Essays about: "portfolio matrix"

Showing result 21 - 25 of 52 essays containing the words portfolio matrix.

  1. 21. Break Point Detection for Strategic Asset Allocation

    University essay from KTH/Matematisk statistik

    Author : Erika Madebrink; [2019]
    Keywords : Strategic asset allocation; Bayesian; reversible jump; Markov chain Monte Carlo; regime switching;

    Abstract : This paper focuses on how to improve strategic asset allocation in practice. Strategic asset allocation is perhaps the most fundamental issue in portfolio management and it has been thoroughly discussed in previous research. We take our starting point in the traditional work of Markowitz within portfolio optimization. READ MORE

  3. 22. Transition Matrices Conditional on Macroeconomic Cycles: A Portfolio Stress-Test Application

    University essay from Göteborgs universitet/Graduate School

    Author : Jesper Karlsson; [2018-07-04]
    Keywords : Risk Management; Migration Analysis; Intensity Models; IFRS 9; Basel Accords; Portfolio Stress Test;

    Abstract : Transition matrices show the probabilities of credit rating migrations for a pool of ratings within a particular industry, geographical area, time-horizon, etc. Regulation, in the form of Basel accords, has opted for standards in banking that among other techniques use transition matrices, and thus the probability of default, for internally-based risk-assessment, as well as incorporating the external credit rating in the capital requirement calculation. READ MORE

  4. 23. Reverse Stress Test Optimization : A study on how to optimize an algorithm for reverse stress testing

    University essay from Umeå universitet/Institutionen för fysik

    Author : Sarah Marklund; [2018]
    Keywords : ;

    Abstract : In this thesis we investigate how to optimize an algorithm that determines a scenario multiplier for a reverse stress test with a method where predefined scenarios are scaled. The scenarios are composed by different risk factors that represents market events. READ MORE

  5. 24. Risk-Based Portfolio Allocation Strategies with a Focus on Sustainable Stocks in Sweden

    University essay from Lunds universitet/Nationalekonomiska institutionen

    Author : Pilar Muñoz Ruiz; Frieda-Lotti Pauline Meyer; [2018]
    Keywords : Risk Adjusted Performance; Risk-Based Portfolio Allocation Strategies; Sustainable Stocks; Variance Covariance Matrix; Business and Economics;

    Abstract : This paper aims at analyzing the performance of six portfolio weight allocation strategies. The traditional Market Capitalization (CW), the Equal Weight (EW) and the Inverse Volatility Weighting (IVW) are heuristic based techniques and the Minimum Variance (MV), Maximum Diversification (MD) and Risk Efficient Weighting (REW) are risk-based. READ MORE

  6. 25. An alternative approach for solving the problem of close to singular covariance matrices in modern portfolio theory

    University essay from Lunds universitet/Statistiska institutionen

    Author : Martin Claeson; [2017]
    Keywords : global minimum variance portfolio; singular covariance matrix; sector index portfolio; Business and Economics; Mathematics and Statistics;

    Abstract : In this thesis the effects of utilizing the sample covariance matrix in the estimation of the global minimum variance (GMV) portfolio are presented. When the number of assets, N, are close to the number of observations, T, the sample covariance matrix approaches singularity, leading to a lot of uncertainties in form of estimation error. READ MORE