Essays about: "ecient frontier"

Found 2 essays containing the words ecient frontier.

  1. 1. A Three-Pronged Sustainability-Oriented Markowitz Model : Disruption in the fund selection process?

    University essay from KTH/Skolan för industriell teknik och management (ITM); KTH/Skolan för industriell teknik och management (ITM)

    Author : Simon Louivion; Edward Sikorski; [2019]
    Keywords : Portfolio optimization; ecient frontier; multi-objective optimization problem; sustainability; ESG; ecient market hypothesis; behavioural finance; Portföljoptimering; ecient frontier; portföljteori; hållbarhet; ESG; hypotesen om effektiva marknader; beteendeekonomi;

    Abstract : Since the term ESG was coined in 2005, the growth of sustainable investments has outpaced the overall asset management industry. A lot of research has been done with regards to the link between sustainability and financial performance, despite the fact that there is a lack of transparency in sustainability of listed companies. READ MORE

  2. 2. Efficient Risk Factor Allocation with Regime Based Models

    University essay from Lunds universitet/Matematisk statistik

    Author : Oscar Axelsson; [2017]
    Keywords : Risk Factors; Hidden Markov Models; Regime Models; Asset Allocation; Ecient Frontier; Shrinkage Factor; Baum-Welch Algorithm; EM algorithm.; Mathematics and Statistics;

    Abstract : It is widely accepted that nancial mark behaviour is characterized by periodicity. However, in academia and practice financial markets are often modeled as time consistent, resulting in static investment strategies that are assumed to be ecient. READ MORE