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Dissertations / Theses on the topic 'Modern Portfolio Theory'

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Published: 4 June 2021

Last updated: 25 July 2025

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1

Raubenheimer, Heidi. "Contributions to modern portfolio theory." Master's thesis, University of Cape Town, 2001. http://hdl.handle.net/11427/9741.

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Includes bibliographical references.<br>Fund managers and investors are confronted with the problem of selecting a single investment portfolio from a large number of possible combinations of available assets. In South Africa the set of possible portfolios has become even larger with the gradual relaxing of the constraints on foreign investment from 1995 to the present day, thereby expanding the investment universe for South African investors. Moreover, portfolio selection in South Africa is being transformed increasingly from being the exclusive domain of high net worth individuals, trustees a

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2

Persson, Jakob, Carl Lejon, and Kristian Kierkegaard. "Practical Application of Modern Portfolio Theory." Thesis, Jönköping University, JIBS, Accounting and Finance, 2007. http://urn.kb.se/resolve?urn=urn:nbn:se:hj:diva-657.

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<p>There are several authors Markowitz (1991), Elton and Gruber (1997) that discuss the main issues that an investor faces when investing, for example how to allocate resources among the variety of different securities. These issues have led to the discussion of portfolio theories, especially the Modern Portfolio Theory (MPT), which is developed by Nobel Prize awarded economist Harry Markowitz. This theory is the philosophical opposite of tradi-tional asset picking.</p><p>The purpose of this thesis is to investigate if an investor can apply MPT in order to achieve a higher return than investin

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3

Hamrin, Erik. "A Heuristic Downside Risk Approach to Real Estate Portfolio Structuring : a Comparison Between Modern Portfolio Theory and Post Modern Portfolio Theory." Thesis, KTH, Bygg- och fastighetsekonomi, 2011. http://urn.kb.se/resolve?urn=urn:nbn:se:kth:diva-89812.

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Portfolio diversification has been a subject frequently addressed since the publications of Markowitz in 1952 and 1959. However, the Modern Portfolio Theory and its mean variance framework have been criticized. The critiques refer to the assumptions that return distributions are normally distributed and the symmetric definition of risk. This paper elaborates on these short comings and applies a heuristic downside risk approach to avoid the pitfalls inherent in the mean variance framework. The result of the downside risk approach is compared and contrasted with the result of the mean variance f

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Jablonský, Petr. "Performance downside risk models of the post-modern portfolio theory." Doctoral thesis, Vysoká škola ekonomická v Praze, 2008. http://www.nusl.cz/ntk/nusl-161865.

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The thesis provides a comparison of different portfolio models and tests their performance on the financial markets. Our analysis particularly focuses on comparison of the classical Markowitz modern portfolio theory and the downside risk models of the post-modern portfolio theory. In addition, we consider some alternative portfolio models ending with total eleven models that we test. If the performance of different portfolio models should be evaluated and compared correctly, we must use a measure that is unbiased to any portfolio theory. We suggest solving this issue via a new approach based o

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5

Ljungberg, Axel, and Anton Högstedt. "Modern Portfolio Theory Combined With Magic Formula : A study on how Modern Portfolio Theory can improve an established investment strategy." Thesis, Linnéuniversitetet, Institutionen för ekonomistyrning och logistik (ELO), 2021. http://urn.kb.se/resolve?urn=urn:nbn:se:lnu:diva-104540.

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This study examines whether modern portfolio theory can be used to improve the Magic Formula investment strategy. With the assets picked by the investment strategy we modify the portfolios by weighting the portfolios in accordance with modern portfolio theory. Through the process of creating efficient frontiers and weighting the portfolios differently we create two alternative portfolios each year. One portfolio that aimsfor maximum Sharpe ratio and one that aims for minimum variance. These weighted portfolios produce higher risk-adjusted returns consistently during the examined period of 2010

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Duggal, Rahul, and Tawfiq Shams. "Modern Portfolio Trading with Commodities." Thesis, Mälardalen University, School of Sustainable Development of Society and Technology, 2010. http://urn.kb.se/resolve?urn=urn:nbn:se:mdh:diva-9990.

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<p>There is a big interest for alternative investment strategies than investing in traditional asset classes. Commodities are having a boom dynamic with increasing prices. This thesis is therefore based on applying Modern Portfolio Theory concept to this alternative asset class.</p><p>In this paper we manage to create optimal portfolios of commodities for investors with known and unknown risk preferences. When comparing expected returns to actual returns we found that for the investor with the known risk preference almost replicated the return of the markets. The other investor with unknown ri

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7

Karlsson, Victor, Rikard Svensson, and Viktor Eklöf. "Contingent Hedging : Applying Financial Portfolio Theory on Product Portfolios." Thesis, Internationella Handelshögskolan, Högskolan i Jönköping, IHH, Företagsekonomi, 2012. http://urn.kb.se/resolve?urn=urn:nbn:se:hj:diva-18602.

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In an ever-changing global environment, the ability to adapt to the current economic climate is essential for a company to prosper and survive. Numerous previous re- search state that better risk management and low overall risks will lead to a higher firm value. The purpose of this study is to examine if portfolio theory, made for fi- nancial portfolios, can be used to compose product portfolios in order to minimize risk and optimize returns. The term contingent hedge is defined as an optimal portfolio that can be identified today, that in the future will yield a stable stream of returns at a

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8

Nelson, Marco. "Information technology portfolio management proof of concept modern portfolio theory with KVA and ROI analysis." Thesis, Monterey, California. Naval Postgraduate School, 2010. http://hdl.handle.net/10945/5148.

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Approved for public release; distribution is unlimited<br>The basic research question guiding this thesis is: "How can Modern Portfolio Theory (MPT) be defensibly applied to DoD Information Technology (IT) portfolio optimization problems?" The research will demonstrate how to derive the appropriate raw performance, volatility data, required to remain consistent with MPT assumptions and methodology. This thesis accomplishes this research objective by establishing a notional IT beta to apply a MPT approach for asset allocation within the Department of Defense (DoD). Data from three previous RFI

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9

Rocha, Emília Marília de Lima. "Security selection in post-modern portfolio theory : an application to the European stock market." Master's thesis, Instituto Superior de Economia e Gestão, 2016. http://hdl.handle.net/10400.5/13094.

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Mestrado em Finanças<br>Neste trabalho, comparamos as carteiras tangentes e carteiras de risco mínimo obtidas com a teoria moderna da carteira (MPT) e a teoria pós-moderna da carteira (PMPT) com o propósito de analisar as diferenças na seleção de ações. Baseamos o nosso estudo num conjunto de 16 ações do índice EURO STOXX 50 e estimamos os inputs com dados históricos entre 1997 e 2015. Para medir o risco na PMPT, usamos a semivariância em relação a três retornos alvo - 0, a taxa de juro sem risco e a taxa de retorno do mercado bolsista Europeu. Para atestar a robustez dos resultados, replicamo

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Mupambirei, Rodwel. "Dynamic and robust estimation of risk and return in modern portfolio theory." Master's thesis, University of Cape Town, 2008. http://hdl.handle.net/11427/4913.

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Includes abstract.<br>Includes bibliographical references (leaves 134-138).<br>The portfolio selection method developed by Markowitz gives a rational investor a way of evaluating different investment options in a portfolio using the expected return and variance of the returns. Sharpe uses the same optimization approach but estimates the mean and covariance in a regression framework using the index models. Sharpe makes a crucial assumption that the residuals from different assets are uncorrelated and that the beta estimates are constant. When the Sharpe model parameters are estimated using ordi

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Lagerström, Erik, and Schrab Michael Magne. "An Empirical Study of Modern Portfolio Optimization." Thesis, KTH, Matematisk statistik, 2020. http://urn.kb.se/resolve?urn=urn:nbn:se:kth:diva-273597.

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Mean variance optimization has shortcomings making the strategy far from optimal from an investor’s perspective. The purpose of the study is to conduct an empirical investigation as to how modern methods of portfolio optimization address the shortcomings associated with mean variance optimization. Equal risk contribution, the Most diversified portfolioand a modification of the Minimum variance portfolio are considered as alternatives to the mean variance model. Portfolio optimization models introduced are explained in detail and solved using the optimization algorithms Cyclical coordinate desc

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Falk, Johan. "Direct and Indirect Real Estate in a Mixed-asset Portfolio : Is direct or indirect preferable." Thesis, KTH, Fastigheter och byggande, 2012. http://urn.kb.se/resolve?urn=urn:nbn:se:kth:diva-102185.

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Studies carried out during the 2000’s have shown that securitized real estate has outperformed the direct real estate market with as much as up to 500 basis points on an annual basis during the 80’s and 90’s. Allocation to real estate among institutional investors has at the same time been at around 5%. Research conducted in the area during this period has suggested an allocation to real estate around 10% - 20% in a mixed-asset portfolio, depending on the specifics of the real estate. Securitized and direct real estate come with different benefits and different problems, such as a better infla

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Alrebeish, Faisal. "Adaptively improving performance stability of cloud based application using the modern portfolio theory." Thesis, University of Birmingham, 2016. http://etheses.bham.ac.uk//id/eprint/6932/.

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The increasing number of Software-as-a-Service(SaaS) services available in the cloud market make them plausible and attractive for building cloud-based applications. However, performance instability is common in the cloud environment due to changes in supply and demand of shared computational infrastructure and resources. Candidate services are vulnerable to such instability. Current service selection and composition approaches do not explicitly address performance fluctuations when building cloud-based applications. This thesis proposes a novel approach to improve performance stability by lev

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Pavlic, Theodore P. "Optimal Foraging Theory Revisited." Connect to resource, 2007. http://rave.ohiolink.edu/etdc/view?acc%5Fnum=osu1181936683.

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Karlsson, Viktor, and Emil Nygren. "Beating the Swedish Market : A dynamic approach to Value Investing using Modern Portfolio Theory." Thesis, Södertörns högskola, Institutionen för ekonomi och företagande, 2012. http://urn.kb.se/resolve?urn=urn:nbn:se:sh:diva-16465.

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Previous research has confirmed the existence of a value premium in a wide array of markets and using this value stock anomaly has yielded superior performance. This thesis investigates if one could take advantage of the existence of a value premium to deploy a dynamic investment strategy on the Swedish stock market (OMXS30) with focus on minimizing risk to achieve higher risk adjusted performance than the stock market index. The investment strategy implemented use Market-to-Book-Value to screen for both entry and exit signals and Modern Portfolio Theory, using the minimum-variance portfolio w

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Culliname, Kevin Patrick Culliname. "The appication of modern portfolio theory to hedging in the dry bulk shipping markets." Thesis, University of Plymouth, 1989. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.232914.

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Cullinane, Kevin Patrick Brendan. "The application of modern portfolio theory to hedging in the dry bulk shipping markets." Thesis, University of Plymouth, 1989. http://hdl.handle.net/10026.1/786.

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Risk and uncertainty have a vital impact on any business, but are particularly influential in the shipping industry. Although risk and uncertainty constitute the life-blood that courses through the veins of business, decision makers typically , attempt to reduce the risks , to which their decisions are subject. This is because there inevitably exists a level of risk which the decision maker is unwilling to accept. In May 1985 a new method of risk reduction in shipping became available through the introduction of BIFFEX - the Baltic International Freight Futures , Exchange. Participants in ship

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Garaba, Masimba. "The current role of modern portfolio theory in asset management practice in South Africa." Thesis, Rhodes University, 2005. http://hdl.handle.net/10962/d1002699.

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This research examines the role that modern portfolio theory (MPT) plays in current South Africa asset management practice in comparison to other portfolio management techniques and security evaluation methods. The purpose of asset management is to pool complementary financial market expertise, in order to generate returns in excess of the market return on the investments of the owners of financial resources that are entrusted to the firm, since the owners of financial resources might not be able to make superior investment decisions on their own. The research presents and discusses the litera

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Xu, Chenghao. "Portfolio Optimization, CAPM & Factor Modeling Project Report." Digital WPI, 2012. https://digitalcommons.wpi.edu/etd-theses/243.

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In this Portfolio Optimization Project, we used Markowitz¡¯s modern portfolio theory for portfolio optimization. We selected fifteen stocks traded on the New York Stock Exchange and gathered these stocks¡¯ historical data from Yahoo Finance [1]. Then we used Markowitz¡¯s theory to analyze this data in order to obtain the optimal weights of our initial portfolio. To maintain our investment in a current tangency portfolio, we recalculated the optimal weights and rebalanced the positions every week. In the CAPM project, we used the security characteristic line to calculate the stocks¡¯ daily retu

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Dong, Yijun. "Portfolio Optimization, CAPM & Factor Modeling Project Report." Digital WPI, 2012. https://digitalcommons.wpi.edu/etd-theses/244.

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In this Portfolio Optimization Project, we used Markowitz¡¯s modern portfolio theory for portfolio optimization. We selected fifteen stocks traded on the New York Stock Exchange and gathered these stocks¡¯ historical data from Yahoo Finance [1]. Then we used Markowitz¡¯s theory to analyze this data in order to obtain the optimal weights of our initial portfolio. To maintain our investment in a current tangency portfolio, we recalculated the optimal weights and rebalanced the positions every week. In the CAPM project, we used the security characteristic line to calculate the stocks¡¯ daily retu

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VanOrden, Marc A. "Applying modern portfolio theory and the capital asset pricing model to DoD's information technology investments." Thesis, Monterey, California. Naval Postgraduate School, 2009. http://hdl.handle.net/10945/4795.

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Approved for public release, distribution unlimited<br>Program Managers (PMs) throughout the Department of Defense (DoD) were directed by the DoD Chief Information Officer to manage information technology (IT) investments as portfolios (to include Mission Areas, Subportfolios, and Components) within the DoD Enterprise. Managing portfolios of capabilities aligns IT with the overall needs of the warfighter, as well as the intelligence and business activities which support the warfighter. This thesis provides the detailed steps that PMs and Program Executive Officers (PEOs) should follow to

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Lord, Mary E. "How a Learning Orientation, Modern Portfolio Theory and Absorptive Capacity Contribute to University Endowment Performance." Case Western Reserve University School of Graduate Studies / OhioLINK, 2012. http://rave.ohiolink.edu/etdc/view?acc_num=case1333676043.

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Pringle, Sammie VanOrden Marc A. "Applying modern portfolio theory and the capital asset pricing model to DoD's information technology investments." Monterey, Calif. : Naval Postgraduate School, 2009. http://edocs.nps.edu/npspubs/scholarly/theses/2009/March/09Mar%5FPringle.pdf.

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Thesis (M.S. in Information Technololgy Management)--Naval Postgraduate School, March 2009.<br>Thesis Advisor(s): Housel, Thomas J. "March 2009." Description based on title screen as viewed on April 23, 2009. Author(s) subject terms: CAPM, Capital Asset Pricing Model, KVA, Knowledge Value Added, Real Options, ROI, Return on Investment, MPT, Modern Portfolio Theory. Includes bibliographical references (p. 37-39). Also available in print.

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Dang, Zhe. "Financial Mathematics Project." Digital WPI, 2012. https://digitalcommons.wpi.edu/etd-theses/262.

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This project describes the underlying principles of Modern Portfolio Theory (MPT), the Capital Asset Pricing Model (CAPM), and multi-factor models in detail. It also explores the process of constructing optimal portfolios using Modern Portfolio Theory, as well as estimates the expected return and covariance matrix of assets using the CAPM and multi-factor models. Finally, the project applies these models in real markets to analyze our portfolios and compare their performances.

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Abo, Al Ahad George, and Denis Gerzic. "A Study on the Low Volatility Anomaly in the Swedish Stock Exchange Market : Modern Portfolio Theory." Thesis, Linköpings universitet, Nationalekonomi, 2017. http://urn.kb.se/resolve?urn=urn:nbn:se:liu:diva-145323.

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This study investigates, with a critical approach, if portfolios consisting of high beta stocks yields more than portfolios consisting of low beta stocks in the Swedish stock exchange market. The chosen period is 1999-2016, covering both the DotCom Bubble and the financial crisis of 2008. We also investigate if the Capital Asset Pricing Model is valid by doing a test similar to Fama and Macbeth’s of 1973. Based on earlier studies in the field and our own study we come to the conclusion that high beta stocks does not outperform low beta stocks in the Swedish stock market 1999-2016. We believe t

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MacDevette, Ciaran. "An Empirical investigation of the value of High and Low price data to Modern Portfolio Theory." Master's thesis, University of Cape Town, 2010. http://hdl.handle.net/11427/5808.

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It is common practice to use the return series from closing prices in order to estimate the values of variables to be used in Modern Portfolio Theory (MPT). In fact the closing price series is generally what is referred to when price data or a financial time series is mentioned. We know this series to be made up of discrete points recorded as the last traded price on a specific day. But we also know this gives no indication of where the price has moved during the day. It is also widely believed that the price breaking through a certain level can be an indication of future movements. The highs

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Li, Jiang. "Financial Mathematics Project." Digital WPI, 2012. https://digitalcommons.wpi.edu/etd-theses/263.

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This project describes the underlying principles of Modern Portfolio Theory, the Capital Asset Pricing Model (CAPM), and multi-factor models in detail, explores the process of constructing optimal portfolios using the Modern Portfolio Theory, estimates the expected return and covariance matrix of assets using CAPM and multi-factor models, and finally, applies these models in real markets to analyze our portfolios and compare their performances.

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Barkino, Iliam, and Öman Marcus Rivera. "Enough is Enough : Sufficient number of securities in an optimal portfolio." Thesis, Uppsala universitet, Företagsekonomiska institutionen, 2016. http://urn.kb.se/resolve?urn=urn:nbn:se:uu:diva-298462.

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This empirical study has shown that optimal portfolios need approximately 10 securities to diversify away the unsystematic risk. This challenges previous studies of randomly chosen portfolios which states that at least 30 securities are needed. The result of this study sheds light upon the difference in risk diversification between random portfolios and optimal portfolios and is a valuable contribution for investors. The study suggests that a major part of the unsystematic risk in a portfolio can be diversified away with fewer securities by using portfolio optimization. Individual investors es

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Danko, Erik. "Optimalizační modely finančních rizik." Master's thesis, Vysoké učení technické v Brně. Ústav soudního inženýrství, 2020. http://www.nusl.cz/ntk/nusl-433363.

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This diploma thesis deals with optimization models of financial risks. The first part, which is devoted to the theoretical background, introduces the basic concepts of optimization, modern portfolio theory, fundamental and technical analysis and statistical background. The basic principles of operation of modern portfolio theory are presented. The methods for analysis and selection of assets called Growth at A Reasonable Price and portfolio optimization approach according to Harry Markowitz were used with selected methods. The practical part is focused on the data analysis, selection of assets

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Chaves-Schwinteck, Patricia [Verfasser], Bernd [Akademischer Betreuer] Siebenhühner, and Jürgen [Akademischer Betreuer] Prokop. "The modern portfolio theory applied to wind farm investments / Patricia Chaves-Schwinteck. Betreuer: Bernd Siebenhühner ; Jürgen Prokop." Oldenburg : BIS der Universität Oldenburg, 2013. http://d-nb.info/1048750280/34.

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Pettersson, Fabian, and Oskar Ringström. "Portfolio Optimization: An Evaluation of the Downside Risk Framework on the Nordic Equity Markets." Thesis, KTH, Matematisk statistik, 2020. http://urn.kb.se/resolve?urn=urn:nbn:se:kth:diva-275688.

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Risk management in portfolio construction is a widely discussed topic and the tradeoff between risk and return is always considered before an investment is made. Modern portfolio theory is a mathematical framework which describes how a rational investor can use diversification to optimize a portfolio, which suggests using variance to measure financial risk. However, since variance is a symmetrical metric, the framework fails to correctly account for the loss aversion preferences most investors exhibit. Therefore, the use of downside risk measures were proposed, which only measures the variance

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Muir, Christopher, and Nathalie Beauprez. "Blah blah high returns. Blah blah no risk. Blah blah blah guaranteed!’ : A study of what financial institutions base their portfolio creation on for customers and the relationship between the different financial institutions in the same line of business for this activity." Thesis, Umeå University, Umeå School of Business, 2007. http://urn.kb.se/resolve?urn=urn:nbn:se:umu:diva-1176.

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<p>Why do people invest? People are insecure about their future welfare and aim for future guaranteed cash flows. To give ourselves a more thorough introduction to investments we decided to write our bachelor-thesis within the area of finance. This thesis will combine financial institutions and investments. It is a topic repeatedly discussed in the media and a study carried out in Sweden showed that in 2003, 80% of the population were shareholders.</p><p>When trading with stocks and shares there is risk involved that can be defined as the volatility in the cash flow of an investment. A portfol

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Haviar, Martin. "Optimalizace investičního portfolia pomocí metaheuristiky." Master's thesis, Vysoké učení technické v Brně. Fakulta podnikatelská, 2015. http://www.nusl.cz/ntk/nusl-224904.

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This thesis deals with design and implementation of an investment model, which applies methods of Post-modern portfolio theory. Particle swarm optimization (PSO) metaheuristic was used for portfolio optimization and the parameters were analyzed with several experiments. Johnsons SU distribution was used for estimation of future returns as it proved to be the best of analyzed distributions. The result is software application written in Python, which is tested for stability and performance of model in extreme situations.

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Feinstein, Samuel G. "An investigation into reference-day risk-free metrics in the context of modern portfolio theory on the JSE." Master's thesis, Faculty of Commerce, 2019. http://hdl.handle.net/11427/31380.

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Modern portfolio theory (MPT), asset pricing models and broader financial modelling are dependent upon the accuracy of input parameters. For example, the accuracy of expected returns, standard deviations and correlations as an input into MPT will result in a more efficient selection of the optimal portfolio. These metrics are exposed to reference-day risk which is the variation in input estimation due to the selection of initial reference-day in calculations. This paper examines whether a change in reference-day, the day on which a metric is calculated, significantly affects estimates of risk-

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Arbogast, Matthew Stephen. "Leader Behavior Portfolios." Scholar Commons, 2016. http://scholarcommons.usf.edu/etd/6458.

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Existing leadership theories and applied resources contain bountiful lists of recommended behaviors for leaders to employ, yet an integrated model that produces the most efficient set of leader behaviors does not currently exist. A standard, quantitative method to compare and contrast leader behaviors is needed to siphon utility from each resource, leading to an integrated and diversified set of optimal behaviors for leaders to consider. Leaders have limited time and need a reliable method to make informed behavioral decisions that consistently produce the most positive effects on the desired

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Pettersson, Jerry, and Sally Nilsson. "Portföljrisk i investmentbolag : - En kvantitativ studie om hur svenska investmentbolag hanterat sin portföljrisk i förhållande till utländska investmentbolag." Thesis, Linnéuniversitetet, Institutionen för ekonomistyrning och logistik (ELO), 2020. http://urn.kb.se/resolve?urn=urn:nbn:se:lnu:diva-95815.

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Bakgrund och problemformulering: Investmentbolag är ett bolag vars affärsidé är att äga andra bolag. De har en betydande roll i samhället genom att bidra med kapital och att hjälpa driva etablerade företag framåt. I tidigare forskningssammanhang har andra liknande typer av bolag varit i fokus vilket orsakar ett gap i forskningen kring investmentbolag och riskhantering. Det här blir särskilt intressant att studera då investmentbolag har blivit en allt mer vanlig investering samtidigt som de beskrivs ha liknande riskspridning som en aktiefond. För att få en bredare förståelse om hur det skiljer

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Kundiger, Kyle. "Optimal investment strategies using multi-property commercial real estate analysis of pre/post housing bubble." Honors in the Major Thesis, University of Central Florida, 2012. http://digital.library.ucf.edu/cdm/ref/collection/ETH/id/575.

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This paper analyzes theperformance of five commercial real estate property types (office, retail, industrial, apartment, and hotel) between 2000 and 2012 to determine the U.S. housing crisis'simpact on Real Estate investing. Under the concept of Modern Portfolio Theory, the data was analyzed using investment analysis programs to determine correlation, risk/return characteristics, and trade-offs (Sharpe ratio) as well as the optimal allocation among the individual property types. In light of the results, each property type plays a different role in investment strategies in various economic cycl

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Strid, Alexander, and Daniel Liu. "Evaluation of a Portfolio in Dow Jones Industrial Average Optimized by Mean-Variance Analysis." Thesis, KTH, Matematisk statistik, 2020. http://urn.kb.se/resolve?urn=urn:nbn:se:kth:diva-275662.

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This thesis evaluates the mean-variance analysis framework by comparing the performance of an optimized portfolio consisting of stocks from the Dow Jones Industrial Average to the performance of the Dow Jones Industrial Average index itself. The results show that the optimized portfolio performs better than the corresponding index when evaluated on the period between 2015 and 2019. However, the variance of the returns are high and therefore it is difficult to determine if mean-variance analysis performs better than its corresponding index in the general case. Furthermore, it is shown that indi

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Whiting, Cameron. "Markowitz and Marriage: Finding the Optimal Risky Spouse." Scholarship @ Claremont, 2015. http://scholarship.claremont.edu/cmc_theses/1019.

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This paper examines data for 12,868 individuals from the National Longitudinal Survey of Youth (NLSY79) from 1979 through 2010 to explore certain financial incentives of marriage. In particular, this paper focuses on identifying the combination of occupations that decreases idiosyncratic income volatility to the greatest extent. For the sake of this paper, marriage is defined as the combination of two separate assets into a single portfolio. With such, I derive the efficient frontier for each occupation and gender. In the process, reward-to-volatility and mean-variance utility maximization tec

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Smith, Jacques. "Constructing low cost core-satellite portfolios with multiple risk constraints: practical applications to Robo advising in South Africa using active, passive and smart-beta strategies." Master's thesis, Faculty of Commerce, 2020. http://hdl.handle.net/11427/32985.

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Risk and tracking error budgeting was originally adopted by large institutional investors, including pension funds, plan sponsors, foundations, and endowments. More recently, risk and tracking error budgeting have gained popularity among financial advisors, multi-managers, fund of funds managers, high net worth individuals as well as retail investors. These techniques contribute to the portfolio optimisation process by limiting the extent to which a portfolio can deviate from its benchmark with regards to risk and tracking error. This is an ambitious paper that attempts to determine the optima

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Larsson, Karl-Erik. "Review of the Swedish National Pension Plan’s Real Estate Strategies." Thesis, KTH, Fastigheter och byggande, 2013. http://urn.kb.se/resolve?urn=urn:nbn:se:kth:diva-124331.

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Marks, David B. 1969. "Ivory towers to office towers, Wall Street to Main Street : a study of the relationship between modern portfolio theory and private equity real estate." Thesis, Massachusetts Institute of Technology, 2001. http://hdl.handle.net/1721.1/32210.

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Thesis (S.M.)--Massachusetts Institute of Technology, Dept. of Architecture, 2001.<br>Includes bibliographical references (leaves 78-88).<br>This thesis attempts to relate the principal elements of Modern Portfolio Theory ('MPT') to real estate, recognizing that MPT was built not for real estate, but for stocks and bonds. It is split into two parts; the first part deals with 'the theory' of real estate investing, including a commentary on both why mixed-asset portfolios include real estate components, and how MPT relates to real estate. The second part deals with 'the reality'; the extent (or

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Cetingoz, Adil Rengim. "Portfolio Construction and Generative Modeling : New Solutions to Old Problems." Electronic Thesis or Diss., Paris 1, 2024. http://www.theses.fr/2024PA01E026.

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Cette thèse est censée contribuer à la théorie et à la pratique de la gestion d'actifs et de la construction de portefeuilles. Elle se compose de deux parties, toutes deux servant ultimement ce dernier objectif, tout en abordant deux questions distinctes. La première partie se concentre sur une approche spécifique de construction de portefeuille -- Risk Budgeting -- qui donne la priorité à la répartition du risque du portefeuille entre ses composants/actifs, plutôt que de viser directement un objectif de risque/rendement. Dans le premier chapitre de cette partie, nous étudions les résultats ex

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Rörden, Sarah, and Kristofer Wille. "Measuring and handling risk : How different financial institutions face the same problem." Thesis, Mälardalen University, School of Sustainable Development of Society and Technology, 2010. http://urn.kb.se/resolve?urn=urn:nbn:se:mdh:diva-9951.

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<p><strong>Title: </strong>Measuring and handling risk - How different financial institutions face the same problem</p><p><strong>Seminar date: </strong>4<sup>th</sup> of June, 2010</p><p><strong> </strong></p><p><strong>Level: </strong>Bachelor thesis in Business Administration, Basic level 300, 15 ECTS</p><p><strong>Authors: </strong>Sarah Rörden and Kristofer Wille</p><p><strong>Supervisor</strong>: Angelina Sundström</p><p><strong>Subject</strong> <strong>terms:</strong> Risk variables, Risk measurement, Risk management, Modern Portfolio Theory, Diversification, Beta</p><p><strong>Target g

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Stark, Caroline, and Emelie Nordell. "Diversifying in the Integrated Markets of ASEAN+3 : A Quantitative Study of Stock Market Correlation." Thesis, Umeå University, Umeå School of Business, 2010. http://urn.kb.se/resolve?urn=urn:nbn:se:umu:diva-34476.

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<p>There is evidence that globalization, economic assimilation and integration among countries and their financial markets have increased correlation among stock markets and the correlation may in turn impact investors’ allocation of their assets and economic policies. We have conducted a quantitative study with daily stock index quotes for the period January 2000 and December 2009 in order to measure the eventual correlation between the markets of ASEAN+3. This economic integration consists of; Indonesia, Malaysia, Philippines, Singapore, Thailand, China, Japan and South Korea. Our problem fo

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Nilsson, Sara, and Jennifer Ramare. "What does it cost to invest with preferences? : What does investors lose/gain on investing in sin-stocks versus SRI investing?" Thesis, Högskolan Väst, Avd för juridik, ekonomi, statistik och politik, 2021. http://urn.kb.se/resolve?urn=urn:nbn:se:hv:diva-17337.

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This paper analyses the difference in risk-adjusted returns between Sin-stocks and SRI-investing for the period 2001-2021. The analysis was conducted by creating two optimally risky portfolios according to the Modern Portfolio Theory, one comprised of only Sin-stocks and one with only high ESG scoring companies. The Sin-stocks contained stocks from four different sectors, alcohol, gambling, tobacco and weapons while the companies for the SRI-portfolio was chosen from the FTSE4Good index. The regression models were chosen to follow both the CAPM, and the Fama & French three factor model and

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Engström, Fredrika, and Sanna Martinsson. "Environmental, Social and Governance-Ratings and Risk in Sweden." Thesis, Umeå universitet, Företagsekonomi, 2020. http://urn.kb.se/resolve?urn=urn:nbn:se:umu:diva-172222.

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Sustainability and Corporate Social Responsibility (CSR) are increasingly important subjects in today's society. To measure a company's Corporate Social Performance (CSP); the ESG-rating has been developed throughout the years. As investors and the public are starting to acknowledge a company's sustainable actions and the importance of these, more and more companies choses to be rated using ESG-rating. As the knowledge around the subject has started to increase, we want to find out if it affects the risk of a company or an investment? Theories relating to the topic, such as stakeholder theory,

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Lindberg, Per. "Långsiktiga samband mellan aktiemarknader : En kointegrationsanalys av den svenska aktiemarknaden och fyra etablerade aktiemarknader." Thesis, Mid Sweden University, Department of Social Sciences, 2010. http://urn.kb.se/resolve?urn=urn:nbn:se:miun:diva-11807.

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<p>I denna magisteruppsats undersöks eventuella långsiktiga samband mellan den svenska aktiemarknaden och aktiemarknaderna i Tyskland, Storbritannien, USA och Japan. Detta sker genom en kointegrationsanalys med Engle-Grangers metod. Undersökningen omfattar åren 1992-2010 och resultaten visar inga tecken på att det skulle existera några långsiktiga samband mellan den svenska aktiemarknaden och någon av de utländska aktiemarknaderna. Resultaten ger därmed indikationer om att den svenska aktiemarknaden tillsammans med de utländska aktiemarknaderna i undersökningen är kollektivt effektiva i åtmins

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Gleisner, Mattias, and Karoline Edström. "Bitcoin som diversifiering : En kvantitativ studie som undersöker korrelationen mellan bitcoin och finansiella tillgångar." Thesis, Umeå universitet, Företagsekonomi, 2017. http://urn.kb.se/resolve?urn=urn:nbn:se:umu:diva-137433.

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Pengar har under en lång tid spelat en central roll i människans samhälle och dagens samhälle präglas av allt mer handel. Utifrån detta har nya betalningsmetoder utvecklats. En förändring i konsumentbeteendet har bidragit till att allt fler individer väljer elektroniska betalningstjänster. En relativt ny innovation är kryptovalutan bitcoin som erbjuder betalning mellan köpare och säljare utan inblandning av en tredje part. Ett flertal studier har gjorts med syftet att fastställa om bitcoin är en valuta eller en tillgång, något som visat sig vara svårt. Något som varit tydlig

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Thomä, Jakob. "Optimal diversification and the transition to net zero : a methodological framework for measuring climate goal alignment of investor portfolios." Thesis, Paris, CNAM, 2018. http://www.theses.fr/2018CNAM1177.

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La thèse vise à développer un cadre pour mesurer l'alignement des portefeuilles financiers avec les objectifs climatiques, prenant comme point de départ à la fois la théorie traditionnelle du portefeuille moderne et les cadres d'analyse des risques financiers, ainsi que la science du climat. Il s'agit de la première tentative d'élaboration de points de repère scientifiques pour le portefeuille financier. Le cadre utilise comme point de départ le concept de «diversification optimale» basé sur la théorie moderne du portefeuille et l'hypothèse de marché efficace. Selon cette théorie, les stratégi

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