Essays about: "modern portfolio theory"

Showing result 1 - 5 of 85 essays containing the words modern portfolio theory.

  1. 1. Beyond the Crisis: A Safe Haven Analysis : Empirical Insights into the Divergence of Gold and Bonds for Portfolio Hedging

    University essay from Umeå universitet/Företagsekonomi

    Author : Anthony Baugi; Eugene Zhang; [2024]
    Keywords : Gold; Bonds; Safe Haven; Hedging; US Treasury; Volatility; Covid; Portfolio Theory; Asset Dynamics; Fiscal Policy; Monetary Policy; Financial Crisis; Asset Management; Risk Management; Portfolio Risk;

    Abstract : Purpose: This thesis investigates the relationship concerning traditional safe haven assets, gold and US 10-year treasury bonds during periods of market instability, specifically during the economic concerns raised by the COVID-19 pandemic. It assesses the hedging and safe haven properties of these assets and their dynamic nature throughout two periods of unconventional monetary and fiscal policy measures by the Federal Reserve & US Congress respectively. READ MORE

  3. 2. ESG Balancing the Books and the Planet: A Quantitative Analysis of Risk-Adjusted Returns in ESG and Traditional Funds

    University essay from Göteborgs universitet/Institutionen för nationalekonomi med statistik

    Author : Benjamin Javidi; Malin Larsson; [2023-08-25]
    Keywords : Capital Asset Pricing Model CAPM ; Fama-French three-factor model; ESG; Sharpe ratio; OLS Regression Analysis; Modern Portfolio Theory;

    Abstract : The demand for sustainable investment has increased in the last decade. “Environmental, Social and Governance” (ESG) are characteristics within sustainable investment and are commonly considered in private investing. READ MORE

  4. 3. Sustainability Filtration and Optimization: A Stepwise Integration Approach

    University essay from KTH/Matematik (Avd.)

    Author : Soroosh Jalaei; [2023]
    Keywords : Sustainability; Modern Portfolio Theory; Optimization; Sequential Quadratic Programming; Optimal ESG Portfolio.; Hållbarhet; Modern portföljteori; Optimering; Sequential Quadratic Programming; Optimal ESG-portfölj.;

    Abstract : This thesis explores the integration of sustainability into Modern Portfolio Theory (MPT) optimization by introducing stepwise filtration and optimization. This study acknowledges the growing importance of sustainability in investment strategies and modifies the traditional MPT framework to include environmental, social, and governance (ESG) factors. READ MORE

  5. 4. Portfolio Optimization Problems with Cardinality Constraints

    University essay from KTH/Skolan för teknikvetenskap (SCI)

    Author : Abolgasem Esmaeily; Felix Loge; [2023]
    Keywords : Portfolio Optimization; Modern Portfolio Theory MPT • Mixed Integer Programming MIP ; Efficient Frontier; Cardinality Constraints; Daily Returns; Expected Returns; Asset Allocation; Diversification;

    Abstract : This thesis analyzes the mean variance optimization problem with respect to cardinalityconstraints. The aim of this thesis is to figure out how much of an impact transactionchanges has on the profit and risk of a portfolio. We solve the problem by implementingmixed integer programming (MIP) and solving the problem by using the Gurobi solver. READ MORE

  6. 5. Macroeconomic Factors and their role in Moderating Diversification effect of Asset Classes in the EU

    University essay from Umeå universitet/Företagsekonomi

    Author : Karl Nilsson; Tanyue Zheng; [2023]
    Keywords : macroeconomic factors; asset classes; diversification strategies; portfolio management; institutional qualities;

    Abstract : After the 2008 financial crisis, some have questioned the historically positive benefits ofdiversification, meanwhile others have stated a clear misunderstanding of whatdiversification entails. This study argues diversification is still viable in portfolio theory,and that more effort should be emphasized on macroeconomic factors’ role in theoptimal portfolio. READ MORE