Sökning: "Mean-variance portfolio"

Visar resultat 1 - 5 av 15 avhandlingar innehållade orden Mean-variance portfolio.

  1. 1. Mean-Variance Portfolio Optimization : Eigendecomposition-Based Methods

    Författare :Fred Mayambala; Torbjörn Larsson; Elina Rönnberg; Juma Kasozi; Ann-Brith Strömberg; Linköpings universitet; []
    Nyckelord :NATURVETENSKAP; NATURAL SCIENCES;

    Sammanfattning : Modern portfolio theory is about determining how to distribute capital among available securities such that, for a given level of risk, the expected return is maximized, or for a given level of return, the associated risk is minimized. In the pioneering work of Markowitz in 1952, variance was used as a measure of risk, which gave rise to the wellknown mean-variance portfolio optimization model. LÄS MER

  3. 2. Statistical Inference of Tangency Portfolio in Small and Large Dimension

    Författare :Stanislas Muhinyuza; Taras Bodnar; Dietrich von Rosen; Stockholms universitet; []
    Nyckelord :NATURVETENSKAP; NATURAL SCIENCES; Tangency portfolio; Mean-variance portfolio; High-dimensional asymptotics; Test theory; Mathematical Statistics; matematisk statistik;

    Sammanfattning : This thesis considers statistical test theory in portfolio theory. It analyses the asymptotic behavior of the considered tests in the high-dimensional setting, meaning k/n → c ∈ (0, ∞) as n → ∞, where k and n are portfolio size and sample size, respectively. LÄS MER

  4. 3. Applications of Bayesian Econometrics to Financial Economics

    Författare :Christoffer Bengtsson; Nationalekonomiska institutionen; []
    Nyckelord :SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; economic systems; economic theory; econometrics; Economics; systemic risk; stochastic volatility; jump-diffusion; shrinkage; covariance matrix estimation; estimation risk; portfolio selection; mean-variance optimization; Markov chain Monte Carlo; Bayesian econometrics; ekonomisk politik; ekonomiska system; ekonomisk teori; ekonometri; Nationalekonomi; economic policy;

    Sammanfattning : This PhD thesis consists of four separate papers. What these papers have in common is that Bayesian Econometrics, in combination with Markov chain Monte Carlo (MCMC) methods, is applied to study various problems in financial economics. LÄS MER

  5. 4. Liquidity and Portfolio Optimisation

    Författare :Björn Hagströmer; Jane M. Binner; Aston University Aston Business School; []
    Nyckelord :SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; stock market; liquidity; systematic liquidity; portfolio optimisation; high-frequency data; Economics; Nationalekonomi;

    Sammanfattning : This thesis presents research within empirical financial economics with focus on liquidity and portfolio optimisation in the stock markets. The discussion on liquidity is focussed on measurement issues, including TAQ data processing and measurement of systematic liquidity factors. LÄS MER

  7. 5. Institutional Real Investments : Real Estate in a Multi-Asset Portfolio

    Författare :Jon Lekander; Åke Gunnelin; Tony Key; KTH; []
    Nyckelord :SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; Real Estate Investment; Asset Allocation; Alternative Assets; Multi-Asset Portfolio; Real Estate and Construction Management; Fastigheter och byggande;

    Sammanfattning : The purpose of this thesis is to analyze real estate investments from the vantage point of an institutional multi asset investor perspective, both in terms of the potential benefits real estate can bring as well as the challenges it can pose. The thesis consists of six papers and approaches the research question from three distinct perspectives. LÄS MER