Essays about: "mean-variance trade-off"

Found 2 essays containing the words mean-variance trade-off.

  1. 1. Mean-Variance Portfolio Selection Accounting for Financial Bubbles: A Mean-Field Type Approach

    University essay from KTH/Matematisk statistik

    Author : Marcus Häggbom; Shayan Nafar; [2019]
    Keywords : Financial bubbles; portfolio optimization; mean-variance trade-off; mean-field type optimal control; fundamental value; mean reversion; Finansiella bubblor; portföljoptimering; optimal kontroll av medelfältstyp; fundamentalt värde; medelreversion;

    Abstract : The phenomenon of financial bubbles is known to have impacted various markets since the seventeenth century. Such bubbles are known to form when the market drastically overvalues the price of an asset, causing its market value to increase hyperbolically, only to suddenly collapse once the untenable perceived future prospects of the asset are realized. READ MORE

  3. 2. The potential benefits of investing in commodities : A study of the properties related to the investment in several commodities and adding them to stock portfolios

    University essay from Umeå universitet/Företagsekonomi

    Author : Mattia Franch; Bahaa Shehabi; [2016]
    Keywords : Stock index; commodity; futures; return; volatility; safe-haven; hedge; portfolio; diversification; correlation; optimal weights;

    Abstract : Investing in commodities may have important benefits for investors but only in the last few decades have they started to think more about this possibility. Furthermore, large investors are more inclined to change their own personal view. READ MORE