Essays about: "portfolio problem"

Showing result 1 - 5 of 166 essays containing the words portfolio problem.

1. 1. Robust Portfolio Optimization with Correlation Penalties

   University essay from KTH/Matematisk statistik

   Author : Pelle Nydahl; [2023]
   Keywords : Portfolio Optimization; Portfolio Allocation; Robust Optimization; Correlation; Risk Factor Model; EMA Filtering; Weighted Linear Regression; Portföljoptimering; Portföljallokering; Robust optimering; Korrelation; Riskfaktor-modell; EMA-filtrering; Viktad linjär regression;

   Abstract : Robust portfolio optimization models attempt to address the standard optimization method's high sensitivity to noise in the parameter estimates, by taking an investor's uncertainty about the estimates into account when finding an optimal portfolio. In this thesis, we study robust variations of an extension of the mean-variance problem, where an additional term penalizing the portfolio's correlation with an exogenous return sequence is included in the objective. READ MORE

3. 2. Portfolio Optimization Problems with Cardinality Constraints

   University essay from KTH/Skolan för teknikvetenskap (SCI)

   Author : Abolgasem Esmaeily; Felix Loge; [2023]
   Keywords : Portfolio Optimization; Modern Portfolio Theory MPT • Mixed Integer Programming MIP ; Efficient Frontier; Cardinality Constraints; Daily Returns; Expected Returns; Asset Allocation; Diversification;

   Abstract : This thesis analyzes the mean variance optimization problem with respect to cardinalityconstraints. The aim of this thesis is to figure out how much of an impact transactionchanges has on the profit and risk of a portfolio. We solve the problem by implementingmixed integer programming (MIP) and solving the problem by using the Gurobi solver. READ MORE

4. 3. The Impact of Quantum Computing on the Financial Sector : Exploring the Current Performance and Prospects of Quantum Computing for Financial Applications through Mean-Variance Optimization

   University essay from Linköpings universitet/Produktionsekonomi

   Author : Ante Fahlkvist; Alfred Kheiltash; [2023]
   Keywords : Quantum computing; Finance; Financial applications; Mean-variance optimization; Zero-one quadratic programming; Quantum computing in finance;

   Abstract : Many important tasks in finance often rely on complex and time-consuming computations. The rapid development of quantum technology has raised the question of whether quantum computing can be used to solve these tasks more efficiently than classical computing. READ MORE

5. 4. Structural Review and Performance Evaluation of Real Estate Tokens

   University essay from KTH/Fastighetsekonomi och finans

   Author : Berke Bayhoca; [2023]
   Keywords : Blockchain; Security Token; Real Estate; Portfolio Management; Blockchain; Säkerhetstoken; Fastigheter; Portföljförvaltning;

   Abstract : This thesis study includes quantitative and qualitative research on real estate tokens, one of the leading security tokens. Security tokens, which are based on blockchain technology, are rapidly becoming widespread as new era investment products. Real estate tokens have long stood out as one of the most popular of these tokens. READ MORE

6. 5. A Journey Through the World of Compression with IRS Contracts

   University essay from Umeå universitet/Institutionen för fysik

   Author : Karl Hjalmarsson; [2023]
   Keywords : Portfolio Compression; Interest Rate Swap; Newtork Simplex; Central Clearing Counterparty;

   Abstract : By participating in the market a party buys and sells different types of contracts resulting in the collection of contracts growing. With a large collection of contracts come the hurdles of an increasing operational cost, a harder-to-manage order book, and an increase in counterparty risk. READ MORE