Essays about: "dynamic portfolios"

Showing result 16 - 20 of 27 essays containing the words dynamic portfolios.

  1. 16. Additional Value in Project Portfolio Selection : Doing the right things by right valuation – Gains of real options portfolio theory

    University essay from Blekinge Tekniska Högskola/Sektionen för management

    Author : Andreas Trägårdh; [2016]
    Keywords : Project portfolio selection; Project portfolio management; Real options; Innovation project; Dynamic capabilities; R NPD; ENPV;

    Abstract : Purpose: The purpose of this thesis is to address the, by scholars and managers alike, expressed need of development in the project portfolio selection. The research will aim to investigate how the selection of innovation projects portfolios could change if flexibility, and with it uncertainty, were added to the project portfolio selection. READ MORE

  3. 17. Multivariate Financial Time Series and Volatility Models with Applications to Tactical Asset Allocation

    University essay from KTH/Matematisk statistik

    Author : Markus Andersson; [2015]
    Keywords : Multivariate Financial Time Series; Multivariate Volatility Models; Modern Portfolio Theory MPT ; Tactical Asset Allocation TAA ; Multivariata finansiella tidsserier; Multivariata volatilitets modeller; Modern portföljteori MPT ; Taktisk tillgångsallokering TAA ;

    Abstract : The financial markets have a complex structure and the modelling techniques have recently been more and more complicated. So for a portfolio manager it is very important to find better and more sophisticated modelling techniques especially after the 2007-2008 banking crisis. READ MORE

  4. 18. A quantitative study of optimal asset allocation in a mean-CVaR & mean-variance framework

    University essay from Umeå universitet/Institutionen för matematik och matematisk statistik

    Author : Marcus Nilsson; [2014]
    Keywords : ;

    Abstract : Optimal portfolio selection has been an area of great focus ever since the inception of modern portfolio theory as proposed by Harry Markowitz. This project has applied Markowitz modern portfolio theory to an invest- ment universe created from the output of an economic scenario genera- tor. READ MORE

  5. 19. Predicting Momentum Returns

    University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

    Author : Mattias Holmberg; Martin Stenlund; [2013]
    Keywords : Dynamic; Momentum; Predictability; Reversal; Trading strategy;

    Abstract : Momentum strategies have historically shown to yield positive returns with little systematic risk exposure. Although usually profitable over long time periods, momentum strategies have also shown to suffer from irregular but severe losses that effectively erode the strategies' attractiveness. READ MORE

  6. 20. Effects of Liquidity on Idiosyncratic Risk

    University essay from Lunds universitet/Företagsekonomiska institutionen

    Author : Marjan Stefanovski; Erik Rasin; [2013]
    Keywords : Amivest; Amihud; Turnover; Liquidity; Idiosyncratic Risk; Fama French Factors; OLS; EGARCH; Business and Economics;

    Abstract : Abstract In this thesis we examine the link between idiosyncratic risk and liquidity on a sample of European equity covering the last 15 years and consisting of monthly retuns on 120 stocks. This thesis builds heavily upon an article by Speigel and Wang (2005), which demonstrates the relationship between risk and various liquidity measures on the US market. READ MORE