Essays about: "equal risk contribution"
Showing result 1 - 5 of 7 essays containing the words equal risk contribution.
-
1. The benefits of optimized portfolios- An empirical comparison between optimized portfolios and benchmarks
University essay from Göteborgs universitet/Graduate SchoolAbstract : Uncertainty about the future is an everlasting part of investing. This study aims at testing the historical performance out-of-sample for optimized portfolios and if the performance was superior to benchmarks. 11 different portfolios are compared to two different benchmarks; the naive- and market-capitalized portfolio. READ MORE
-
2. Factor Models for Futures Contracts to Improve Estimation of the Correlation Matrix
University essay from Lunds universitet/Matematisk statistikAbstract : In this paper regularization of the correlation matrix between futures contracts is examined. With starting point in the recently established HPCA framework (Avellaneda, 2019), a couple of different extensions to the one-factor model is suggested. Extensions are made in terms of adjusting the model according to different cluster structures. READ MORE
-
3. An Empirical Study of Modern Portfolio Optimization
University essay from KTH/Matematisk statistikAbstract : Mean variance optimization has shortcomings making the strategy far from optimal from an investor’s perspective. The purpose of the study is to conduct an empirical investigation as to how modern methods of portfolio optimization address the shortcomings associated with mean variance optimization. READ MORE
-
4. Alternative Index Weighting Strategies on the Swedish Stock Market
University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomiAbstract : The Market-Capitalization index reweighting has since long had the role as the conventional tool for passive investments through its simplicity and CAPM framework conformance. Nowadays, alternative index reweightings are getting increased traction in the light of market-capitalization criticism and suggested risk-return improvements and possibilities of desired characteristics. READ MORE
-
5. Risk-based Indexation on the Nordic Equity Market
University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomiAbstract : By convention and with support of CAPM's theoretical framework, stock indexes have for a long time been market-capitalization weighted. Among the alternative approaches that have gained in popularity are risk-weighted indexation methods, as it has been shown that they offer superior risk-return trade-off compared to the traditional market-capitalization weighted indexes. READ MORE