Search for dissertations about: "mean-variance optimization"

Showing result 1 - 5 of 6 swedish dissertations containing the words mean-variance optimization.

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

    University dissertation from Linköping : Linköping University Electronic Press

    Author : Fred Mayambala; Torbjörn Larsson; Elina Rönnberg; Juma Kasozi; Ann-Brith Strömberg; [2015]

    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

  2. 2. Aspects of Waiting and Contracting in Game Theory

    University dissertation from Göteborg : Chalmers University of Technology

    Author : Peter Helgesson; Göteborgs universitet.; Gothenburg University.; [2015]
    Keywords : NATURVETENSKAP; NATURAL SCIENCES; Game Theory; War of Attrition; ESS; N-Player; Principal-Agent Problem; Stochastic Maximum Principle; Pontryagin’s Maximum Principle; Mean- Variance; Time Inconsistent Utility Functions; Mean- Variance; Principal-Agent Problem; N-Player; Time Inconsistent Utility Functions; Stochastic Maximum Principle; ESS; War of Attrition; Pontryagin’s Maximum Principle;

    Abstract : The topic of this thesis concerns two selected problem in game theory; the Nplayer War of Attrition and the Principal-Agent problem.The War of Attrition is a well established game theoretic model that was firstintroduced in the 2-player case by John Maynard Smith. READ MORE

  3. 3. Applications of Bayesian Econometrics to Financial Economics

    University dissertation from Department of Economics, Lund Universtiy

    Author : Christoffer Bengtsson; [2006]
    Keywords : SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; economic systems; economic theory; econometrics; Economics; systemic risk; stochastic volatility; jump-diffusion; shrinkage; covariance matrix estimation; estimation risk; portfolio selection; mean-variance optimization; Markov chain Monte Carlo; Bayesian econometrics; ekonomisk politik; ekonomiska system; ekonomisk teori; ekonometri; Nationalekonomi; economic policy;

    Abstract : This PhD thesis consists of four separate papers. What these papers have in common is that Bayesian Econometrics, in combination with Markov chain Monte Carlo (MCMC) methods, is applied to study various problems in financial economics. READ MORE

  4. 4. Essays on Financial Models

    University dissertation from Department of Economics, Lund Universtiy

    Author : Henrik Amilon; [2000]
    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

  5. 5. Assessment of the uncertainty in small and large dimensional portfolio allocation

    University dissertation from Stockholm : Department of Mathematics, Stockholm University

    Author : Erik Thorsén; Taras Bodnar; Thomas Holgersson; [2019]

    Abstract : Portfolio theory is a large subject with many branches. In this thesis we concern ourselves with one of these, the precense of uncertainty in the portfolio allocation problem and in turn, what it leads to. There are many forms of uncertainty, we consider two of these. READ MORE