Essays about: "optimal portfolio"

Showing result 1 - 5 of 125 essays containing the words optimal portfolio.

  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. The use of SRI strategies and motivational factors : A case study among banks and fund companies

    University essay from Linnéuniversitetet/Institutionen för nationalekonomi och statistik (NS)

    Author : Oskar Karlsson; Oskar Sjöbeck; [2020]
    Keywords : SRI strategies; Sustainable and responsible investments; Modern Portfolio Choice Theory; Expected Utility Theory; Motivation; Profit maximization; Banks and fund companies;

    Abstract : Background: In today's society, there is more pressure to be sustainable and not least in the financial world. Several agreements, such as the Paris Agreement, have been created to steer countries towards more sustainability. When it comes to the economy, several SRI strategies have been developed to serve the same purpose. READ MORE

  3. 3. What is the Optimal Allocation Level to Real Estate in a Swedish Mixed-Asset Portfolio Including both Direct and Indirect Real Estate?

    University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

    Author : Oscar Holgersson; Jacob Tingnell; [2020]
    Keywords : Capital Asset Pricing Model; Direct Real Estate; Hedonic Model; Mean-Variance Optimization; Mixed-Asset Portfolio;

    Abstract : We use mean-variance analysis to examine the optimal allocation to real estate for institutional investors investing in Swedish assets and whether direct real estate provides diversification benefits to a mixed-asset portfolio. The study takes the perspective of institutional investors interested in dividing the real estate asset class into the two asset categories direct real estate and indirect real estate. READ MORE

  4. 4. Debt Portfolio Optimization at the Swedish National Debt Office: : A Monte Carlo Simulation Model

    University essay from KTH/Matematisk statistik

    Author : Felix Greberg; [2020]
    Keywords : Public Debt Management; Financial Mathematics; Portfolio Optimization; Ornstein–Uhlenbeck; Vector Autoregression; Term Structure Evolution; Nelson-Siegel; R; Monte Carlo simulation; Skuldförvaltning; Finansiell matematik; Portföljoptimering; Ornstein–Uhlenbeck; Vector autoregression; Ränteutvecklingsmodeller; Nelson-Siegel; R; Monte Carlo-simulering;

    Abstract : It can be difficult for a sovereign debt manager to see the implications on expected costs and risk of a specific debt management strategy, a simulation model can therefore be a valuable tool. This study investigates how future economic data such as yield curves, foreign exchange rates and CPI can be simulated and how a portfolio optimization model can be used for a sovereign debt office that mainly uses financial derivatives to alter its strategy. READ MORE

  5. 5. Mixed Integer Linear Programming for Allocation of Collateral within Securities Lending

    University essay from KTH/Optimeringslära och systemteori

    Author : Martin Wass; [2020]
    Keywords : Collateral; collateral management; optimisation; mixed integer linear programming; collateral allocation; opportunity cost; triparty collateral management; counterparty risk; Säkerheter; säkerhetshantering; optimering; blandat-heltal linjär programmering; alternativkostnad; motpartsrisk; tripartykostnad;

    Abstract : A mixed integer linear programming formulation is used to solve the problem of allocating assets from a bank to its counterparties as collateral within securities lending. The aim of the optimisation is to reduce the cost of allocated collateral, which is broken down into the components opportunity cost, counterparty risk cost and triparty cost. READ MORE