Sökning: "Modern portfolio theory"

Visar resultat 1 - 5 av 8 avhandlingar innehållade orden Modern portfolio theory.

  1. 1. Portfolio management and the competitiveness of forest ownership

    Författare :Markku Penttinen; Olli Saastamoinen; Hans Fredrik Hoen; Finnish Forest Research Institute; []
    Nyckelord :modern portfolio theory; accounting; profitability of forestry; return on forest ownership; return components of forest ownership; optimal timber harvesting age;

    Sammanfattning : .... LÄS MER

  3. 2. Probabilistic modeling in sports, finance and weather

    Författare :Jan Lennartsson; Göteborgs universitet; []
    Nyckelord :NATURVETENSKAP; NATURAL SCIENCES; Mathematical modelling; Game theory; Team sport tactics; Modern portfolio theory; Gaussian fields; Team sport tactics;

    Sammanfattning : In this thesis, we build mathematical and statistical models for a wide variety of real world applications. The mathematical models include applications in team sport tactics and optimal portfolio selection, while the statistical modeling concerns weather and specifically precipitation. LÄS MER

  4. 3. 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

  5. 4. Optimal portfolios in the high-dimensional setting : Estimation and assessment of uncertainty

    Författare :Erik Thorsén; Taras Bodnar; Joanna Tyrcha; Mark Podolski; Stockholms universitet; []
    Nyckelord :NATURVETENSKAP; NATURAL SCIENCES; Shrinkage estimator; high-dimensional covariance matrix; random matrix theory; optimal portfolios; parameter uncertainty; ridge regularization; dynamic decision making; matematisk statistik; Mathematical Statistics;

    Sammanfattning : Financial portfolios and diversification go hand in hand. Diversification is one of, if not, the best risk mitigation strategy there is. If an investment performs poorly, then it will not impact the performance of the portfolio much due to diversification. Modern Portfolio Theory (MPT) is a framework for constructing diversified portfolios. LÄS MER

  7. 5. Capacity Pooling in Healthcare Systems

    Författare :Carina Fagefors; Chalmers tekniska högskola; []
    Nyckelord :SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; volume flexibility; healthcare management; portfolio theory; capacity pools; capacity management;

    Sammanfattning : Healthcare systems are facing a continuously increasing demand for care while healthcare providers express a need for additional capacity. However, increased capacity in healthcare systems will not be a sufficient option in the near future, and previous research has found a need to improve healthcare capacity planning and management. LÄS MER