ante Fahlkvist; Alfred Kheiltash; [2023]
    Keywords : Quantum computing; Finance; Financial applications; Mean-variance optimization; Zero-one quadratic programming; Quantum computing in finance;

    Abstract : Many important tasks in finance often rely on complex and time-consuming computations. The rapid development of quantum technology has raised the question of whether quantum computing can be used to solve these tasks more efficiently than classical computing. READ MORE

  6. 10. A Quantitative Framework for Constructing a Multi-Asset CTA with a Momentum-Based Approach

    University essay from Uppsala universitet/Datalogi

    Author : Rebecca Fällström; [2023]
    Keywords : Commodity trading advisors; CTA; trend-following; momentum strategies; risk parity; equally weighted; Markowitz weights; optimization;

    Abstract : Commodity Trading Advisors (CTAs) have gained popularity due to their abilities to generate an absolute return strategy. Little is known about how CTAs work and what variables are important to tune in order to create a profitable strategy. READ MORE