Essays about: "modern portfolio theory"

Showing result 1 - 5 of 50 essays containing the words modern portfolio theory.

  1. 1. An Empirical Study of Modern Portfolio Optimization

    University essay from KTH/Matematisk statistik; KTH/Matematisk statistik

    Author : Erik Lagerström; Michael Magne Schrab; [2020]
    Keywords : Mean variance optimization; portfolio theory; asset allocation strategies; equal risk contribution; most diversified portfolio; empirical study; backtesting; Mean variance-optimering; portföljteori; allokeringsstrategier; equal risk contribution; most diversified portfolio; empirisk studie; historisk simulering;

    Abstract : 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

  2. 2. Spectral Portfolio Optimisation with LSTM Stock Price Prediction

    University essay from KTH/Matematisk statistik

    Author : Nancy Wang; [2020]
    Keywords : Artificial Neural Network; LSTM; Spectral factor model; Portfolio optimisation; Stock price prediction; Time series analysis; Risk estimation; Spectral risk; Frequency-specific beta decomposition; Artificiella neurala nätverk; LSTM; Spektralfaktormodell; Portföljoptimering; Aktieprispredikering; Tidsserieranalys; Riskestimering; Spektra risk; Frekvensspecifik beta dekomposition;

    Abstract : Nobel Prize-winning modern portfolio theory (MPT) has been considered to be one of the most important and influential economic theories within finance and investment management. MPT assumes investors to be riskaverse and uses the variance of asset returns as a proxy of risk to maximise the performance of a portfolio. READ MORE

  3. 3. Are sustainable funds sustainable in terms of return? : a study on the Swedish fund market

    University essay from SLU/Dept. of Economics

    Author : Emil Thelander; [2020]
    Keywords : csr; esg; finance; funds; portfolio theory; risk-adjusted return; sri; sustainable fund; sustainability;

    Abstract : Sustainable investments have become a highly popular choice amongst private investors over the last decades and the number of alternatives has increased on the Swedish market. Sustainable funds have become one of the more popular options for Swedish investors that looks for sustainable investment options. READ MORE

  4. 4. 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. 5. The Debt-Equity Dilemma : An analysis of the co-movement between Swedish stocks and bonds

    University essay from Umeå universitet/Företagsekonomi; Umeå universitet/Företagsekonomi

    Author : Adam Gustafsson; Frida Nilsson Viberg; [2019]
    Keywords : Co-movements; Stock Market; Bond Market; Capital Structure; Shareholders; Stakeholders;

    Abstract : Throughout the last century there has been an extensve discussion regarding the optimal capital structure.Excessive research has further been conducted to understand the relationbetween the market debt and equity on an aggregated market-level. However, it is observed that the research on thefirm-specific co-movement of stock and bondsis scarce. READ MORE