Change search
ReferencesLink to record
Permanent link

Direct link
Implementation of mean-variance and tail optimization based portfolio choice on risky assets
KTH, School of Engineering Sciences (SCI).
2016 (English)Independent thesis Basic level (degree of Bachelor), 10 credits / 15 HE creditsStudent thesis
Abstract [en]

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.

Place, publisher, year, edition, pages
2016. , 44 p.
National Category
Engineering and Technology
Identifiers
URN: urn:nbn:se:kth:diva-196780OAI: oai:DiVA.org:kth-196780DiVA: diva2:1048434
Available from: 2016-11-21 Created: 2016-11-21 Last updated: 2016-11-21Bibliographically approved

Open Access in DiVA

fulltext(5118 kB)13 downloads
File information
File name FULLTEXT01.pdfFile size 5118 kBChecksum SHA-512
df9c71cd2489e137aa30f1d2b3e7f2491ea36f0f3d2f57c06508456c0225c7e5deffab84687731f15a1c73ffab38055b6f4b7a42359e1bbf2611da7452bffdca
Type fulltextMimetype application/pdf

By organisation
School of Engineering Sciences (SCI)
Engineering and Technology

Search outside of DiVA

GoogleGoogle Scholar
Total: 13 downloads
The number of downloads is the sum of all downloads of full texts. It may include eg previous versions that are now no longer available

Total: 16 hits
ReferencesLink to record
Permanent link

Direct link