Sökning: "mean-variance optimization"

Visar resultat 1 - 5 av 6 avhandlingar innehållade orden mean-variance optimization.

1. 1. 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

3. 2. Aspects of Waiting and Contracting in Game Theory

   Författare :Peter Helgesson; Göteborgs universitet; []
   Nyckelord :NATURVETENSKAP; NATURAL SCIENCES; Game Theory; War of Attrition; ESS; N-Player; Principal-Agent Problem; Stochastic Maximum Principle; Pontryagin’s Maximum Principle; Mean- Variance; Time Inconsistent Utility Functions; Game Theory;

   Sammanfattning : The topic of this thesis concerns two selected problem in game theory; the Nplayer War of Attrition and the Principal-Agent problem. The War of Attrition is a well established game theoretic model that was first introduced in the 2-player case by John Maynard Smith. LÄS MER

4. 3. Applications of Bayesian Econometrics to Financial Economics

   Författare :Christoffer Bengtsson; Nationalekonomiska institutionen; []
   Nyckelord :SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; economic systems; economic theory; econometrics; Economics; systemic risk; stochastic volatility; jump-diffusion; shrinkage; covariance matrix estimation; estimation risk; portfolio selection; mean-variance optimization; Markov chain Monte Carlo; Bayesian econometrics; ekonomisk politik; ekonomiska system; ekonomisk teori; ekonometri; Nationalekonomi; economic policy;

   Sammanfattning : This PhD thesis consists of four separate papers. What these papers have in common is that Bayesian Econometrics, in combination with Markov chain Monte Carlo (MCMC) methods, is applied to study various problems in financial economics. LÄS MER

5. 4. Essays on Financial Models

   Författare :Henrik Amilon; Nationalekonomiska institutionen; []
   Nyckelord :SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; options; neural networks; hedging; portfolio optimization; econometrics; Economics; ekonomisk teori; ekonomiska system; ekonomisk politik; ekonometri; generalized residuals; discreteness; GARCH; compass rose; nonlinearities; Chaos; economic theory; economic systems; Nationalekonomi; economic policy;

   Sammanfattning : This thesis consists of five essays exploring the validity of some extensively used financial models with a focus on the Swedish equity and derivative markets. The essays are of both an empirical and a theoretical nature. LÄS MER

7. 5. 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