# Sökning: "Portfolio theory"

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

1. ## 1. Statistical Methods in Portfolio Theory

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

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

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

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

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