Search for dissertations about: "Asset allocation"

Showing result 1 - 5 of 22 swedish dissertations containing the words Asset allocation.

2. 1. Institutional Real Investments : Real Estate in a Multi-Asset Portfolio

   Author : Jon Lekander; Åke Gunnelin; Tony Key; KTH; []
   Keywords : SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; Real Estate Investment; Asset Allocation; Alternative Assets; Multi-Asset Portfolio; Real Estate and Construction Management; Fastigheter och byggande;

   Abstract : The purpose of this thesis is to analyze real estate investments from the vantage point of an institutional multi asset investor perspective, both in terms of the potential benefits real estate can bring as well as the challenges it can pose. The thesis consists of six papers and approaches the research question from three distinct perspectives. READ MORE

4. 2. Improving strategic decisions for real estate investors : Perspectives on allocation and management

   Author : Sigrid Katzler; Svante Mandell; Inga-Lill Söderberg; Elias Oikarinen; KTH; []
   Keywords : SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; Public real estate; private real estate; MPT; time-varying correlation; liquidity; mixed-asset portfolio; real estate portfolio; diversification; outsourcing; Fastigheter och byggande; Real Estate and Construction Management;

   Abstract : Real estate is an attractive asset class in the mixed-asset portfolio due to favorable risk return characteristics and low correlations with other asset classes like stock and bonds. Unlike financial assets, real estate is a physical asset where large lot sizes/indivisibility, heterogeneity, low liquidity and high transaction costs make applying financial models like modern portfolio theory (MPT) challenging. READ MORE

5. 3. Take a risk : social interaction, gender identity, and the role of family ties in financial decision-making

   Author : Emma Zetterdahl; Thomas Aronsson; Niklas Hanes; Jörgen Hellström; Paolo Sodini; Umeå universitet; []
   Keywords : SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; Asset allocation; Behavioral finance; Divorce; Financial literacy; Financial risk-taking; Gender identity; Household finance; Panel data; Propensity score matching; Risky asset share; Risk aversion; Saving behavior; Stock market participation; Social interaction; Trust; Economics; nationalekonomi;

   Abstract : This thesis consists of an introductory part and four self-contained papers related to individual financial behavior and risk-taking in financial markets.In Paper [I] we estimate within-family and community social interaction effects upon an individual’s stock market entry, participation, and exit decision. READ MORE

6. 4. Essays on Credit Risk

   Author : Caren Guo Nielsen; Nationalekonomiska institutionen; []
   Keywords : SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; Asset pricing; equity returns; size effect; value effect; momentum effect; credit risk effect; credit default swap; banks; asset risk; credit risk; portfolio choice; risk-based capital regulation; bank bailouts; moral hazard; distress risk; capital injections; TARP; CPP; market discipline; financial crisis;

   Abstract : This dissertation covers the issues related to credit risk that stem from the recent financial crisis and that are concerned by investors, financial intermediaries, and governments. The results of the research have important implications for asset managers, such as using the information from the credit risk market to rebalance stock portfolios, and for policy makers in regulating or bailing out banks. READ MORE

7. 5. 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