Essays about: "modern portfolio theory"

Showing result 1 - 5 of 39 essays containing the words modern portfolio theory.

  1. 1. Maximum Predictability Portfolio Optimization

    University essay from KTH/Matematik (Avd.)

    Author : Nazim Huseynov; [2019]
    Keywords : Portfolio optimization; linear programming; multi-factor model; Portföljoptimering; linjär optimering; multifaktormodell;

    Abstract : Harry Markowitz work in the 50’s spring-boarded modernportfolio theory. It gives investors quantitative tools to compose and assessasset portfolios in a systematic fashion. The main idea of the Mean-Varianceframework is that composing an optimal portfolio is equivalent to solving aquadratic optimization problem. READ MORE

  2. 2. Trading algorithms for high-frequency currency trading

    University essay from Umeå universitet/Institutionen för fysik

    Author : Shahab Garoosi; [2018]
    Keywords : ;

    Abstract : This thesis uses modern portfolio theory together with machine learning techniques to generate stable portfolio returns over eleven currency pairs with spreads included. The backtests show that support vector machine predicted future returns better than neural network and linear regression. READ MORE

  3. 3. Greenhouse Gas Footprint Minimization of Credit Default Swap Baskets

    University essay from Umeå universitet/Institutionen för matematik och matematisk statistik; Umeå universitet/Institutionen för matematik och matematisk statistik

    Author : Oscar Britse; Johan Jarnmo; [2018]
    Keywords : credit default swap; CDS; CDS basket; greenhouse gas; emission; iTraxx; CDX; portfolio optimization; ECOBAR; Markowitz;

    Abstract : Global bond market capitalization amounts to approximately $100 trillion, compared to $60 trillion in the equity markets. Despite debt financing being a large part of the global financial market, the measurements and greenhouse gas reduction investment strategies to date are not nearly as thorough as for equity financing. READ MORE

  4. 4. 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. 5. Assessing the Economic Value of Implied Volatility Estimates

    University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

    Author : Johannes Ackermann; [2018]
    Keywords : implied volatility; option pricing; modern portfolio theory; GARCH; Markov switching models;

    Abstract : This thesis studies the value of implied volatility estimates for portfolio allocation under the modern portfolio theory (MPT) framework introduced by Markowitz and compares the pricing performances of several common option pricing models. The thesis consists of two parts. READ MORE