Search for dissertations about: " Portfolio"

Showing result 6 - 10 of 229 swedish dissertations containing the word  Portfolio.

  2. 6. The Black-Litterman Model : mathematical and behavioral finance approaches towards its use in practice

    Author : Charlotta Mankert; Birger Ljung; Ted Lindblom; KTH; []
    Keywords : SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; Black-Litterman Model; Portfolio Management; Portfolio Theory; Portfolio Models; Behavioral Finance; Business and economics; Ekonomi;

    Abstract : 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. READ MORE

  4. 7. Statistical Inference of Tangency Portfolio in Small and Large Dimension

    Author : Stanislas Muhinyuza; Taras Bodnar; Dietrich von Rosen; Stockholms universitet; []
    Keywords : NATURVETENSKAP; NATURAL SCIENCES; Tangency portfolio; Mean-variance portfolio; High-dimensional asymptotics; Test theory; Mathematical Statistics; matematisk statistik;

    Abstract : 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. READ MORE

  5. 8. The Black-Litterman Model : Towards its use in practice

    Author : Charlotta Mankert; Birger Ljung; Harald Lang; Stefan Sjögren; KTH; []
    Keywords : SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; Black-Litterman model; portfolio theory; portfolio management; practical portfolio management; asset allocation; sampling theory; behavioural finance; behavioral finance; overconfidence; action science; action research; Business studies; Företagsekonomi;

    Abstract : 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. READ MORE

  6. 9. 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

  7. 10. Project Portfolio Management - an organising perspective

    Author : Ola Dawidson; Chalmers tekniska högskola; []
    Keywords : TEKNIK OCH TEKNOLOGIER; ENGINEERING AND TECHNOLOGY; managerial issues; project portfolio management; process; R D management; organisation; product development; organising;

    Abstract : This thesis deals with aspects of importance for organising project portfolio management. Project portfolio management of industrial development projects is commonly agreed to be a way of maximising the value of the development effort, creating a balance of the activities undertaken, and ensuring a strategic alignment when choosing and compromising among development opportunities. READ MORE