Essays about: "modern portfolio theory"

Showing result 6 - 10 of 85 essays containing the words modern portfolio theory.

1. 6. Portfolio Optimization Problems with Transaction Costs

   University essay from KTH/Skolan för teknikvetenskap (SCI)

   Author : Stina Gustavsson; Linnéa Gyllberg; [2023]
   Keywords : Portfolio optimization; variable transaction costs; fixed transaction costs;

   Abstract : Portfolio theory is a cornerstone of modern finance, and it is based on the idea that an investor can reduce risk by diversifying their investments across various assets. In practice, Harry Markowitz mean-variance optimization theory is expanded upon by taking into account variable and fixed transaction cost, making the model slightly more reliable. READ MORE

3. 7. 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

4. 8. Portfolio Diversification with Commodities : From a Swedish Perspective

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

   Author : Simon Derenkow; Max Walméus; [2022]
   Keywords : Commodities; DCC-GARCH; OMXSPI; Inflation; Correlation; Diversification; Modern Portfolio Theory;

   Abstract : This paper investigates the diversification characteristics of commodities in relation to the Swedish equity index OMXSPI. Much of the previous literature concludes that gold and oil possess diversification or hedging properties against the US equity markets. READ MORE

5. 9. How to Get Rich by Fund of Funds Investment - An Optimization Method for Decision Making

   University essay from Mälardalens universitet/Akademin för utbildning, kultur och kommunikation

   Author : Sabina Colakovic; [2022]
   Keywords : Modern Portfolio Theory; Markowitz Model; Mean-Variance Optimization; Valueat-Risk; Conditional Value-at-Risk; Geometric Mean Return; Efficient Frontier; Portfolio Optimization; Markowitz 2.0;

   Abstract : Optimal portfolios have historically been computed using standard deviation as a risk measure.However, extreme market events have become the rule rather than the exception. To capturetail risk, investors have started to look for alternative risk measures such as Value-at-Risk andConditional Value-at-Risk. READ MORE

6. 10. Evaluation of portfolio optimization methods on decentralized assets and hybridized portfolios

   University essay from KTH/Matematik (Avd.)

   Author : Reza Salam Dalfi; Noel Mattar; [2022]
   Keywords : Traditional assets; DeFi; Cryptocurrencies; CVAR; FLPM; MSV; Portfolio; Optimization; Risk measurements; Traditionella tillgångar; DeFi; Cryptocurrencies; CVAR; FLPM; MSV; Portfölj optimering; Riskmått;

   Abstract : The market for decentralised financial instruments, more commonly known as cryptocurrencies, has gained momentum over the past recent years and the application areas are many. Modern portfolio theory has for years demonstrated its applicability to traditional assets, such as equities and other instruments, but to some extent omitted the application of mathematical portfolio theory with respect for cryptocurrencies. READ MORE