Essays about: "portfolio optimization"

Showing result 16 - 20 of 201 essays containing the words portfolio optimization.

1. 16. 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

3. 17. Portfolio Optimization Problems with Transaction Costs

   University essay from KTH/Skolan för teknikvetenskap (SCI)

   Author : Stina Gustavsson; Linnéa Gyllberg; [2023]
   Keywords : Portfolio optimization; variable transaction costs; fixed transaction costs;

   Abstract : Portfolio theory is a cornerstone of modern finance, and it is based on the idea that an investor can reduce risk by diversifying their investments across various assets. In practice, Harry Markowitz mean-variance optimization theory is expanded upon by taking into account variable and fixed transaction cost, making the model slightly more reliable. READ MORE

4. 18. Optimal Portfolio Re-Balancing on Fixed Periods using a Cost/Risk Adaptation Model and Stochastic Optimization.

   University essay from Linköpings universitet/Produktionsekonomi

   Author : Max Ehn; Marcus Jämte; [2023]
   Keywords : Optimal portfolio re-balancing; optimal liquidation; minimize transaction costs; trading-volume estimation; stochastic optimization; Financial mathematics; tracking error; execution strategies; opportunity costs; liquidation costs; applied mathematics; PRIIP regulation; Swing-pricing;

   Abstract : In this thesis we investigate the problem of portfolio re-balancing for fixed periods using a cost/risk adaptation model and stochastic optimization. The cost/risk adaptation model takes theory of optimal liquidity costs and risk preference to build a universe in which we try to find better strategies than conventional ones. READ MORE

5. 19. Portfolio Optimization: The search for an optimal portfolio with cryptocurrencies and S&P 500

   University essay from

   Author : Anton Rapp; Henrik Thorwaldsson; [2022-07-11]
   Keywords : Portfolio optimization; Miniumum variance portfolio; Capital allocation line; Cryptocurrency; Diversification;

   Abstract : This thesis’ aim is to create an optimal portfolio consisting of Bitcoin, Ethereum and S&P 500. We also examine the minimum variance portfolio with the framework of Markowitz's mean variance optimization model. READ MORE

6. 20. Optimizing the Cash Reserve in a Portfolio of US Life Insurance Policies

   University essay from Linköpings universitet/Produktionsekonomi

   Author : Alva Happe; Wassim Seifeddine; [2022]
   Keywords : portfolio optimization; risk management; monte carlo; value at risk; life settlements; longevity risk; cash reserve; closed-end fund;

   Abstract : Hoarding a too large cash reserve is often unfavourable due to lost investment opportunities. Similarly, an insufficient cash reserve can be detrimental, as one might fail to meet payment obligations. Finding the optimal balance is nothing that is done in the blink of an eye, particularly when the underlying variable is stochastic, e.g. READ MORE