Sökning: "Portfolio return"

Visar resultat 1 - 5 av 35 avhandlingar innehållade orden Portfolio return.

  1. 1. What do you expect? : individual investors' subjective expectations, information usage, and social interactions in financial decision-making

    Författare :Oscar Stålnacke; Jörgen Hellström; Rickard Olsson; Anders Anderson; Umeå universitet; []
    Nyckelord :SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; Behavioral finance; Beliefs; Confidence; Expectations; Financial information; Financial risk-taking; Household finance; Individual investors; Panel data; Portfolio choice; Portfolio return; Return; Risk; Social interaction; Sophistication; Stock market; Subjective probability; Survey research; företagsekonomi; Business Studies;

    Sammanfattning : This thesis consists of an introductory part and four self-contained papers related to individual investors’ subjective expectations and their financial behavior. Paper [I] analyzes multiple measures of individual investors’ expectations of risk and return using survey data on a random sample of individual investors in Sweden. 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. 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

  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. Retirement Planning: Portfolio Choice for Long-Term Investors

    Författare :Karl Erlandzon; Göteborgs universitet; []
    Nyckelord :SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; Life-cycle; portfolio choice; pensions; Shiller-swap; defined contribution; defined benefit;

    Sammanfattning : This thesis consists of four papers. Common to the first three papers is the framework for analysis; a life-cycle model of a borrowing-constrained individual's consumption- and portfolio choices in the presence of uncertain labour income. The income process, taxes and pension systems are also realistically calibrated. LÄS MER