Search for dissertations about: "portfolio theory"

Showing result 1 - 5 of 74 swedish dissertations containing the words portfolio theory.

2. 1. Statistical Methods in Portfolio Theory

   Author : Stanislas Muhinyuza; Stockholms universitet; []
   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

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

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

   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

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

   Author : Charlotta Mankert; Birger Ljung; Harald Lang; Stefan Sjögren; KTH; []
   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; Business studies; 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

6. 4. 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

7. 5. Modeling the covariance matrix of financial asset returns

   Author : Gustav Alfelt; Joanna Tyrcha; Taras Bodnar; Vasyl Golosnoy; Stockholms universitet; []
   Keywords : NATURVETENSKAP; NATURAL SCIENCES; Realized covariance; Autoregressive time-series; Goodness-of-fit test; Matrix singularity; Portfolio theory; Wishart distribution; Matrix-variate gamma distribution; Parameter estimation; High-dimensional data; Moore-Penrose inverse; matematisk statistik; Mathematical Statistics;

   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