An asset manager's goal is to provide a high return relative the risk taken, and thus faces the
challenge of how to choose an optimal portfolio. Many mathematical methods have been developed
to achieve a good balance between these attributes and using di erent risk measures. In this
thesis, we test the use of a relatively simple and common approach: the Markowitz mean-variance
method, and a more quantitatively demanding approach: the tail optimization method. Using a
ctive portfolio based on data provided by the Swedish fund management company Enter Fonder
we implement these approaches and compare the results. We analyze how each method weighs the
underlying assets in order to get an optimal portfolio.
2016. , 44 p.