Essays about: "markowitz portfolio selection"

Showing result 1 - 5 of 13 essays containing the words markowitz portfolio selection.

  1. 1. Dynamic Covariance Modelling Using Generalised Wishart Processes

    University essay from Lunds universitet/Matematisk statistik

    Author : Fredrik Nilsson; [2023]
    Keywords : Covariance matrix; generalised Wishart process; Bayesian inference; Markov chain Monte Carlo; Hamiltonian Monte Carlo; Mathematics and Statistics;

    Abstract : Modern portfolio theory was pioneered by Markowitz who formulated the mean-variance problem, without which any discussion on quantitative approaches to portfolio selection would be incomplete. The framework boils down to finding the expected return $\mu$ and covariance $\Sigma$, after which the solution is proportional to $\Sigma^{-1}\mu$. READ MORE

  3. 2. Optimised ESG portfolios. Does sustainability sacrifice profit?

    University essay from Lunds universitet/Nationalekonomiska institutionen

    Author : Eric Hellstedt; [2022]
    Keywords : ESG; Sustainable investment; portfolio selection; portfolio optimisation; Sharpe ratio; Business and Economics;

    Abstract : The purpose of this thesis is to investigate the relationship between ESG and portfolio investment. More specifically, we investigate if sustainable portfolios that focus on good ESG performance requires sacrificing profit or if it is possible to maintain a sustainable portfolio with a high financial gain. READ MORE

  4. 3. Estimating Believed Knowledge of Portfolio Agents Using Inverse Optimization

    University essay from KTH/Skolan för elektroteknik och datavetenskap (EECS)

    Author : Gustaf Zachrisson; Oscar Wink; [2022]
    Keywords : ;

    Abstract : In this report, we demonstrate the utility of inverse optimization in convex programming by applying it on estimating financial market beliefs and behaviors of portfolio investors. The inversion of the optimization  utilized the Karush–Kuhn–Tucker optimality conditions specified for the current situation. READ MORE

  5. 4. The Adoption of Artificial Intelligence in Swedish Funds

    University essay from Göteborgs universitet/Företagsekonomiska institutionen

    Author : Stephie Do; Tim Larsson; [2021-02-24]
    Keywords : Artificial intelligence; performance; funds; finance; asset management; portfolio theory; efficient market; behavioral finance.;

    Abstract : Fund managers have historically made use of traditional portfolio strategies such as Markowitz portfolio selection, as part of their decision making. But as the world has started to shift towards a more automated lifestyle, the question arises if fund management will follow. READ MORE

  6. 5. Covariance Matrix Regularization for Portfolio Selection: Achieving Desired Risk

    University essay from Lunds universitet/Matematisk statistik

    Author : Manu Upadhyaya; [2020]
    Keywords : covariance matrix; portfolio selection; risk; Mathematics and Statistics;

    Abstract : The modus operandi of most asset managers is to promise clients an annual risk target, where risk is measured by realized standard deviation of portfolio returns. Moreover, Markowitz (1952) portfolio selection requires an estimate of the covariance matrix of the returns of the financial instruments under consideration. READ MORE