Essays about: "strategic asset allocation"
Showing result 1 - 5 of 9 essays containing the words strategic asset allocation.
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1. Mixed Integer Linear Programming for Allocation of Collateral within Securities Lending
University essay from KTH/Optimeringslära och systemteoriAbstract : A mixed integer linear programming formulation is used to solve the problem of allocating assets from a bank to its counterparties as collateral within securities lending. The aim of the optimisation is to reduce the cost of allocated collateral, which is broken down into the components opportunity cost, counterparty risk cost and triparty cost. READ MORE
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2. Online intra-day portfolio optimization using regime based models
University essay from Lunds universitet/Matematisk statistikAbstract : In this thesis model predictive control (MPC) is used to dynamically optimize a portfolio where the data is sampled every 5 minutes. Previous research has shown how MPC optimization applied to daily sampled financial data can generate a portfolio that exceeds the value of standard portfolio strategies such as Strategic asset allocation. READ MORE
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3. Measuring the impact of strategic and tactic allocation for managed futures portfolios
University essay from KTH/Matematisk statistikAbstract : The optimal asset allocation is an ever current matter for investment managers. This thesis aims to investigate the impact of risk parity and target volatility on the Sharpe ratio of a portfolio consisting of futures contracts on equity indices and bonds during the period 2000-2018. READ MORE
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4. Break Point Detection for Strategic Asset Allocation
University essay from KTH/Matematisk statistikAbstract : 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
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5. Return Predictability and Strategic Asset Allocation (A study examining return predictability on the Swedish market and strategic asset allocation of the Swedish buffer pension funds.)
University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomiAbstract : The purpose of this paper is to examine whether Swedish macro-economic variables can predict domestic excess stock and bond return. The paper examines what effects the short-term rate, maturity yield spread and dividend yield have on the aforementioned returns. READ MORE