Search for dissertations about: "portfolio theory thesis"

Showing result 1 - 5 of 56 swedish dissertations containing the words portfolio theory thesis.

  1. 1. Statistical Methods in Portfolio Theory

    University dissertation from Stockholm Sweden : Stockholm University

    Author : Stanislas Muhinyuza; [2018]
    Keywords : NATURVETENSKAP; NATURAL SCIENCES;

    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

  2. 2. Statistical Inference of Tangency Portfolio in Small and Large Dimension

    University dissertation from Stockholm : Department of Mathematics, Stockholm University

    Author : Stanislas Muhinyuza; Taras Bodnar; Dietrich von Rosen; [2020]
    Keywords : NATURVETENSKAP; NATURAL SCIENCES; Tangency portfolio; Mean-variance portfolio; High-dimensional asymptotics; Test theory; matematisk statistik; Mathematical Statistics;

    Abstract : This thesis considers statistical test theory in portfolio theory. It analyses the asymptotic behavior of the considered tests in the high-dimensional setting, meaning k/n → c ∈ (0, ∞) as n → ∞, where k and n are portfolio size and sample size, respectively. READ MORE

  3. 3. The Black-Litterman Model Towards its use in practice

    University dissertation from Stockholm : KTH

    Author : Charlotta Mankert; Birger Ljung; Harald Lang; Stefan Sjögren; [2010]
    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; SOCIAL SCIENCES Business and economics Business studies; SAMHÄLLSVETENSKAP Ekonomi 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

  4. 4. The Black-Litterman Model mathematical and behavioral finance approaches towards its use in practice

    University dissertation from Stockholm : KTH

    Author : Charlotta Mankert; Birger Ljung; Ted Lindblom; [2006]
    Keywords : SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; Black-Litterman Model; Portfolio Management; Portfolio Theory; Portfolio Models; Behavioral Finance; SOCIAL SCIENCES Business and economics; SAMHÄLLSVETENSKAP 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

  5. 5. Portfolio Selection and the Analysis of Risk and Time Diversification

    University dissertation from Department of Economics, Lund Universtiy

    Author : Mattias Persson; [2001]
    Keywords : SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; economic policy; economic systems; economic theory; econometrics; Economics; Lower Partial Moment; Portfolio Selection; Parameter Uncertainty; Time Diversification; Bootstrap; Downside Risk; Estimation Risk; Nationalekonomi; ekonometri; ekonomisk teori; ekonomiska system; ekonomisk politik; Financial science; Finansiering;

    Abstract : This thesis is devoted to the analysis of three important issues in financial economics in general and portfolio selection in particular: the risk measure, estimation risk and time diversification. Besides a short introductory chapter the thesis consists of four empirical essays. READ MORE