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Found 5 essays matching the above criteria.

  1. 1. Hedging the Term Structure Risk of Carbon Allowance Derivatives : An Application of Stochastic Optimisation to EUA Market Making

    University essay from Linköpings universitet/Produktionsekonomi

    Author : Nikolas Tsigkas; [2022]
    Keywords : Commodity Derivatives; Emissions Trading; Term Structure; Nonparametric Curve Estimation; Hedging; Stochastic Optimisation; Monte Carlosimulation; Market Microstructre; Systematic Risk Factors;

    Abstract : The initiative by the EU to combat global warming through the introduction of a cap-and-trade system for greenhouse gas emissions in 2005, known as the EU Emissions Trading System (ETS), resulted in the inception of a new financial market. The right to emit one tonne of CO2-equivalents, as well as derivatives on this right, have become commodities, traded both through exchanges and over the counter. READ MORE

  3. 2. Robo-advisors on the Swedish Market : From a Portfolio Management Perspective

    University essay from Högskolan i Jönköping/Internationella Handelshögskolan

    Author : Sebastian Mhanga; Axel Berg; [2019]
    Keywords : ;

    Abstract : Robo-advisory is a new category in portfolio management and the investment management industry. Few studies have been done on how robo-advisors’ perform in the long run. The purpose of this research is to replicate and backtest the Swedish robo-advisors’ from 2010 to 2019 and analyse their performance. READ MORE

  4. 3. 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

  5. 4. The Omega Function : A Comparison Between Optimized Portfolios

    University essay from 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

  6. 5. Portfolio optimisation : improved risk-adjusted return?

    University essay from 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 have a higher risk level or lower expected return, compared to what may be obtained through optimisation. It also compares the return of optimised portfolios with the return of the original portfolios. READ MORE