Search for dissertations about: "Fred Mayambala"

Found 1 swedish dissertation containing the words Fred Mayambala.

  1. 1. Mean-Variance Portfolio Optimization : Eigendecomposition-Based Methods

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

    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