Essays about: "mean-variance optimisation"

Found 3 essays containing the words mean-variance optimisation.

  1. 1. Markowitz vs Black--Litterman: A Comparison of Two Portfolio Optimisation Models

    University essay from Mälardalens högskola/Akademin för utbildning, kultur och kommunikation

    Author : Eismann Eismann; [2018]
    Keywords : ;

    Abstract : Modern portfolio theory first gained its ground among researchers and academics, but has become increasingly popular among practitioners. This paper examines the two popular portfolio optimization models, Markowitz mean-variance model and Black-Litterman formula and compares their results on real data. READ MORE

  2. 2. The Omega Function : A Comparison Between Optimized Portfolios

    University essay from Mälardalens högskola/Akademin för utbildning, kultur och kommunikation

    Author : Ali Salih; [2011]
    Keywords : Portfolio; Portfolio theory; optimising; optimizing; optimization; optimisation; Omega; Omega function; sharpe; sharpe ratio; ranking assets; markowitz; transaction cost;

    Abstract : The traditional way to analyze stocks and portfolios within the area of finance have been restricted to Sharpe and Markovitz. The Omega function and its properties enlighten the field of finance and differs from the traditional ways when it comes to the volatility of the stocks. READ MORE

  3. 3. Portfolio optimisation : improved risk-adjusted return?

    University essay from Uppsala universitet/Nationalekonomiska institutionen

    Author : Jonathan Mårtensson; [2006]
    Keywords : Efficient frontier; mean-variance optimisation; portfolio optimisation; Sharpe ratio;

    Abstract : In this thesis, portfolio optimisation is used to evaluate if a specific sample of portfolios havea higher risk level or lower expected return, compared to what may be obtained throughoptimisation. It also compares the return of optimised portfolios with the return of the originalportfolios. READ MORE