Essays about: "optimal portfolio"

Showing result 6 - 10 of 167 essays containing the words optimal portfolio.

  1. 6. 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

  3. 7. Evaluating clustering techniques in financial time series

    University essay from Uppsala universitet/Avdelningen för systemteknik

    Author : Johan Millberg; [2023]
    Keywords : clustering; machine learning; financial time series; time series; unsupervised learning; cluster validation; cluster evaluation; klustring; klusteranalys; finansiella tidsserier; maskininlärning; klustervalidering; evalueringsteknik;

    Abstract : This degree project aims to investigate different evaluation strategies for clustering methodsused to cluster multivariate financial time series. Clustering is a type of data mining techniquewith the purpose of partitioning a data set based on similarity to data points in the same cluster,and dissimilarity to data points in other clusters. READ MORE

  4. 8. Merton's Portfolio Problem under Jourdain--Sbai Model

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

    Author : Sajedeh Saadat; [2023]
    Keywords : Merton’s Optimal Investment-Consumption Problem; Dynamic Programming; Hamilton-Jacobi-Bellman equation; Stochastic Volatility Model; Finite-difference method; Crank-Nicolson.;

    Abstract : Portfolio selection has always been a fundamental challenge in the field of finance and captured the attention of researchers in the financial area. Merton's portfolio problem is an optimization problem in finance and aims to maximize an investor's portfolio. READ MORE

  5. 9. Is reaching for the whisky bottle justified? Examining the value of whisky and its inclusion in the optimal portfolio

    University essay from Lunds universitet/Nationalekonomiska institutionen

    Author : Gustaf Lugnegård; Hugo Freij; [2023]
    Keywords : Whisky; hedonic regression; convenience yield; portfolio theory; Business and Economics;

    Abstract : This study aims to evaluate whisky as an investment through two research questions: “What affects the value of whisky?” and “Should whisky be included in the optimal portfolio?”. The value of whisky is examined by constructing a hedonic regression using five hedonic attributes. Also, the convenience yield associated with whisky is examined. READ MORE

  6. 10. Merton's Portfolio Problem under Grezelak-Oosterlee-Van Veeren Model

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

    Author : Tara Romsäter; [2023]
    Keywords : Merton s Optimal Investment-Consumption Problem; Dynamic Programming; Hamilton-Jacobi-Bellman equation; Stochastic Volatility Model.;

    Abstract : Merton’s Optimal Investment-Consumption Problem is a classic optimization problem in finance. It aims to find the optimal controls for a portfolio with both risky and risk-less assets, inorder to maximize an investor’s utility function. READ MORE