Essays about: "Robust Portfolio Optimization"

Showing result 1 - 5 of 10 essays containing the words Robust Portfolio Optimization.

1. 1. Robust Portfolio Optimization

   University essay from KTH/Skolan för teknikvetenskap (SCI)

   Author : Anna Mårtensson; Edith Frisk Gärtner; [2023]
   Keywords : Mathematics; Optimization and Systems Theory;

   Abstract : The objective of robust portfolio optimization is to find a way to allocate capital to some financial assets such that portfolio return is maximized in the worst-case scenario, which is desirable for investors with a low tolerance for risk. This study aims to apply the robust approach to asset allocation based on 30 of the biggest stocks on the Stockholm Stock Exchange. READ MORE

3. 2. Robust Portfolio Optimization with Correlation Penalties

   University essay from KTH/Matematisk statistik

   Author : Pelle Nydahl; [2023]
   Keywords : Portfolio Optimization; Portfolio Allocation; Robust Optimization; Correlation; Risk Factor Model; EMA Filtering; Weighted Linear Regression; Portföljoptimering; Portföljallokering; Robust optimering; Korrelation; Riskfaktor-modell; EMA-filtrering; Viktad linjär regression;

   Abstract : Robust portfolio optimization models attempt to address the standard optimization method's high sensitivity to noise in the parameter estimates, by taking an investor's uncertainty about the estimates into account when finding an optimal portfolio. In this thesis, we study robust variations of an extension of the mean-variance problem, where an additional term penalizing the portfolio's correlation with an exogenous return sequence is included in the objective. READ MORE

4. 3. The Rational Investor is a Bayesian

   University essay from KTH/Skolan för teknikvetenskap (SCI)

   Author : Jiajun Qu; [2022]
   Keywords : Portfolio optimization; Mean-variance optimization; Bayesian approach; Linear shrinkage; Black-Litterman; Robust optimization;

   Abstract : The concept of portfolio optimization has been widely studied in the academy and implemented in the financial markets since its introduction by Markowitz 70 years ago. The problem of the mean-variance optimization framework caused by input uncertainty has been one of the foci in the previous research. READ MORE

5. 4. A Utility Approach: Strategy Analysis and Optimization

   University essay from Lunds universitet/Matematisk statistik

   Author : Magnús Ólafur Sigurdsson; [2019]
   Keywords : Utility optimization; Portfolio analysis; Dynamic programming; Bellman equation.; Technology and Engineering;

   Abstract : Utility theory and Monte Carlo simulations are used to calculate optimal allocation for long term as well as, risk averse investors with a portfolio consisting of one risky asset and one risk-free bank account. The problems solved in this thesis are divided into two types, static and dynamic. READ MORE

6. 5. Outlier-Robust Dynamic Portfolio Optimization based on Bear-Bull-Regimes

   University essay from Lunds universitet/Matematisk statistik

   Author : Emil Eliasson; Linus Hamlin; [2018]
   Keywords : Mathematics and Statistics;

   Abstract : The work in this thesis is meant to improve an existing algorithm described in Nystrup (2017). As the original model uses a normal distribution to approximate the daily logarithmic returns, the authors of this thesis aim to improve the approximation by using Student’s t-distribution which may be a better approximation of financial data. READ MORE