Essays about: "portfolio matrix"

Showing result 6 - 10 of 52 essays containing the words portfolio matrix.

1. 6. Integration of Advanced Product Quality Planning in Quality Preparation for an Original Equipment Manufacturer in the Automotive Industry : A Case Study at Volvo Group Trucks Operations Powertrain Production in Skövde

   University essay from Luleå tekniska universitet/Institutionen för ekonomi, teknik, konst och samhälle

   Author : Hanna Gertsson; Henrik Lindberg; [2023]
   Keywords : Advanced product quality planning APQP ; quality preparation; production part approval process PPAP ; IATF 16949; ISO 9001; automotive industry; gap analysis; change management; risk management; product development and process development.;

   Abstract : This study examines the development of Volvo Group Trucks Operations Powertrain Production (Volvo GTO PTP) in Skövde, focusing on the implementation of processes for new products intended for both internal and external customers. Previously, the company solely supplied products within the Volvo Group, functioning as an Original Equipment Manufacturer (OEM). READ MORE

3. 7. An Investigation and Comparison of Machine Learning Methods for Selecting Stressed Value-at-Risk Scenarios

   University essay from Uppsala universitet/Avdelningen för systemteknik

   Author : Moa Tennberg; [2023]
   Keywords : Value-at-Risk; Total margin; Procyclicality; Machine learning; Binary classification; Supervised learning; Unsupervised learning; Random forest; Multilayer perceptron;

   Abstract : Stressed Value-at-Risk (VaR) is a statistic used to measure an entity's exposure to market risk by evaluating possible extreme portfolio losses. Stressed VaR scenarios can be used as a metric to describe the state of the financial market and can be used to detect and counter procyclicality by allowing central clearing counterparities (CCP) to increase margin requirements. READ MORE

4. 8. The Rational Investor is a Bayesian

   University essay from KTH/Skolan för teknikvetenskap (SCI)

   Author : Jiajun Qu; [2022]
   Keywords : Portfolio optimization; Mean-variance optimization; Bayesian approach; Linear shrinkage; Black-Litterman; Robust optimization;

   Abstract : The concept of portfolio optimization has been widely studied in the academy and implemented in the financial markets since its introduction by Markowitz 70 years ago. The problem of the mean-variance optimization framework caused by input uncertainty has been one of the foci in the previous research. READ MORE

5. 9. Factor Models for Futures Contracts to Improve Estimation of the Correlation Matrix

   University essay from Lunds universitet/Matematisk statistik

   Author : Ellen Ek; [2022]
   Keywords : Correlation matrix; Hierarchical Principal Component Analysis; Factor Model; Clusters; Portfolio Optimization; Futures Contracts; Mathematics and Statistics;

   Abstract : In this paper regularization of the correlation matrix between futures contracts is examined. With starting point in the recently established HPCA framework (Avellaneda, 2019), a couple of different extensions to the one-factor model is suggested. Extensions are made in terms of adjusting the model according to different cluster structures. READ MORE

6. 10. Hierarchical Clustering To Improve Portfolio Tail Risk Characteristics

   University essay from Lunds universitet/Matematisk statistik

   Author : Adam Eidenvall; [2021]
   Keywords : Hierarchical Clustering; Asset Allocation; Portfolio Construction; Graph Theory; Machine Learning; Risk Parity; Regime Shift; Bootstrapping; Walk Forward; Mathematics and Statistics;

   Abstract : Many agree that estimating portfolio risks has better estimation possibilities, than estimations on returns. Therefore investors attempts to construct better, more efficient riskmanaged portfolios by diversifying portfolios through factors rather than traditional asset classes. READ MORE