Sökning: "Portfolio theory"

Visar resultat 6 - 10 av 81 avhandlingar innehållade orden Portfolio theory.

  1. 6. Modeling the covariance matrix of financial asset returns

    Författare :Gustav Alfelt; Joanna Tyrcha; Taras Bodnar; Vasyl Golosnoy; Stockholms universitet; []
    Nyckelord :NATURVETENSKAP; NATURAL SCIENCES; Realized covariance; Autoregressive time-series; Goodness-of-fit test; Matrix singularity; Portfolio theory; Wishart distribution; Matrix-variate gamma distribution; Parameter estimation; High-dimensional data; Moore-Penrose inverse; matematisk statistik; Mathematical Statistics;

    Sammanfattning : The covariance matrix of asset returns, which describes the fluctuation of asset prices, plays a crucial role in understanding and predicting financial markets and economic systems. In recent years, the concept of realized covariance measures has become a popular way to accurately estimate return covariance matrices using high-frequency data. LÄS MER

  3. 7. Bayesian portfolio selection and risk estimation

    Författare :Vilhelm Niklasson; Taras Bodnar; Andreas Stephan; Stockholms universitet; []
    Nyckelord :NATURVETENSKAP; NATURAL SCIENCES;

    Sammanfattning : This thesis concerns portfolio theory from a Bayesian perspective and it includes two papers related to this theme. In the first paper, optimal portfolio weights are derived from a Bayesian perspective to the problem of minimizing the portfolio risk in terms of value at risk (VaR) or conditional value at risk (CVaR) given a certain level of expected return. LÄS MER

  4. 8. Portfolio Selection and the Analysis of Risk and Time Diversification

    Författare :Mattias Persson; Nationalekonomiska institutionen; []
    Nyckelord :SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; economic policy; economic systems; economic theory; econometrics; Economics; Lower Partial Moment; Portfolio Selection; Parameter Uncertainty; Time Diversification; Bootstrap; Downside Risk; Estimation Risk; Nationalekonomi; ekonometri; ekonomisk teori; ekonomiska system; ekonomisk politik; Financial science; Finansiering;

    Sammanfattning : This thesis is devoted to the analysis of three important issues in financial economics in general and portfolio selection in particular: the risk measure, estimation risk and time diversification. Besides a short introductory chapter the thesis consists of four empirical essays. LÄS MER

  5. 9. 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

  7. 10. Assessment of the uncertainty in small and large dimensional portfolio allocation

    Författare :Erik Thorsén; Taras Bodnar; Thomas Holgersson; Stockholms universitet; []
    Nyckelord :NATURVETENSKAP; NATURAL SCIENCES;

    Sammanfattning : Portfolio theory is a large subject with many branches. In this thesis we concern ourselves with one of these, the precense of uncertainty in the portfolio allocation problem and in turn, what it leads to. There are many forms of uncertainty, we consider two of these. LÄS MER