Essays about: "modern portfolio selection theory"

Showing result 1 - 5 of 6 essays containing the words modern portfolio selection theory.

1. 1. Dynamic Covariance Modelling Using Generalised Wishart Processes

   University essay from Lunds universitet/Matematisk statistik

   Author : Fredrik Nilsson; [2023]
   Keywords : Covariance matrix; generalised Wishart process; Bayesian inference; Markov chain Monte Carlo; Hamiltonian Monte Carlo; Mathematics and Statistics;

   Abstract : Modern portfolio theory was pioneered by Markowitz who formulated the mean-variance problem, without which any discussion on quantitative approaches to portfolio selection would be incomplete. The framework boils down to finding the expected return $\mu$ and covariance $\Sigma$, after which the solution is proportional to $\Sigma^{-1}\mu$. READ MORE

3. 2. Social Investments: “It’s going slow, but it’s happening” : A study on the feasibility and future of Social Bonds and Social Outcome Contracts in Sweden

   University essay from Linköpings universitet/Nationalekonomi; Linköpings universitet/Filosofiska fakulteten

   Author : Emelie Lebsund; Fanny Samuelsson; [2022]
   Keywords : Social sustainability; social bonds; social outcome contracts; social impact bonds; sustainability; CSR; institutional theory; transaction cost theory; modern portfolio selection theory; ESG;

   Abstract : As we face increasingly complex problems of both a social and environmental nature, innovative and multifaceted solutions are required to create a sustainable future. Despite Sweden's leading position in terms of financial solutions to environmental issues, Sweden is behind most OECD economies in the development of a financial infrastructure for private investment for social and socio-economic projects. READ MORE

4. 3. Covariance Matrix Regularization for Portfolio Selection: Achieving Desired Risk

   University essay from Lunds universitet/Matematisk statistik

   Author : Manu Upadhyaya; [2020]
   Keywords : covariance matrix; portfolio selection; risk; Mathematics and Statistics;

   Abstract : The modus operandi of most asset managers is to promise clients an annual risk target, where risk is measured by realized standard deviation of portfolio returns. Moreover, Markowitz (1952) portfolio selection requires an estimate of the covariance matrix of the returns of the financial instruments under consideration. READ MORE

5. 4. Multi-period portfolio optimization given a priori information on signal dynamics and transactions costs

   University essay from KTH/Optimeringslära och systemteori

   Author : Jedra Yassir; [2018]
   Keywords : Multi-period portfolio optimization; portfolio selection; mean-variance optimization; return predictability; mean reverting processes; transactions costs; market impacts; stochastic optimal control.;

   Abstract : Multi-period portfolio optimization (MPO) has gained a lot of interest in modern portfolio theory due to its consideration for inter-temporal trading e effects, especially market impacts and transactions costs, and for its subtle reliability on return predictability. However, because of the heavy computational demand, portfolio policies based on this approach have been sparsely explored. READ MORE

6. 5. Black-Litterman Model : Practical Asset Allocation Model Beyond Traditional Mean-Variance

   University essay from Mälardalens högskola/Utbildningsvetenskap och Matematik

   Author : David Emanuel Esteky; SHUHRAT ABDUMUMINOV; [2016]
   Keywords : Asset Allocation; Black-Letterman; portfolio theory; practical portfolio management; Mean-Variance; Portfolio optimization; Modern portfolio theory; Portfolio selection; efficent frontier; Markowitz;

   Abstract : Today the Black-Litterman model is used as an asset allocation tool by many of the largest investment banks around the globe. The Black-Litterman model was derived based on the Mean- Variance framework to maximize return for a given level of portfolio risk. READ MORE