Sökning: "Portfolio Optimization"

Visar resultat 1 - 5 av 24 avhandlingar innehållade orden Portfolio Optimization.

  1. 1. Νοήμονες υπολογιστικές μέθοδοι εμπνευσμένες από τον φυσικό κόσμο για την βελτιστοποίηση συστημάτων : αλγόριθμος βελτιστοποίησης εμπνευσμένης από τον ηχοεντοπισμό

    Författare :Alexandros Tzanetos; Economics and Administration Department of Engineering Polytechnic School; []
    Nyckelord :NATURVETENSKAP; NATURAL SCIENCES; Nature Inspired Intelligent Algorithms; Nature Inspired Intelligence; Optimization; Νοήμονες Αλγόριθμοι Εμπνευσμένοι από τη Φύση; Νοημοσύνη Εμπνευσμένη από τη Φύση; Βελτιστοποίηση;

    Sammanfattning : Η εποχή που διανύουμε φέρνει στο προσκήνιο την Τεχνητή Νοημοσύνη, καθότι διάφοροι κλάδοι ενσωματώνουν εντυπωσιακές εφαρμογές της. Πολλές αναφορές γίνονται στην 4η Βιομηχανική Επανάσταση, η οποία έχει πλέον την Τεχνητή Νοημοσύνη ως κύριο πυλώνα της. LÄS MER

  3. 2. Copula-based Portfolio Optimization

    Författare :Maziar Sahamkhadam; Andreas Stephan; Håkan Locking; Ranadeva Jayasekera; Linnéuniversitetet; []
    Nyckelord :SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; Copula; portfolio optimization; conditional Value-at-Risk; vine copulas; asymmetric tail dependence; Black-Litterman approach; expectile Value-at-Risk; multiobjective portfolios; Business administration; Företagsekonomi;

    Sammanfattning : This thesis studies and develops copula-based portfolio optimization. The overall purpose is to clarify the effects of copula modeling for portfolio allocation andsuggest novel approaches for copula-based optimization. The thesis is a compilation of five papers. LÄS MER

  4. 3. Decision Making under Uncertainty in Financial Markets : Improving Decisions with Stochastic Optimization

    Författare :Jonas Ekblom; Jörgen Blomvall; Michal Kaut; Linköpings universitet; []
    Nyckelord :SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; NATURVETENSKAP; NATURAL SCIENCES; Stochastic programming; Approximate dynamic programming; Financial optimization; Portfolio optimization; Corporate hedging; Scenario generation; Importance sampling;

    Sammanfattning : This thesis addresses the topic of decision making under uncertainty, with particular focus on financial markets. The aim of this research is to support improved decisions in practice, and related to this, to advance our understanding of financial markets. LÄS MER

  5. 4. 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

  7. 5. Portfolio Optimization and Statistics in Stochastic Volatility Markets

    Författare :Carl Lindberg; Göteborgs universitet; []
    Nyckelord :NATURVETENSKAP; NATURAL SCIENCES; Stochastic control; portfolio optimization; verification theorem; Feynman-Kac formula; stochastic volatility; non-Gaussian Ornstein-Uhlenbeck process; estimation; number of trades; stochastic volatility;

    Sammanfattning : Large financial portfolios often contain hundreds of stocks. The aim of this thesis is to find explicit optimal trading strategies that can be applied to portfolios of that size for different n-stock extensions of the model by Barndorff-Nielsen and Shephard [3]. LÄS MER