Advanced search options

Sorted by: relevance · author · university · date | New search

You searched for `subject:(Mean variance theory)`

.
Showing records 1 – 21 of
21 total matches.

▼ Search Limiters

Texas A&M University

1. Zhou, Ying. Downside Risk Constraints and Currency Hedging in International Portfolios: the Asian and Late-2000 Crisis.

Degree: 2012, Texas A&M University

URL: http://hdl.handle.net/1969.1/ETD-TAMU-2010-12-8974

► MV is the traditional method to treat international portfolio selection problems, which bases its *theory* on the assumption of Normal Distribution. However, during economy recession…
(more)

Subjects/Keywords: Safety First; Mean Variance; Hedging; Extreme Value Theory; Portfolio Selection

Record Details Similar Records

❌

APA · Chicago · MLA · Vancouver · CSE | Export to Zotero / EndNote / Reference Manager

APA (6^{th} Edition):

Zhou, Y. (2012). Downside Risk Constraints and Currency Hedging in International Portfolios: the Asian and Late-2000 Crisis. (Thesis). Texas A&M University. Retrieved from http://hdl.handle.net/1969.1/ETD-TAMU-2010-12-8974

Note: this citation may be lacking information needed for this citation format:

Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16^{th} Edition):

Zhou, Ying. “Downside Risk Constraints and Currency Hedging in International Portfolios: the Asian and Late-2000 Crisis.” 2012. Thesis, Texas A&M University. Accessed December 15, 2019. http://hdl.handle.net/1969.1/ETD-TAMU-2010-12-8974.

Note: this citation may be lacking information needed for this citation format:

Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7^{th} Edition):

Zhou, Ying. “Downside Risk Constraints and Currency Hedging in International Portfolios: the Asian and Late-2000 Crisis.” 2012. Web. 15 Dec 2019.

Vancouver:

Zhou Y. Downside Risk Constraints and Currency Hedging in International Portfolios: the Asian and Late-2000 Crisis. [Internet] [Thesis]. Texas A&M University; 2012. [cited 2019 Dec 15]. Available from: http://hdl.handle.net/1969.1/ETD-TAMU-2010-12-8974.

Note: this citation may be lacking information needed for this citation format:

Not specified: Masters Thesis or Doctoral Dissertation

Council of Science Editors:

Zhou Y. Downside Risk Constraints and Currency Hedging in International Portfolios: the Asian and Late-2000 Crisis. [Thesis]. Texas A&M University; 2012. Available from: http://hdl.handle.net/1969.1/ETD-TAMU-2010-12-8974

Not specified: Masters Thesis or Doctoral Dissertation

2. Duggal, Rahul. Modern Portfolio Trading with Commodities.

Degree: Sustainable Development of Society and Technology, 2010, Mälardalen University

URL: http://urn.kb.se/resolve?urn=urn:nbn:se:mdh:diva-9990

► There is a big interest for alternative investment strategies than investing in traditional asset classes. Commodities are having a boom dynamic with increasing prices.…
(more)

Subjects/Keywords: Modern portfolio theory; Commodities; Mean-variance optimization; MATLAB; Economics; Nationalekonomi

Record Details Similar Records

❌

APA · Chicago · MLA · Vancouver · CSE | Export to Zotero / EndNote / Reference Manager

APA (6^{th} Edition):

Duggal, R. (2010). Modern Portfolio Trading with Commodities. (Thesis). Mälardalen University. Retrieved from http://urn.kb.se/resolve?urn=urn:nbn:se:mdh:diva-9990

Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16^{th} Edition):

Duggal, Rahul. “Modern Portfolio Trading with Commodities.” 2010. Thesis, Mälardalen University. Accessed December 15, 2019. http://urn.kb.se/resolve?urn=urn:nbn:se:mdh:diva-9990.

Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7^{th} Edition):

Duggal, Rahul. “Modern Portfolio Trading with Commodities.” 2010. Web. 15 Dec 2019.

Vancouver:

Duggal R. Modern Portfolio Trading with Commodities. [Internet] [Thesis]. Mälardalen University; 2010. [cited 2019 Dec 15]. Available from: http://urn.kb.se/resolve?urn=urn:nbn:se:mdh:diva-9990.

Not specified: Masters Thesis or Doctoral Dissertation

Council of Science Editors:

Duggal R. Modern Portfolio Trading with Commodities. [Thesis]. Mälardalen University; 2010. Available from: http://urn.kb.se/resolve?urn=urn:nbn:se:mdh:diva-9990

Not specified: Masters Thesis or Doctoral Dissertation

3. Anane, Asomani Kwadwo. Sustainability for Portfolio Optimization.

Degree: Culture and Communication, 2019, Mälardalen University

URL: http://urn.kb.se/resolve?urn=urn:nbn:se:mdh:diva-44560

► The 2007-2008 financial crash and the looming climate change and global warming have heightened interest in sustainable investment. But whether the shift is as…
(more)

Subjects/Keywords: Sustainability; portfolio optimization; Markowitz mean-variance theory; Mathematics; Matematik

Record Details Similar Records

❌

APA · Chicago · MLA · Vancouver · CSE | Export to Zotero / EndNote / Reference Manager

APA (6^{th} Edition):

Anane, A. K. (2019). Sustainability for Portfolio Optimization. (Thesis). Mälardalen University. Retrieved from http://urn.kb.se/resolve?urn=urn:nbn:se:mdh:diva-44560

Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16^{th} Edition):

Anane, Asomani Kwadwo. “Sustainability for Portfolio Optimization.” 2019. Thesis, Mälardalen University. Accessed December 15, 2019. http://urn.kb.se/resolve?urn=urn:nbn:se:mdh:diva-44560.

Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7^{th} Edition):

Anane, Asomani Kwadwo. “Sustainability for Portfolio Optimization.” 2019. Web. 15 Dec 2019.

Vancouver:

Anane AK. Sustainability for Portfolio Optimization. [Internet] [Thesis]. Mälardalen University; 2019. [cited 2019 Dec 15]. Available from: http://urn.kb.se/resolve?urn=urn:nbn:se:mdh:diva-44560.

Not specified: Masters Thesis or Doctoral Dissertation

Council of Science Editors:

Anane AK. Sustainability for Portfolio Optimization. [Thesis]. Mälardalen University; 2019. Available from: http://urn.kb.se/resolve?urn=urn:nbn:se:mdh:diva-44560

Not specified: Masters Thesis or Doctoral Dissertation

Université Catholique de Louvain

4.
Oger, Marie-Odile.
Behavioral Finance applied to Portfolio *theory*: An empirical challenge to Markowitz’ framework.

Degree: 2016, Université Catholique de Louvain

URL: http://hdl.handle.net/2078.1/thesis:3983

►

Over the past decades, assumptions related to modern portfolio *theory* such as investors‟ rationality, market efficiency and Gaussian returns have been challenged, namely through the…
(more)

Subjects/Keywords: Behavioral portfolio theory; Mean-variance theory; Mental Account; Portfolio optimization; Decision making

Record Details Similar Records

❌

APA · Chicago · MLA · Vancouver · CSE | Export to Zotero / EndNote / Reference Manager

APA (6^{th} Edition):

Oger, M. (2016). Behavioral Finance applied to Portfolio theory: An empirical challenge to Markowitz’ framework. (Thesis). Université Catholique de Louvain. Retrieved from http://hdl.handle.net/2078.1/thesis:3983

Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16^{th} Edition):

Oger, Marie-Odile. “Behavioral Finance applied to Portfolio theory: An empirical challenge to Markowitz’ framework.” 2016. Thesis, Université Catholique de Louvain. Accessed December 15, 2019. http://hdl.handle.net/2078.1/thesis:3983.

Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7^{th} Edition):

Oger, Marie-Odile. “Behavioral Finance applied to Portfolio theory: An empirical challenge to Markowitz’ framework.” 2016. Web. 15 Dec 2019.

Vancouver:

Oger M. Behavioral Finance applied to Portfolio theory: An empirical challenge to Markowitz’ framework. [Internet] [Thesis]. Université Catholique de Louvain; 2016. [cited 2019 Dec 15]. Available from: http://hdl.handle.net/2078.1/thesis:3983.

Not specified: Masters Thesis or Doctoral Dissertation

Council of Science Editors:

Oger M. Behavioral Finance applied to Portfolio theory: An empirical challenge to Markowitz’ framework. [Thesis]. Université Catholique de Louvain; 2016. Available from: http://hdl.handle.net/2078.1/thesis:3983

Not specified: Masters Thesis or Doctoral Dissertation

5.
Abdumuminov, Shuhrat.
Black-Litterman Model: Practical Asset Allocation Model Beyond Traditional *Mean*-* Variance*.

Degree: Culture and Communication, 2016, Mälardalen University

URL: http://urn.kb.se/resolve?urn=urn:nbn:se:mdh:diva-32427

► This paper consolidates and compares the applicability and practicality of Black-Litterman model versus traditional Markowitz *Mean*-*Variance* model. Although well-known model such as *Mean*-*Variance* is…
(more)

Subjects/Keywords: Black-Litterman Model Practical Asset Allocation Model Beyond Traditional Mean-Variance Portfolio Theory

Record Details Similar Records

❌

APA · Chicago · MLA · Vancouver · CSE | Export to Zotero / EndNote / Reference Manager

APA (6^{th} Edition):

Abdumuminov, S. (2016). Black-Litterman Model: Practical Asset Allocation Model Beyond Traditional Mean-Variance. (Thesis). Mälardalen University. Retrieved from http://urn.kb.se/resolve?urn=urn:nbn:se:mdh:diva-32427

Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16^{th} Edition):

Abdumuminov, Shuhrat. “Black-Litterman Model: Practical Asset Allocation Model Beyond Traditional Mean-Variance.” 2016. Thesis, Mälardalen University. Accessed December 15, 2019. http://urn.kb.se/resolve?urn=urn:nbn:se:mdh:diva-32427.

Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7^{th} Edition):

Abdumuminov, Shuhrat. “Black-Litterman Model: Practical Asset Allocation Model Beyond Traditional Mean-Variance.” 2016. Web. 15 Dec 2019.

Vancouver:

Abdumuminov S. Black-Litterman Model: Practical Asset Allocation Model Beyond Traditional Mean-Variance. [Internet] [Thesis]. Mälardalen University; 2016. [cited 2019 Dec 15]. Available from: http://urn.kb.se/resolve?urn=urn:nbn:se:mdh:diva-32427.

Not specified: Masters Thesis or Doctoral Dissertation

Council of Science Editors:

Abdumuminov S. Black-Litterman Model: Practical Asset Allocation Model Beyond Traditional Mean-Variance. [Thesis]. Mälardalen University; 2016. Available from: http://urn.kb.se/resolve?urn=urn:nbn:se:mdh:diva-32427

Not specified: Masters Thesis or Doctoral Dissertation

6. Wu, Annie. Att skapa en lyckad aktieportfölj : En komparativ uppsats om aktieportföljer och dess faktorer i den svenska marknaden.

Degree: Business Studies, 2010, Södertörn University College

URL: http://urn.kb.se/resolve?urn=urn:nbn:se:sh:diva-3503

► Syfte: En komparativ studie och beskriva möjligheterna för att skapa en effektiv portfölj av olika aktieportföljer, där det undersöks om faktorerna som företagens omsättningsstorlek,…
(more)

Subjects/Keywords: Effective portfolio; stock portfolio; CAPM; mean-variance portfolio theory & diversification opportunities; Effektiv portfölj; aktieportfölj; CAPM; portföljteori; diversifieringsmöjligheter; Business studies; Företagsekonomi

Record Details Similar Records

❌

APA · Chicago · MLA · Vancouver · CSE | Export to Zotero / EndNote / Reference Manager

APA (6^{th} Edition):

Wu, A. (2010). Att skapa en lyckad aktieportfölj : En komparativ uppsats om aktieportföljer och dess faktorer i den svenska marknaden. (Thesis). Södertörn University College. Retrieved from http://urn.kb.se/resolve?urn=urn:nbn:se:sh:diva-3503

Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16^{th} Edition):

Wu, Annie. “Att skapa en lyckad aktieportfölj : En komparativ uppsats om aktieportföljer och dess faktorer i den svenska marknaden.” 2010. Thesis, Södertörn University College. Accessed December 15, 2019. http://urn.kb.se/resolve?urn=urn:nbn:se:sh:diva-3503.

Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7^{th} Edition):

Wu, Annie. “Att skapa en lyckad aktieportfölj : En komparativ uppsats om aktieportföljer och dess faktorer i den svenska marknaden.” 2010. Web. 15 Dec 2019.

Vancouver:

Wu A. Att skapa en lyckad aktieportfölj : En komparativ uppsats om aktieportföljer och dess faktorer i den svenska marknaden. [Internet] [Thesis]. Södertörn University College; 2010. [cited 2019 Dec 15]. Available from: http://urn.kb.se/resolve?urn=urn:nbn:se:sh:diva-3503.

Not specified: Masters Thesis or Doctoral Dissertation

Council of Science Editors:

Wu A. Att skapa en lyckad aktieportfölj : En komparativ uppsats om aktieportföljer och dess faktorer i den svenska marknaden. [Thesis]. Södertörn University College; 2010. Available from: http://urn.kb.se/resolve?urn=urn:nbn:se:sh:diva-3503

Not specified: Masters Thesis or Doctoral Dissertation

University of the Western Cape

7. Seepi, Thoriso P.J. Methods of optimizing investment portfolios .

Degree: 2013, University of the Western Cape

URL: http://hdl.handle.net/11394/3883

► In this thesis, we discuss methods for optimising the expected rate of return of a portfolio with minimal risk. As part of the work we…
(more)

Subjects/Keywords: Optimisation; Convex optimisation; Modern portfolio theory; Portfolio management; Quadratic programming; Markowitz mean variance optimisation; Capital asset pricing models; Value at risk

Record Details Similar Records

❌

APA · Chicago · MLA · Vancouver · CSE | Export to Zotero / EndNote / Reference Manager

APA (6^{th} Edition):

Seepi, T. P. J. (2013). Methods of optimizing investment portfolios . (Thesis). University of the Western Cape. Retrieved from http://hdl.handle.net/11394/3883

Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16^{th} Edition):

Seepi, Thoriso P J. “Methods of optimizing investment portfolios .” 2013. Thesis, University of the Western Cape. Accessed December 15, 2019. http://hdl.handle.net/11394/3883.

Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7^{th} Edition):

Seepi, Thoriso P J. “Methods of optimizing investment portfolios .” 2013. Web. 15 Dec 2019.

Vancouver:

Seepi TPJ. Methods of optimizing investment portfolios . [Internet] [Thesis]. University of the Western Cape; 2013. [cited 2019 Dec 15]. Available from: http://hdl.handle.net/11394/3883.

Not specified: Masters Thesis or Doctoral Dissertation

Council of Science Editors:

Seepi TPJ. Methods of optimizing investment portfolios . [Thesis]. University of the Western Cape; 2013. Available from: http://hdl.handle.net/11394/3883

Not specified: Masters Thesis or Doctoral Dissertation

8. Jonsson, Robin. Momentum Investment Strategies with Portfolio Optimization : A Study on Nasdaq OMX Stockholm Large Cap.

Degree: Culture and Communication, 2014, Mälardalen University

URL: http://urn.kb.se/resolve?urn=urn:nbn:se:mdh:diva-24848

► This report covers a study testing the possibility of adding portfolio optimization by *mean*-*variance* analysis as a tool to extend the concept of momentum…
(more)

Subjects/Keywords: Finance; Momentum Investments; Portfolio Theory; Portfolio Optimization; Naive Diversification; Asset Allocation; Mean-Variance Efficiency; Sharpe-Ratio Hypothesis Test

Record Details Similar Records

❌

APA · Chicago · MLA · Vancouver · CSE | Export to Zotero / EndNote / Reference Manager

APA (6^{th} Edition):

Jonsson, R. (2014). Momentum Investment Strategies with Portfolio Optimization : A Study on Nasdaq OMX Stockholm Large Cap. (Thesis). Mälardalen University. Retrieved from http://urn.kb.se/resolve?urn=urn:nbn:se:mdh:diva-24848

Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16^{th} Edition):

Jonsson, Robin. “Momentum Investment Strategies with Portfolio Optimization : A Study on Nasdaq OMX Stockholm Large Cap.” 2014. Thesis, Mälardalen University. Accessed December 15, 2019. http://urn.kb.se/resolve?urn=urn:nbn:se:mdh:diva-24848.

Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7^{th} Edition):

Jonsson, Robin. “Momentum Investment Strategies with Portfolio Optimization : A Study on Nasdaq OMX Stockholm Large Cap.” 2014. Web. 15 Dec 2019.

Vancouver:

Jonsson R. Momentum Investment Strategies with Portfolio Optimization : A Study on Nasdaq OMX Stockholm Large Cap. [Internet] [Thesis]. Mälardalen University; 2014. [cited 2019 Dec 15]. Available from: http://urn.kb.se/resolve?urn=urn:nbn:se:mdh:diva-24848.

Not specified: Masters Thesis or Doctoral Dissertation

Council of Science Editors:

Jonsson R. Momentum Investment Strategies with Portfolio Optimization : A Study on Nasdaq OMX Stockholm Large Cap. [Thesis]. Mälardalen University; 2014. Available from: http://urn.kb.se/resolve?urn=urn:nbn:se:mdh:diva-24848

Not specified: Masters Thesis or Doctoral Dissertation

9.
Andre, Eric.
Trois essais sur la généralisation des préférences moyenne-*variance* à l'ambiguïté : Three essays on the generalisation of *mean*-*variance* preferences to ambiguity.

Degree: Docteur es, Sciences économiques, 2014, Aix Marseille Université

URL: http://www.theses.fr/2014AIXM2019

►

Cette thèse propose une généralisation des préférences moyenne-*variance* à l'ambiguïté, c'est-à-dire aux contextes dans lesquels l'investisseur ne peut pas, ou ne souhaite pas, décrire le…
(more)

Subjects/Keywords: Théorie de la décision; Ambiguïté; Préférences moyenne-Variance; Choix de portefeuille; Puzzle de la préférence pour le pays d'origine; Decision theory; Ambiguity; Mean-Variance preferences; Portfolio choice; Home-Bias puzzle

Record Details Similar Records

❌

APA · Chicago · MLA · Vancouver · CSE | Export to Zotero / EndNote / Reference Manager

APA (6^{th} Edition):

Andre, E. (2014). Trois essais sur la généralisation des préférences moyenne-variance à l'ambiguïté : Three essays on the generalisation of mean-variance preferences to ambiguity. (Doctoral Dissertation). Aix Marseille Université. Retrieved from http://www.theses.fr/2014AIXM2019

Chicago Manual of Style (16^{th} Edition):

Andre, Eric. “Trois essais sur la généralisation des préférences moyenne-variance à l'ambiguïté : Three essays on the generalisation of mean-variance preferences to ambiguity.” 2014. Doctoral Dissertation, Aix Marseille Université. Accessed December 15, 2019. http://www.theses.fr/2014AIXM2019.

MLA Handbook (7^{th} Edition):

Andre, Eric. “Trois essais sur la généralisation des préférences moyenne-variance à l'ambiguïté : Three essays on the generalisation of mean-variance preferences to ambiguity.” 2014. Web. 15 Dec 2019.

Vancouver:

Andre E. Trois essais sur la généralisation des préférences moyenne-variance à l'ambiguïté : Three essays on the generalisation of mean-variance preferences to ambiguity. [Internet] [Doctoral dissertation]. Aix Marseille Université 2014. [cited 2019 Dec 15]. Available from: http://www.theses.fr/2014AIXM2019.

Council of Science Editors:

Andre E. Trois essais sur la généralisation des préférences moyenne-variance à l'ambiguïté : Three essays on the generalisation of mean-variance preferences to ambiguity. [Doctoral Dissertation]. Aix Marseille Université 2014. Available from: http://www.theses.fr/2014AIXM2019

Technical University of Lisbon

10. Ferreira, Valéria Andreia Reyes. Efficient frontier and the optimal risky portfolio : evidence from DAX30 and IBEX35 before and after the financial crisis of 2008.

Degree: 2017, Technical University of Lisbon

URL: https://www.rcaap.pt/detail.jsp?id=oai:www.repository.utl.pt:10400.5/14502

►

Mestrado em Finanças

A Avaliação de carteiras é uma tarefa importante tendo em vista a alocação prudente dos activos, particularmente em períodos de crise. O… (more)

Subjects/Keywords: Teoria da Carteira de Markowitz; Teoria da Variance Média; Fronteira Eficiente; Linha de Mercado de Capitais; IBEX35; DAX30; Markowitz Portfolio Optimization; Mean Variance Theory; Efficient Frontier; Capital Market Line

Record Details Similar Records

❌

APA · Chicago · MLA · Vancouver · CSE | Export to Zotero / EndNote / Reference Manager

APA (6^{th} Edition):

Ferreira, V. A. R. (2017). Efficient frontier and the optimal risky portfolio : evidence from DAX30 and IBEX35 before and after the financial crisis of 2008. (Thesis). Technical University of Lisbon. Retrieved from https://www.rcaap.pt/detail.jsp?id=oai:www.repository.utl.pt:10400.5/14502

Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16^{th} Edition):

Ferreira, Valéria Andreia Reyes. “Efficient frontier and the optimal risky portfolio : evidence from DAX30 and IBEX35 before and after the financial crisis of 2008.” 2017. Thesis, Technical University of Lisbon. Accessed December 15, 2019. https://www.rcaap.pt/detail.jsp?id=oai:www.repository.utl.pt:10400.5/14502.

Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7^{th} Edition):

Ferreira, Valéria Andreia Reyes. “Efficient frontier and the optimal risky portfolio : evidence from DAX30 and IBEX35 before and after the financial crisis of 2008.” 2017. Web. 15 Dec 2019.

Vancouver:

Ferreira VAR. Efficient frontier and the optimal risky portfolio : evidence from DAX30 and IBEX35 before and after the financial crisis of 2008. [Internet] [Thesis]. Technical University of Lisbon; 2017. [cited 2019 Dec 15]. Available from: https://www.rcaap.pt/detail.jsp?id=oai:www.repository.utl.pt:10400.5/14502.

Not specified: Masters Thesis or Doctoral Dissertation

Council of Science Editors:

Ferreira VAR. Efficient frontier and the optimal risky portfolio : evidence from DAX30 and IBEX35 before and after the financial crisis of 2008. [Thesis]. Technical University of Lisbon; 2017. Available from: https://www.rcaap.pt/detail.jsp?id=oai:www.repository.utl.pt:10400.5/14502

Not specified: Masters Thesis or Doctoral Dissertation

11.
Jonsson, Robin.
Optimal Linear Combinations of Portfolios *Subject* to Estimation Risk.

Degree: Culture and Communication, 2015, Mälardalen University

URL: http://urn.kb.se/resolve?urn=urn:nbn:se:mdh:diva-28524

► The combination of two or more portfolio rules is theoretically convex in return-risk space, which provides for a new class of portfolio rules that…
(more)

Subjects/Keywords: Markowitz; Portfolio Optimization; Diversification; Convex Optimums; Linear Combinations; Estimation Risk; Parameter Uncertainty; Global Minimum Variance; Mean-Variance Analysis; Naive Diversification; Modern Portfolio Theory; Allocation; Shrinkage; Covariance Estimation

Record Details Similar Records

❌

APA · Chicago · MLA · Vancouver · CSE | Export to Zotero / EndNote / Reference Manager

APA (6^{th} Edition):

Jonsson, R. (2015). Optimal Linear Combinations of Portfolios Subject to Estimation Risk. (Thesis). Mälardalen University. Retrieved from http://urn.kb.se/resolve?urn=urn:nbn:se:mdh:diva-28524

Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16^{th} Edition):

Jonsson, Robin. “Optimal Linear Combinations of Portfolios Subject to Estimation Risk.” 2015. Thesis, Mälardalen University. Accessed December 15, 2019. http://urn.kb.se/resolve?urn=urn:nbn:se:mdh:diva-28524.

Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7^{th} Edition):

Jonsson, Robin. “Optimal Linear Combinations of Portfolios Subject to Estimation Risk.” 2015. Web. 15 Dec 2019.

Vancouver:

Jonsson R. Optimal Linear Combinations of Portfolios Subject to Estimation Risk. [Internet] [Thesis]. Mälardalen University; 2015. [cited 2019 Dec 15]. Available from: http://urn.kb.se/resolve?urn=urn:nbn:se:mdh:diva-28524.

Not specified: Masters Thesis or Doctoral Dissertation

Council of Science Editors:

Jonsson R. Optimal Linear Combinations of Portfolios Subject to Estimation Risk. [Thesis]. Mälardalen University; 2015. Available from: http://urn.kb.se/resolve?urn=urn:nbn:se:mdh:diva-28524

Not specified: Masters Thesis or Doctoral Dissertation

KTH

12.
Häggbom, Marcus.
* Mean*-

Degree: Mathematical Statistics, 2019, KTH

URL: http://urn.kb.se/resolve?urn=urn:nbn:se:kth:diva-252299

►

The phenomenon of financial bubbles is known to have impacted various markets since the seventeenth century. Such bubbles are known to form when the… (more)

Subjects/Keywords: Financial bubbles; portfolio optimization; mean-variance trade-off; mean-field type optimal control; fundamental value; mean reversion; Finansiella bubblor; portföljoptimering; optimal kontroll av medelfältstyp; fundamentalt värde; medelreversion; Probability Theory and Statistics; Sannolikhetsteori och statistik

Record Details Similar Records

❌

APA · Chicago · MLA · Vancouver · CSE | Export to Zotero / EndNote / Reference Manager

APA (6^{th} Edition):

Häggbom, M. (2019). Mean-Variance Portfolio Selection Accounting for Financial Bubbles: A Mean-Field Type Approach. (Thesis). KTH. Retrieved from http://urn.kb.se/resolve?urn=urn:nbn:se:kth:diva-252299

Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16^{th} Edition):

Häggbom, Marcus. “Mean-Variance Portfolio Selection Accounting for Financial Bubbles: A Mean-Field Type Approach.” 2019. Thesis, KTH. Accessed December 15, 2019. http://urn.kb.se/resolve?urn=urn:nbn:se:kth:diva-252299.

Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7^{th} Edition):

Häggbom, Marcus. “Mean-Variance Portfolio Selection Accounting for Financial Bubbles: A Mean-Field Type Approach.” 2019. Web. 15 Dec 2019.

Vancouver:

Häggbom M. Mean-Variance Portfolio Selection Accounting for Financial Bubbles: A Mean-Field Type Approach. [Internet] [Thesis]. KTH; 2019. [cited 2019 Dec 15]. Available from: http://urn.kb.se/resolve?urn=urn:nbn:se:kth:diva-252299.

Not specified: Masters Thesis or Doctoral Dissertation

Council of Science Editors:

Häggbom M. Mean-Variance Portfolio Selection Accounting for Financial Bubbles: A Mean-Field Type Approach. [Thesis]. KTH; 2019. Available from: http://urn.kb.se/resolve?urn=urn:nbn:se:kth:diva-252299

Not specified: Masters Thesis or Doctoral Dissertation

13. Arce, Paulo Eduardo Bassi. Aplicação da teoria do portfólio para otimização de carteiras de contratos de energia elétrica e gestão de risco.

Degree: Mestrado, Sistemas Elétricos de Potência, 2014, University of São Paulo

URL: http://www.teses.usp.br/teses/disponiveis/18/18154/tde-16072014-113229/ ;

►

Com a crescente desregulamentação dos mercados de energia, os diferentes participantes dos mercados se deparam com a necessidade de gerenciar de maneira eficiente seus investimentos… (more)

Subjects/Keywords: ANDE; ANDE; Contratos de energia elétrica; Itaipu; Itaipu; Mean-variance; Média-variância; Otimização de carteiras de contrato; Portfolio optimization; Portfolio theory; Power contracts; Teoria do portfólio

Record Details Similar Records

❌

APA · Chicago · MLA · Vancouver · CSE | Export to Zotero / EndNote / Reference Manager

APA (6^{th} Edition):

Arce, P. E. B. (2014). Aplicação da teoria do portfólio para otimização de carteiras de contratos de energia elétrica e gestão de risco. (Masters Thesis). University of São Paulo. Retrieved from http://www.teses.usp.br/teses/disponiveis/18/18154/tde-16072014-113229/ ;

Chicago Manual of Style (16^{th} Edition):

Arce, Paulo Eduardo Bassi. “Aplicação da teoria do portfólio para otimização de carteiras de contratos de energia elétrica e gestão de risco.” 2014. Masters Thesis, University of São Paulo. Accessed December 15, 2019. http://www.teses.usp.br/teses/disponiveis/18/18154/tde-16072014-113229/ ;.

MLA Handbook (7^{th} Edition):

Arce, Paulo Eduardo Bassi. “Aplicação da teoria do portfólio para otimização de carteiras de contratos de energia elétrica e gestão de risco.” 2014. Web. 15 Dec 2019.

Vancouver:

Arce PEB. Aplicação da teoria do portfólio para otimização de carteiras de contratos de energia elétrica e gestão de risco. [Internet] [Masters thesis]. University of São Paulo; 2014. [cited 2019 Dec 15]. Available from: http://www.teses.usp.br/teses/disponiveis/18/18154/tde-16072014-113229/ ;.

Council of Science Editors:

Arce PEB. Aplicação da teoria do portfólio para otimização de carteiras de contratos de energia elétrica e gestão de risco. [Masters Thesis]. University of São Paulo; 2014. Available from: http://www.teses.usp.br/teses/disponiveis/18/18154/tde-16072014-113229/ ;

Technical University of Lisbon

14. Borrego, Daniel Alexandre Bourdain dos Santos. Efficient frontier and capital market line on PSI 20.

Degree: 2015, Technical University of Lisbon

URL: https://www.rcaap.pt/detail.jsp?id=oai:www.repository.utl.pt:10400.5/10462

►

Mestrado em Finanças

Este trabalho faz a estimativa da Fronteira Eficiente de Markowitz e da Linha de Mercados de Capital para o mercado bolsista Português,… (more)

Subjects/Keywords: Markowitz; Teoria da Média-Variância; Fronteira de Eficiência; Linha de Mercados de Capital; PSI20; Mean-variance theory; Efficient Frontier; Capital Market Line

Record Details Similar Records

❌

APA · Chicago · MLA · Vancouver · CSE | Export to Zotero / EndNote / Reference Manager

APA (6^{th} Edition):

Borrego, D. A. B. d. S. (2015). Efficient frontier and capital market line on PSI 20. (Thesis). Technical University of Lisbon. Retrieved from https://www.rcaap.pt/detail.jsp?id=oai:www.repository.utl.pt:10400.5/10462

Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16^{th} Edition):

Borrego, Daniel Alexandre Bourdain dos Santos. “Efficient frontier and capital market line on PSI 20.” 2015. Thesis, Technical University of Lisbon. Accessed December 15, 2019. https://www.rcaap.pt/detail.jsp?id=oai:www.repository.utl.pt:10400.5/10462.

Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7^{th} Edition):

Borrego, Daniel Alexandre Bourdain dos Santos. “Efficient frontier and capital market line on PSI 20.” 2015. Web. 15 Dec 2019.

Vancouver:

Borrego DABdS. Efficient frontier and capital market line on PSI 20. [Internet] [Thesis]. Technical University of Lisbon; 2015. [cited 2019 Dec 15]. Available from: https://www.rcaap.pt/detail.jsp?id=oai:www.repository.utl.pt:10400.5/10462.

Not specified: Masters Thesis or Doctoral Dissertation

Council of Science Editors:

Borrego DABdS. Efficient frontier and capital market line on PSI 20. [Thesis]. Technical University of Lisbon; 2015. Available from: https://www.rcaap.pt/detail.jsp?id=oai:www.repository.utl.pt:10400.5/10462

Not specified: Masters Thesis or Doctoral Dissertation

15. Burnett, Dougal James. Climate change and renewable energy portfolios.

Degree: PhD, 2012, University of Edinburgh

URL: http://hdl.handle.net/1842/6245

► The UK has a commitment to reduce greenhouse gases by at least 80% from 1990 levels by 2050. This will see the proportion of energy…
(more)

Subjects/Keywords: 621.042; renewable energy; climate change; mean variance portfolio theory; MVPT

…169
Application of *Mean* *Variance* Portfolio *Theory*........................... 170
8.1… …174
*Mean* *Variance* Portfolio *Theory* Analysis for Baseline Climate… …Change
MVPT
*Mean* *Variance* Portfolio *Theory*
MIDAS
Met Office Integrated Data Archive System… …technologies. *Mean* *Variance* Portfolio *Theory* (MVPT) is a financial based approach that is… …the market
s
Sample standard deviation
SE x
Standard error of the *mean*
tα
T-value of…

Record Details Similar Records

❌

APA · Chicago · MLA · Vancouver · CSE | Export to Zotero / EndNote / Reference Manager

APA (6^{th} Edition):

Burnett, D. J. (2012). Climate change and renewable energy portfolios. (Doctoral Dissertation). University of Edinburgh. Retrieved from http://hdl.handle.net/1842/6245

Chicago Manual of Style (16^{th} Edition):

Burnett, Dougal James. “Climate change and renewable energy portfolios.” 2012. Doctoral Dissertation, University of Edinburgh. Accessed December 15, 2019. http://hdl.handle.net/1842/6245.

MLA Handbook (7^{th} Edition):

Burnett, Dougal James. “Climate change and renewable energy portfolios.” 2012. Web. 15 Dec 2019.

Vancouver:

Burnett DJ. Climate change and renewable energy portfolios. [Internet] [Doctoral dissertation]. University of Edinburgh; 2012. [cited 2019 Dec 15]. Available from: http://hdl.handle.net/1842/6245.

Council of Science Editors:

Burnett DJ. Climate change and renewable energy portfolios. [Doctoral Dissertation]. University of Edinburgh; 2012. Available from: http://hdl.handle.net/1842/6245

Technical University of Lisbon

16. Santos, Maria Inês Valente Pereira Trindade. Evolution of tangent portfolios : an analysis of the european industries from 2000 to 2014.

Degree: 2015, Technical University of Lisbon

URL: http://www.rcaap.pt/detail.jsp?id=oai:www.repository.utl.pt:10400.5/10704

►

Mestrado em Finanças

O objetivo do presente estudo é analisar o impacto de quatro grandes choques financeiros no mercado europeu de ações, por setor. Em… (more)

Subjects/Keywords: Diversificação entre Setores; Índices Setoriais Suropeus; Crises Financeiras Globais; Seleção de Carteiras; Teoria Moderna da Carteira; Carteiras Tangentes; Diversification Across Sectors; European Sector Indices; Global Financial Crises; Mean-Variance Theory; Portfolio Selection; Tangent Portfolios

Record Details Similar Records

❌

APA · Chicago · MLA · Vancouver · CSE | Export to Zotero / EndNote / Reference Manager

APA (6^{th} Edition):

Santos, M. I. V. P. T. (2015). Evolution of tangent portfolios : an analysis of the european industries from 2000 to 2014. (Thesis). Technical University of Lisbon. Retrieved from http://www.rcaap.pt/detail.jsp?id=oai:www.repository.utl.pt:10400.5/10704

Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16^{th} Edition):

Santos, Maria Inês Valente Pereira Trindade. “Evolution of tangent portfolios : an analysis of the european industries from 2000 to 2014.” 2015. Thesis, Technical University of Lisbon. Accessed December 15, 2019. http://www.rcaap.pt/detail.jsp?id=oai:www.repository.utl.pt:10400.5/10704.

Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7^{th} Edition):

Santos, Maria Inês Valente Pereira Trindade. “Evolution of tangent portfolios : an analysis of the european industries from 2000 to 2014.” 2015. Web. 15 Dec 2019.

Vancouver:

Santos MIVPT. Evolution of tangent portfolios : an analysis of the european industries from 2000 to 2014. [Internet] [Thesis]. Technical University of Lisbon; 2015. [cited 2019 Dec 15]. Available from: http://www.rcaap.pt/detail.jsp?id=oai:www.repository.utl.pt:10400.5/10704.

Not specified: Masters Thesis or Doctoral Dissertation

Council of Science Editors:

Santos MIVPT. Evolution of tangent portfolios : an analysis of the european industries from 2000 to 2014. [Thesis]. Technical University of Lisbon; 2015. Available from: http://www.rcaap.pt/detail.jsp?id=oai:www.repository.utl.pt:10400.5/10704

Not specified: Masters Thesis or Doctoral Dissertation

Technical University of Lisbon

17. Martins, Inês Andrade. The efficient frontier and the capital market line : the case of the Swiss stock market index.

Degree: 2017, Technical University of Lisbon

URL: https://www.rcaap.pt/detail.jsp?id=oai:www.repository.utl.pt:10400.5/14865

►

Mestrado em Finanças

A crise dos créditos hipotecários de alto risco, que terá levado os investidores a perderem a sua confiança tanto nos bancos e… (more)

Subjects/Keywords: Retorno; Risco; Beta; Teoria do Retorno-Variância; Fronteira Eficiente; Linha de Mercado de Capitais; CAPM; Markowitz; Índice do Mercado da Suíça; Return; Risk; Mean-Variance Theory; Efficient Frontier; Capital Market Line; Swiss Market Index.

Record Details Similar Records

❌

APA · Chicago · MLA · Vancouver · CSE | Export to Zotero / EndNote / Reference Manager

APA (6^{th} Edition):

Martins, I. A. (2017). The efficient frontier and the capital market line : the case of the Swiss stock market index. (Thesis). Technical University of Lisbon. Retrieved from https://www.rcaap.pt/detail.jsp?id=oai:www.repository.utl.pt:10400.5/14865

Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16^{th} Edition):

Martins, Inês Andrade. “The efficient frontier and the capital market line : the case of the Swiss stock market index.” 2017. Thesis, Technical University of Lisbon. Accessed December 15, 2019. https://www.rcaap.pt/detail.jsp?id=oai:www.repository.utl.pt:10400.5/14865.

Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7^{th} Edition):

Martins, Inês Andrade. “The efficient frontier and the capital market line : the case of the Swiss stock market index.” 2017. Web. 15 Dec 2019.

Vancouver:

Martins IA. The efficient frontier and the capital market line : the case of the Swiss stock market index. [Internet] [Thesis]. Technical University of Lisbon; 2017. [cited 2019 Dec 15]. Available from: https://www.rcaap.pt/detail.jsp?id=oai:www.repository.utl.pt:10400.5/14865.

Not specified: Masters Thesis or Doctoral Dissertation

Council of Science Editors:

Martins IA. The efficient frontier and the capital market line : the case of the Swiss stock market index. [Thesis]. Technical University of Lisbon; 2017. Available from: https://www.rcaap.pt/detail.jsp?id=oai:www.repository.utl.pt:10400.5/14865

Not specified: Masters Thesis or Doctoral Dissertation

University of Waterloo

18. Alvarez Lopez, Juan. Risk Minimization in Power System Expansion and Power Pool Electricity Markets.

Degree: 2007, University of Waterloo

URL: http://hdl.handle.net/10012/3454

► Centralized power system planning covers time windows that range from ten to thirty years. Consequently, it is the longest and most uncertain part of power…
(more)

Subjects/Keywords: Power System Planning; Risk Minimization; Mean-Variance Markowitz Theory; Random Supply Curves; Random Demand Curves

Record Details Similar Records

❌

APA · Chicago · MLA · Vancouver · CSE | Export to Zotero / EndNote / Reference Manager

APA (6^{th} Edition):

Alvarez Lopez, J. (2007). Risk Minimization in Power System Expansion and Power Pool Electricity Markets. (Thesis). University of Waterloo. Retrieved from http://hdl.handle.net/10012/3454

Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16^{th} Edition):

Alvarez Lopez, Juan. “Risk Minimization in Power System Expansion and Power Pool Electricity Markets.” 2007. Thesis, University of Waterloo. Accessed December 15, 2019. http://hdl.handle.net/10012/3454.

Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7^{th} Edition):

Alvarez Lopez, Juan. “Risk Minimization in Power System Expansion and Power Pool Electricity Markets.” 2007. Web. 15 Dec 2019.

Vancouver:

Alvarez Lopez J. Risk Minimization in Power System Expansion and Power Pool Electricity Markets. [Internet] [Thesis]. University of Waterloo; 2007. [cited 2019 Dec 15]. Available from: http://hdl.handle.net/10012/3454.

Not specified: Masters Thesis or Doctoral Dissertation

Council of Science Editors:

Alvarez Lopez J. Risk Minimization in Power System Expansion and Power Pool Electricity Markets. [Thesis]. University of Waterloo; 2007. Available from: http://hdl.handle.net/10012/3454

Not specified: Masters Thesis or Doctoral Dissertation

Queensland University of Technology

19. Bianchi, Robert John. Portfolio selection and hedge funds : linearity, heteroscedasticity, autocorrelation and tail-risk.

Degree: 2007, Queensland University of Technology

URL: https://eprints.qut.edu.au/16477/

► Portfolio selection has a long tradition in financial economics and plays an integral role in investment management. Portfolio selection provides the framework to determine optimal…
(more)

Subjects/Keywords: autocorrelation; conditional value at risk (CVaR); heteroscedasticity; heteroscedasticity and autocorrelation consistent (HAC); linearity; mean-conditional value at risk (M-CVaR); mean-value at risk (M-VaR); mean variance analysis (MVA); modern portfolio theory (MPT); portfolio selection; tail-risk; value at risk (VaR); ODTA

Record Details Similar Records

❌

APA · Chicago · MLA · Vancouver · CSE | Export to Zotero / EndNote / Reference Manager

APA (6^{th} Edition):

Bianchi, R. J. (2007). Portfolio selection and hedge funds : linearity, heteroscedasticity, autocorrelation and tail-risk. (Thesis). Queensland University of Technology. Retrieved from https://eprints.qut.edu.au/16477/

Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16^{th} Edition):

Bianchi, Robert John. “Portfolio selection and hedge funds : linearity, heteroscedasticity, autocorrelation and tail-risk.” 2007. Thesis, Queensland University of Technology. Accessed December 15, 2019. https://eprints.qut.edu.au/16477/.

Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7^{th} Edition):

Bianchi, Robert John. “Portfolio selection and hedge funds : linearity, heteroscedasticity, autocorrelation and tail-risk.” 2007. Web. 15 Dec 2019.

Vancouver:

Bianchi RJ. Portfolio selection and hedge funds : linearity, heteroscedasticity, autocorrelation and tail-risk. [Internet] [Thesis]. Queensland University of Technology; 2007. [cited 2019 Dec 15]. Available from: https://eprints.qut.edu.au/16477/.

Not specified: Masters Thesis or Doctoral Dissertation

Council of Science Editors:

Bianchi RJ. Portfolio selection and hedge funds : linearity, heteroscedasticity, autocorrelation and tail-risk. [Thesis]. Queensland University of Technology; 2007. Available from: https://eprints.qut.edu.au/16477/

Not specified: Masters Thesis or Doctoral Dissertation

20. Tasios, Nikolaos. Στοχαστική μοντελοποίηση επενδυτικών αποφάσεων ηλεκτροπαραγωγής και προσομοίωση ανάπτυξης συστήματος.

Degree: 2016, National Technical University of Athens (NTUA); Εθνικό Μετσόβιο Πολυτεχνείο (ΕΜΠ)

URL: http://hdl.handle.net/10442/hedi/37266

► Companies operating in the electricity sector face difficult decisions about the type and size of the investment. The exposure in a competitive electricity market, the…
(more)

Subjects/Keywords: Μοντέλο ενεργειακής οικονομίας; Λήψη απόφασης σε περιβάλλον με αβεβαιότητα; Αξιολόγηση ενεργειακών πολιτικών; Μοντέλο ολιγοπωλιακού ανταγωνισμού ηλεκτρικής αγοράς; Σύγχρονη θεωρία χαρτοφυλακίου(ανάλυση μέσου διακύμανσης-προσέγγιση Markowitz); Μεγιστοποίηση πιθανότητας αποφυγής ζημίας; Θεωρία δικαιωμάτων προαίρεσης; Στοχαστικός προγραμματισμός δύο σταδίων; Energy economy model; Evaluation of energy policy; Decision making under uncertainty; Oligopolistic power market model; Modern portfolio theory(mean-variance analysis-Markowitz approach); Failure avoidance; Real options theory; Two stage stochastic programming

Record Details Similar Records

❌

APA · Chicago · MLA · Vancouver · CSE | Export to Zotero / EndNote / Reference Manager

APA (6^{th} Edition):

Tasios, N. (2016). Στοχαστική μοντελοποίηση επενδυτικών αποφάσεων ηλεκτροπαραγωγής και προσομοίωση ανάπτυξης συστήματος. (Thesis). National Technical University of Athens (NTUA); Εθνικό Μετσόβιο Πολυτεχνείο (ΕΜΠ). Retrieved from http://hdl.handle.net/10442/hedi/37266

Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16^{th} Edition):

Tasios, Nikolaos. “Στοχαστική μοντελοποίηση επενδυτικών αποφάσεων ηλεκτροπαραγωγής και προσομοίωση ανάπτυξης συστήματος.” 2016. Thesis, National Technical University of Athens (NTUA); Εθνικό Μετσόβιο Πολυτεχνείο (ΕΜΠ). Accessed December 15, 2019. http://hdl.handle.net/10442/hedi/37266.

Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7^{th} Edition):

Tasios, Nikolaos. “Στοχαστική μοντελοποίηση επενδυτικών αποφάσεων ηλεκτροπαραγωγής και προσομοίωση ανάπτυξης συστήματος.” 2016. Web. 15 Dec 2019.

Vancouver:

Tasios N. Στοχαστική μοντελοποίηση επενδυτικών αποφάσεων ηλεκτροπαραγωγής και προσομοίωση ανάπτυξης συστήματος. [Internet] [Thesis]. National Technical University of Athens (NTUA); Εθνικό Μετσόβιο Πολυτεχνείο (ΕΜΠ); 2016. [cited 2019 Dec 15]. Available from: http://hdl.handle.net/10442/hedi/37266.

Not specified: Masters Thesis or Doctoral Dissertation

Council of Science Editors:

Tasios N. Στοχαστική μοντελοποίηση επενδυτικών αποφάσεων ηλεκτροπαραγωγής και προσομοίωση ανάπτυξης συστήματος. [Thesis]. National Technical University of Athens (NTUA); Εθνικό Μετσόβιο Πολυτεχνείο (ΕΜΠ); 2016. Available from: http://hdl.handle.net/10442/hedi/37266

Not specified: Masters Thesis or Doctoral Dissertation

21.
MARAKBI, ZAKARIA.
* Mean*-

Degree: Industrial Marketing and Entrepreneurship, 2016, KTH

URL: http://urn.kb.se/resolve?urn=urn:nbn:se:kth:diva-199185

► Ever since its introduction in 1952, the *Mean*-*Variance* (MV) portfolio selection *theory* has remained a centerpiece within the realm of e_cient asset allocation. However,…
(more)

Subjects/Keywords: portfolio allocation; mean-variance optimization; efficient frontier; covariance ma- trix; estimation error; optimization enigma; random matrix theory; shrinking; robust statistics; Economics and Business; Ekonomi och näringsliv

…apply Markowitz’s *mean*-*variance* modern portfolio *theory*
in their quantiative models.
The… …protruding and prominent:
*Mean*-*Variance* Optimization (MVO), introduced in a… …presents a corresponding optimization problem, with the following *mean*-*variance* (MV)… …Despite decades of research and debate,
Markowitz’s *mean*-*variance* MPT has remained the… …many agree that Markowitz’s *mean*-*variance* MPT is an important theoretical advance, questions…

Record Details Similar Records

❌

APA · Chicago · MLA · Vancouver · CSE | Export to Zotero / EndNote / Reference Manager

APA (6^{th} Edition):

MARAKBI, Z. (2016). Mean-Variance Portfolio Optimization : Challenging the role of traditional covariance estimation. (Thesis). KTH. Retrieved from http://urn.kb.se/resolve?urn=urn:nbn:se:kth:diva-199185

Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16^{th} Edition):

MARAKBI, ZAKARIA. “Mean-Variance Portfolio Optimization : Challenging the role of traditional covariance estimation.” 2016. Thesis, KTH. Accessed December 15, 2019. http://urn.kb.se/resolve?urn=urn:nbn:se:kth:diva-199185.

Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7^{th} Edition):

MARAKBI, ZAKARIA. “Mean-Variance Portfolio Optimization : Challenging the role of traditional covariance estimation.” 2016. Web. 15 Dec 2019.

Vancouver:

MARAKBI Z. Mean-Variance Portfolio Optimization : Challenging the role of traditional covariance estimation. [Internet] [Thesis]. KTH; 2016. [cited 2019 Dec 15]. Available from: http://urn.kb.se/resolve?urn=urn:nbn:se:kth:diva-199185.

Not specified: Masters Thesis or Doctoral Dissertation

Council of Science Editors:

MARAKBI Z. Mean-Variance Portfolio Optimization : Challenging the role of traditional covariance estimation. [Thesis]. KTH; 2016. Available from: http://urn.kb.se/resolve?urn=urn:nbn:se:kth:diva-199185

Not specified: Masters Thesis or Doctoral Dissertation