Search for dissertations about: "optimization portfolio"

Showing result 1 - 5 of 24 swedish dissertations containing the words optimization portfolio.

2. 1. Copula-based Portfolio Optimization

   Author : Maziar Sahamkhadam; Andreas Stephan; Håkan Locking; Ranadeva Jayasekera; Linnéuniversitetet; []
   Keywords : SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; Copula; portfolio optimization; conditional Value-at-Risk; vine copulas; asymmetric tail dependence; Black-Litterman approach; expectile Value-at-Risk; multiobjective portfolios; Business administration; Företagsekonomi;

   Abstract : This thesis studies and develops copula-based portfolio optimization. The overall purpose is to clarify the effects of copula modeling for portfolio allocation andsuggest novel approaches for copula-based optimization. The thesis is a compilation of five papers. READ MORE

4. 2. Decision Making under Uncertainty in Financial Markets : Improving Decisions with Stochastic Optimization

   Author : Jonas Ekblom; Jörgen Blomvall; Michal Kaut; Linköpings universitet; []
   Keywords : SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; NATURVETENSKAP; NATURAL SCIENCES; Stochastic programming; Approximate dynamic programming; Financial optimization; Portfolio optimization; Corporate hedging; Scenario generation; Importance sampling;

   Abstract : This thesis addresses the topic of decision making under uncertainty, with particular focus on financial markets. The aim of this research is to support improved decisions in practice, and related to this, to advance our understanding of financial markets. READ MORE

5. 3. Mean-Variance Portfolio Optimization : Eigendecomposition-Based Methods

   Author : Fred Mayambala; Torbjörn Larsson; Elina Rönnberg; Juma Kasozi; Ann-Brith Strömberg; Linköpings universitet; []
   Keywords : NATURVETENSKAP; NATURAL SCIENCES;

   Abstract : 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. READ MORE

6. 4. Portfolio Optimization and Statistics in Stochastic Volatility Markets

   Author : Carl Lindberg; Göteborgs universitet; []
   Keywords : NATURVETENSKAP; NATURAL SCIENCES; Stochastic control; portfolio optimization; verification theorem; Feynman-Kac formula; stochastic volatility; non-Gaussian Ornstein-Uhlenbeck process; estimation; number of trades; stochastic volatility;

   Abstract : Large financial portfolios often contain hundreds of stocks. The aim of this thesis is to find explicit optimal trading strategies that can be applied to portfolios of that size for different n-stock extensions of the model by Barndorff-Nielsen and Shephard [3]. READ MORE

7. 5. Optimization-Based Models for Measuring and Hedging Risk in Fixed Income Markets

   Author : Johan Hagenbjörk; Jörgen Blomvall; Ou Tang; Giorgio Consigli; Linköpings universitet; []
   Keywords : NATURVETENSKAP; NATURAL SCIENCES; Finance; Fixed income; Interest rate risk; Credit risk; Risk management; Optimization; Mathematics;

   Abstract : The global fixed income market is an enormous financial market whose value by far exceeds that of the public stock markets. The interbank market consists of interest rate derivatives, whose primary purpose is to manage interest rate risk. READ MORE