Sökning: "optimal portfolios"

Visar resultat 1 - 5 av 21 avhandlingar innehållade orden optimal portfolios.

  1. 1. Optimal portfolios in the high-dimensional setting : Estimation and assessment of uncertainty

    Författare :Erik Thorsén; Taras Bodnar; Joanna Tyrcha; Mark Podolski; Stockholms universitet; []
    Nyckelord :NATURVETENSKAP; NATURAL SCIENCES; Shrinkage estimator; high-dimensional covariance matrix; random matrix theory; optimal portfolios; parameter uncertainty; ridge regularization; dynamic decision making; matematisk statistik; Mathematical Statistics;

    Sammanfattning : Financial portfolios and diversification go hand in hand. Diversification is one of, if not, the best risk mitigation strategy there is. If an investment performs poorly, then it will not impact the performance of the portfolio much due to diversification. Modern Portfolio Theory (MPT) is a framework for constructing diversified portfolios. LÄS MER

  3. 2. Four applications of stochastic processes : Contagious disease, credit risk, gambling and bond portfolios

    Författare :Patrik Andersson; Andreas Nordvall Lagerås; Håkan Andersson; Stewart N. Ethier; Stockholms universitet; []
    Nyckelord :NATURVETENSKAP; NATURAL SCIENCES; Stochastic processes; Mathematical statistics; Matematisk statistik; Mathematical Statistics; matematisk statistik;

    Sammanfattning : This thesis consists of four papers on applications of stochastic processes. In Paper I we study an open population SIS (Susceptible - Infective - Susceptible) stochastic epidemic model from the time of introduction of the disease, through a possible outbreak and to extinction. The analysis uses coupling arguments and diffusion approximations. LÄS MER

  4. 3. News-generated dependence and optimal portfolios for n stocks in a market of Barndorff-Nielsen and Shephard type

    Författare :Carl Lindberg; Göteborgs universitet; []
    Nyckelord :NATURVETENSKAP; NATURAL SCIENCES;

    Sammanfattning : .... LÄS MER

  5. 4. Essays on Banking and Portfolio Choice

    Författare :Bo Larsson; Hans Wijkander; Jean-Charles Rochet; Stockholms universitet; []
    Nyckelord :Optimal reserves; Time-diversification; Home bias;

    Sammanfattning : This thesis consists of three self-contained essays in the fields of banking and portfolio choice.Banking and Optimal Reserves in an Equilibrium Model:I address the question of reserves in banking, particularly the fact that reserves are substantially larger than the stipulated reserve requirements by Bank of International Settlements. LÄS MER

  7. 5. Optimal Decisions in the Equity Index Derivatives Markets Using Option Implied Information

    Författare :Mathias Barkhagen; Jörgen Blomvall; Alan J. King; Linköpings universitet; []
    Nyckelord :SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; Option implied information; Optimal decisions; Equity index derivatives; Stochastic programming; Local volatility surface; Real-world density;

    Sammanfattning : This dissertation is centered around two comprehensive themes: the extraction of information embedded in equity index option prices, and how to use this information in order to be able to make optimal decisions in the equity index option markets. These problems are important for decision makers in the equity index options markets, since they are continuously faced with making decisions under uncertainty given observed market prices. LÄS MER