Essays about: "thesis on asset portfolio management"

Showing result 16 - 20 of 28 essays containing the words thesis on asset portfolio management.

1. 16. Financial Behavior and the Momentum Strategy

   University essay from Lunds universitet/Företagsekonomiska institutionen

   Author : Olle Josefsson; Emil Eliasson; Fredrik Thörning; [2018]
   Keywords : Behavioral Finance; Momentum Strategy; CAPM; Sharpe Ratio and Trading; Business and Economics;

   Abstract : Title: Financial Behavior and the Momentum Strategy Seminar date: 2018-05-31 Course: FEKH89, Bachelor’s Degree Project in Financial Management, Business Administration, Undergraduate Level, 15 ECTS Authors: Emil Eliasson, Olle Josefsson, Fredrik Thörning Advisor: Maria Gårdängen Purpose: The authors of this thesis aim to study if it is possible to generate a better Sharpe ratio within the CAPM-theory using a mathematical model to buy and sell a risky asset depending on the market volatility. The authors then aim to explain the changes in volatility by discussing anomalies in the market. READ MORE

3. 17. Quantitative Portfolio Construction Using Stochastic Programming

   University essay from KTH/Matematisk statistik

   Author : Aidin Ashant; Elisabeth Hakim; [2018]
   Keywords : Asset Allocation; Dynamic Portfolio Construction; Stochastic Programming; Scenario Generation; Multivariate GARCH; DCC-GARCH; Copula-GARCH; Transaction Costs; Mean-Absolute Deviation; Risk Parity; Mean-Variance; Tillgångsallokering; Dynamisk Portfölj Konstruktion; Stokastisk Programmering; Scenario Generation; Multivariat GARCH; DCC-GARCH; Copula- GARCH; Transaktionskostnader; Mean-Absolute Deviation; Risk Parity; Mean-Variance;

   Abstract : In this study within quantitative portfolio optimization, stochastic programming is investigated as an investment decision tool. This research takes the direction of scenario based Mean-Absolute Deviation and is compared with the traditional Mean-Variance model and widely used Risk Parity portfolio. READ MORE

4. 18. Conditional Value-at-Risk targeted portfolio optimisation

   University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

   Author : Dennis Gill; Tim Herzig; [2017]
   Keywords : Conditional Value-at-Risk; Value-at-Risk; Coherent Risk Measures; Portfolio Optimisation; Monte Carlo Simulation;

   Abstract : New financial regulations have constantly forced market participants to adapt to changing rules. Recent regulatory iterations require them to focus on tail risk in portfolios of financial assets. One metric to quantify tail risk in portfolios is the Conditional Value-at-Risk (cVaR). READ MORE

5. 19. Filtering techniques for asset allocation using a Discrete Time Micro-structure model: a comparative study

   University essay from Lunds universitet/Nationalekonomiska institutionen

   Author : Henning Zakrisson; [2017]
   Keywords : portfolio management; kalman filter; asset allocation; hidden variable; state space; discrete time micro-structure model; Business and Economics;

   Abstract : This paper is a comparative study of different approaches to using a Discrete Time Micro-structure model. By using the three filtering techniques Extended Kalman, Unscented Kalman and Bootstrap Particle, the hidden variables; excess demand and market liquidity, were estimated and used in an asset allocation strategy that invested in the asset when the excess demand as estimated as positive, due to the assumption that positive excess demand would make the price go up. READ MORE

6. 20. Prospect Theory in the Automated Advisory Process

   University essay from KTH/Nationalekonomi

   Author : JONATAN WERNER; JONAS SJÖBERG; [2016]
   Keywords : prospect theory; portfolio allocation; robo-advising; risk profiling; investor; prospektteori; portföljallokering; robotrådgivning; riskprofilering; investerarpreferenser;

   Abstract : With robo-advisors and regulation eventually changing the market conditions of thefinancial advisory industry, traditional advisors will have to adapt to a new world of asset management. Thus, it will be of interest to traditional advisors to further explore the topic of how to automatically evaluate soft aspects such as client preferences and behavior, and transform it into portfolio allocations while retaining stringency and high quality in the process. READ MORE