Sökning: "Portfolio theory"

Visar resultat 1 - 5 av 64 avhandlingar innehållade orden Portfolio theory.

  1. 1. Statistical Methods in Portfolio Theory

    Författare :Stanislas Muhinyuza; Stockholms universitet; []
    Nyckelord :NATURAL SCIENCES; NATURVETENSKAP; NATURVETENSKAP; NATURAL SCIENCES;

    Sammanfattning : In this thesis we develop new statistical theory and apply it to practical problems dealing with mean-variance optimal portfolio selection. More precisely, we derive an exact statistical test for the characterization of the location of the tangency portfolio (TP) on the efficient frontier. LÄS MER

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

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

    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

  3. 3. The Black-Litterman Model : Towards its use in practice

    Författare :Charlotta Mankert; Birger Ljung; Harald Lang; Stefan Sjögren; KTH; []
    Nyckelord :SOCIAL SCIENCES; SAMHÄLLSVETENSKAP; SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; Black-Litterman model; portfolio theory; portfolio management; practical portfolio management; asset allocation; sampling theory; behavioural finance; behavioral finance; overconfidence; action science; action research; Business studies; Företagsekonomi;

    Sammanfattning : The Black-Litterman model is analyzed in three steps seeking to investigate, develop and test the B-L model in an applied perspective. The first step mathematically derives the Black-Litterman model from a sampling theory approach generating a new interpretation of the model and an interpretable formula for the parameter weight-on-views. LÄS MER

  4. 4. Bankers portföljvalsbeteende : en teoretisk studie

    Författare :Lars Ivarson; Umeå universitet; []
    Nyckelord :SOCIAL SCIENCES; SAMHÄLLSVETENSKAP; SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; Portfolio theory; bank behaviour; credit multiplier process; free reserves adjustment; monetary policy;

    Sammanfattning : This study is a contribution to the development of the theory of bank portfolio selection behaviour. A central idea in the study is that this behaviour can be explained to a large extent by liquidity considerations which banks make in view of the partly uncontrollable and partly unforeseeable fluctuations which occur in their deposits and to a certain extent, also in their loans. LÄS MER

  5. 5. The Black-Litterman Model : mathematical and behavioral finance approaches towards its use in practice

    Författare :Charlotta Mankert; Birger Ljung; Ted Lindblom; KTH; []
    Nyckelord :SOCIAL SCIENCES; SAMHÄLLSVETENSKAP; Black-Litterman Model; Portfolio Management; Portfolio Theory; Portfolio Models; Behavioral Finance; Business and economics; Ekonomi;

    Sammanfattning : The financial portfolio model often referred to as the Black-Litterman model is analyzed using two approaches; a mathematical and a behavioral finance approach. After a detailed description of its framework, the Black-Litterman model is derived mathematically using a sampling theoretical approach. LÄS MER