Essays about: "portföljoptimering"

Showing result 26 - 30 of 35 essays containing the word portföljoptimering.

1. 26. Equilibrium Strategies for Time-Inconsistent Stochastic Optimal Control of Asset Allocation

   University essay from KTH/Optimeringslära och systemteori

   Author : Johan Dimitry El Baghdady; [2017]
   Keywords : Stochastic optimal control; dynamic programming; asset allocation; non-cooperative games; subgame perfect Nash equilibrium; time-inconsistency; dynamic portfolio optimization; mean-variance; state dependent risk aversion; extended Hamilton-Jacobi-Bellman; execution algorithms.; Stokastisk optimal styrning; dynamisk programmering; tillgångsallokering; icke-kooperativa spel; Nashjämvikt; tidsinkonsistens; dynamisk portföljoptimering; avvägning mellan förväntad avkastning och varians; tillståndsberoende riskhantering; utökad Hamilton-Jacobi-;

   Abstract : We have examinined the problem of constructing efficient strategies for continuous-time dynamic asset allocation. In order to obtain efficient investment strategies; a stochastic optimal control approach was applied to find optimal transaction control. READ MORE

3. 27. Investigating usefulness of portfolio optimization with respect to prospect utility in financial advisory

   University essay from KTH/Matematisk statistik

   Author : William Brink; Christopher Furu; [2017]
   Keywords : ;

   Abstract : In this paper we derive and analyze the usefulness of a prospect theory based model for selecting optimal portfolios with respect to multiple investment goals. The focus is to determine whether or not the model would be suitable for the advisory process by investigating the result given by the optimal portfolio values and proportion in risky assets in continuous time. READ MORE

4. 28. Robust portfolio optimization with Expected Shortfall

   University essay from KTH/Matematisk statistik

   Author : Daniel Isaksson; [2016]
   Keywords : Robust Portfolio Optimization; Risk Management; Expected Shortfall; Elliptical Distributions; GARCH model; Normal Copula; Hybrid Generalized Pareto-Empirical-Generalized Pareto Marginals; Markowitz Mean-Variance Optimization; Contribution Expected Shortfall;

   Abstract : This thesis project studies robust portfolio optimization with Expected Short-fall applied to a reference portfolio consisting of Swedish linear assets with stocks and a bond index. Specifically, the classical robust optimization definition, focusing on uncertainties in parameters, is extended to also include uncertainties in log-return distribution. READ MORE

5. 29. Smart Beta - index weighting

   University essay from KTH/Matematisk statistik

   Author : Oscar Blomkvist; [2015]
   Keywords : Smart beta; portfolio optimization; Sharpe ratio; equal weights; diversification; fundamental analysis; P E-ratio; performance; risk; trading cost; market impact.; Smart beta; portföljoptimering; Sharpe-kvot; likaviktad; diversifiering;

   Abstract : This study is a thesis ending a 120 credit masters program in Mathematics with specialization Financial Mathematics and Mathematical Statistics at the Royal Institute of Technology (KTH). The subject of Smart beta is defined and studied in an index fund context. READ MORE

6. 30. Portfolio Optimization : Approaches to determining VaR and CVaR

   University essay from KTH/Optimeringslära och systemteori

   Author : Parik Bergman; Viktor Sonebäck; [2015]
   Keywords : ;

   Abstract : This thesis analyses portfolio optimization using the risk measures VaR and CVaR with two different underlying assumptions of probability distribution of returns; one being that portfolio returns are normal distributed and the other being a discrete distribution comprised of historical data. The models are run through numerous historical simulations on the OMXS30 with varying time period for historical data and rebalance frequencies. READ MORE