Essays about: "mean-variance optimization"

Showing result 11 - 15 of 74 essays containing the words mean-variance optimization.

1. 11. Robo-Advisor portfolioperformance : Studying the effects of building an efficientportfolio from Value at Risk, ExpectedShortfall and Mean-Variance optimization

   University essay from Blekinge Tekniska Högskola/Institutionen för industriell ekonomi

   Author : Tobias Brännvall; Stella El Masry; [2022]
   Keywords : Fintech; Robo-advisory; Innovation;

   Abstract : In this research we conduct an in-depth examination of the several financial theories as well asevaluating different implementations of a hypothetical Robo-advisor and the correspondingperformance under market stress (COVID-19). Thus, we contribute a view on Robo-advisors’ benefitsand limitations, providing a foundation for better understanding its potential. READ MORE

3. 12. Decomposition of ETFs: Building a synthetic portfolio of ETFs major positions

   University essay from Lunds universitet/Nationalekonomiska institutionen

   Author : Donatas Gadlijauskas; Evelina Sarul; [2022]
   Keywords : ETF; Portfolio optimization; Sharpe ratio; VaR; GARCH; Business and Economics;

   Abstract : This paper investigates the performance of benchmark indices and according ETFs against the synthetic portfolios that were built using the five major holdings of the selected benchmark index and its ETF. Not only do we test the synthetic portfolios, but from them, we make optimal (re-balanced) portfolios using mean-variance optimization (with short-selling constraints). READ MORE

4. 13. Black Box Optimization Framework for Reinsurance of Large Claims

   University essay from Stockholms universitet/Statistiska institutionen

   Author : Sina Mozayyan; [2022]
   Keywords : augmented Lagrangian; constraint optimization by linear interpolation; derivative-free black box optimization; DIRECT L ; evolutionary optimization; NLopt package; mean-variance premium principle; risk management; Solvency II;

   Abstract : A framework for optimization of reinsurance strategy is proposed for an insurance company with several lines of business (LoB), maximizing the Economic Value of purchasing reinsurance. The economic value is defined as the sum of the average ceded loss, the deducted risk premium, and the reduction in the cost of capital. READ MORE

5. 14. Considering Tail Events in Hedge Fund Portfolio Optimization

   University essay from Linköpings universitet/Produktionsekonomi

   Author : Josefin Bladh; Holm Greta; [2021]
   Keywords : Portfolio Optimization; Hedge Funds; Tail Events; Mean-CVaR;

   Abstract : The Fourth Swedish National Pension Fund (AP4), as well as many other large investors, has noted deficiencies the Mean-Variance framework for portfolio management of asset with non-normal characteristics. The main problem apparent in the Mean-Variance framework, when investing in alternative assets such as hedge funds, is the lacking systematic control of the balance between the measurements of risk due normal variation and tail-risk. READ MORE

6. 15. Analysis of the Performance of ETFs. A study on the US market

   University essay from Lunds universitet/Nationalekonomiska institutionen

   Author : Thi Kim Lien Vu; Salome Tskhoidze; [2021]
   Keywords : ETF; portfolio optimization; Sharpe ratio; financial downturns; benchmark; Business and Economics;

   Abstract : Exchange Traded Funds are known as a relatively recent financial innovation and have been gaining investors' interest in recent years. The performance of ETF in comparison to other benchmarks is still the central concern when investors make an investment decision. READ MORE