Essays about: "Sharpe-kvot"

Found 3 essays containing the word Sharpe-kvot.

  1. 1. 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

  3. 2. The Black-Litterman Asset Allocation Model - An Empirical Analysis of Its Practical Use

    University essay from KTH/Matematik (Avd.)

    Author : Hampus Ernstsson; Max Börjes Liljesvan; [2021]
    Keywords : Black-Litterman model; asset allocation; portfolio optimization; investor views; portfolio management; Black-Litterman model; tillgångsallokering; portföljoptimering; investerarens förväntade avkastningar; portföljförvaltning;

    Abstract : Modern portfolio theory has its attractive characteristics of promoting diversification in a portfolio and can be seen as an easy alternative for setting optimal weights for portfolio managers. Furthermore, as portfolio managers try to beat a defined benchmark for their portfolio the Black-Litterman model allows them to include their own prospects on the future return of markets and securities. READ MORE

  4. 3. Smart Beta - index weighting

    University essay from KTH/Matematisk statistik

    Author : Oscar Blomkvist; [2015]
    Keywords : Smart beta; portfolio optimization; Sharpe ratio; equal weights; diversification; fundamental analysis; P E-ratio; performance; risk; trading cost; market impact.; Smart beta; portföljoptimering; Sharpe-kvot; likaviktad; diversifiering;

    Abstract : This study is a thesis ending a 120 credit masters program in Mathematics with specialization Financial Mathematics and Mathematical Statistics at the Royal Institute of Technology (KTH). The subject of Smart beta is defined and studied in an index fund context. READ MORE