Search for dissertations about: "Markowitz Portfolio Theory"

Found 3 swedish dissertations containing the words Markowitz Portfolio Theory.

  2. 1. 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. 2. 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

  5. 3. Essays on Financial Models

    Author : Henrik Amilon; Nationalekonomiska institutionen; []
    Keywords : SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; options; neural networks; hedging; portfolio optimization; econometrics; Economics; ekonomisk teori; ekonomiska system; ekonomisk politik; ekonometri; generalized residuals; discreteness; GARCH; compass rose; nonlinearities; Chaos; economic theory; economic systems; Nationalekonomi; economic policy;

    Abstract : This thesis consists of five essays exploring the validity of some extensively used financial models with a focus on the Swedish equity and derivative markets. The essays are of both an empirical and a theoretical nature. READ MORE