Essays about: "mean-variance optimization"
Showing result 16 - 20 of 74 essays containing the words mean-variance optimization.
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16. The Black-Litterman Asset Allocation Model - An Empirical Analysis of Its Practical Use
University essay from KTH/Matematik (Avd.)Abstract : Modern portfolio theory has its attractive characteristics of promoting diversification in a portfolio and can be seen as an easy alternative for setting optimal weights for portfolio managers. Furthermore, as portfolio managers try to beat a defined benchmark for their portfolio the Black-Litterman model allows them to include their own prospects on the future return of markets and securities. READ MORE
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17. Allocation of Alternative Investments in Portfolio Management. : A Quantitative Study Considering Investors' Liquidity Preferences
University essay from KTH/Matematik (Avd.)Abstract : Despite the fact that illiquid assets pose several difficulties regarding portfolio allocation problems for investors, more investors are increasing their allocation towards them. Alternative assets are characterized as being harder to value and trade because of their illiquidity which raises the question of how they should be managed from an allocation optimization perspective. READ MORE
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18. Inversion of Markowitz Portfolio Optimization to Evaluate Risk
University essay from KTH/Skolan för elektroteknik och datavetenskap (EECS)Abstract : This project investigates the applicability of the originalversion of Markowitz’s mean-variance model for portfoliooptimization to real-world modern actively managed portfolios.The method measures the mean-variance model’s capability toaccurately capture the riskiness of given portfolios, by invertingthe mathematical formulation of the model. READ MORE
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19. Evaluation of a Portfolio in Dow Jones Industrial Average Optimized by Mean-Variance Analysis
University essay from KTH/Matematisk statistikAbstract : This thesis evaluates the mean-variance analysis framework by comparing the performance of an optimized portfolio consisting of stocks from the Dow Jones Industrial Average to the performance of the Dow Jones Industrial Average index itself. The results show that the optimized portfolio performs better than the corresponding index when evaluated on the period between 2015 and 2019. READ MORE
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20. 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