Search for dissertations about: "parameter uncertainty portfolio performance"
Found 3 swedish dissertations containing the words parameter uncertainty portfolio performance.
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1. Optimal portfolios in the high-dimensional setting : Estimation and assessment of uncertainty
Abstract : Financial portfolios and diversification go hand in hand. Diversification is one of, if not, the best risk mitigation strategy there is. If an investment performs poorly, then it will not impact the performance of the portfolio much due to diversification. Modern Portfolio Theory (MPT) is a framework for constructing diversified portfolios. READ MORE
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2. Statistical Methods in Portfolio Theory
Abstract : In this thesis we develop new statistical theory and apply it to practical problems dealing with mean-variance optimal portfolio selection. More precisely, we derive an exact statistical test for the characterization of the location of the tangency portfolio (TP) on the efficient frontier. READ MORE
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3. Modeling the covariance matrix of financial asset returns
Abstract : The covariance matrix of asset returns, which describes the fluctuation of asset prices, plays a crucial role in understanding and predicting financial markets and economic systems. In recent years, the concept of realized covariance measures has become a popular way to accurately estimate return covariance matrices using high-frequency data. READ MORE