Essays about: "atkinson index"

Found 2 essays containing the words atkinson index.

1. 1. Portfolio Optimization Using the Atkinson Index

   University essay from Lunds universitet/Nationalekonomiska institutionen

   Author : Nils Billgert; [2019]
   Keywords : atkinson index; performance measure; portfolio optimization; Business and Economics;

   Abstract : Traditional mean-variance optimization of portfolios has received much criticism due to its inability to account for higher order moments and non-quadratic utility. In this thesis, the topic of portfolio optimization is studied using the Atkinson index with CRRA utility. READ MORE

3. 2. Investigating the performance of fundamentally-weighted portfolios

   University essay from Lunds universitet/Nationalekonomiska institutionen

   Author : Katja Rasic; [2019]
   Keywords : Fundamental indexation; equally weighted portfolio; performance measures; Atkinson index; Business and Economics;

   Abstract : Market indices based on market capitalization have been argued to be the most mean-variance efficient for a long time. In recent years, this argument has been questioned and other methods of weighting portfolios have been suggested. One of these is the weighting by fundamental indexation. READ MORE