Essays about: "Portfolio optimisation - improved risk-adjusted return by Jonathan Mårtensson"

Found 1 essay containing the words Portfolio optimisation - improved risk-adjusted return by Jonathan Mårtensson.

  1. 1. Portfolio optimisation : improved risk-adjusted return?

    University essay from Nationalekonomiska institutionen

    Author : Jonathan Mårtensson; [2006]
    Keywords : Efficient frontier; mean-variance optimisation; portfolio optimisation; Sharpe ratio;

    Abstract : In this thesis, portfolio optimisation is used to evaluate if a specific sample of portfolios have a higher risk level or lower expected return, compared to what may be obtained through optimisation. It also compares the return of optimised portfolios with the return of the original portfolios. READ MORE