Change search
CiteExportLink to record
Permanent link

Direct link
Cite
Citation style
  • apa
  • ieee
  • modern-language-association-8th-edition
  • vancouver
  • Other style
More styles
Language
  • de-DE
  • en-GB
  • en-US
  • fi-FI
  • nn-NO
  • nn-NB
  • sv-SE
  • Other locale
More languages
Output format
  • html
  • text
  • asciidoc
  • rtf
Comparative Analysis of Portfolio Optimization
Linnaeus University, Faculty of Technology, Department of Mathematics.
2016 (English)Independent thesis Advanced level (degree of Master (Two Years)), 20 credits / 30 HE creditsStudent thesis
Abstract [en]

Portfolio optimization is one of the main approaches in investing and one of the key steps of portfolio construction. In this study, we consider mean variance (MV), mean-absolute deviation (MAD) and conditional value-at-risk (CVaR) optimizations, and compare the market portfolios and minimum risk lines by using these three optimizations. By proposing simulation experiments using Gaussian copula and Pearson distribution system, the infuence of skewness and kurtosis to the minimum risk lines and market portfolios are investigated.

Place, publisher, year, edition, pages
2016. , p. 52
Keyword [en]
portfolio optimization, mean variance, mean-absolute deviation, conditional value-at-risk, skewness, kurtosis, non-Gaussian returns, copula, Pearson distribution
National Category
Natural Sciences Mathematics
Identifiers
URN: urn:nbn:se:lnu:diva-56502OAI: oai:DiVA.org:lnu-56502DiVA, id: diva2:970521
Subject / course
Mathematics
Educational program
Mathematics and Modelling, Master Programme, 120 credits
Supervisors
Examiners
Available from: 2017-01-09 Created: 2016-09-14 Last updated: 2017-01-09Bibliographically approved

Open Access in DiVA

fulltext(1883 kB)237 downloads
File information
File name FULLTEXT01.pdfFile size 1883 kBChecksum SHA-512
7cbb1ec093ef23bf2572d4a1e911a21f09593578bd5a330e67b8df083ddc928ec43eadd3f9e93633f7d46dbeeaea2b6160dc60b54ecfa93b49b4b4fee5d372b4
Type fulltextMimetype application/pdf

Search in DiVA

By author/editor
Xue, Mengya
By organisation
Department of Mathematics
Natural SciencesMathematics

Search outside of DiVA

GoogleGoogle Scholar
Total: 237 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

urn-nbn

Altmetric score

urn-nbn
Total: 539 hits
CiteExportLink to record
Permanent link

Direct link
Cite
Citation style
  • apa
  • ieee
  • modern-language-association-8th-edition
  • vancouver
  • Other style
More styles
Language
  • de-DE
  • en-GB
  • en-US
  • fi-FI
  • nn-NO
  • nn-NB
  • sv-SE
  • Other locale
More languages
Output format
  • html
  • text
  • asciidoc
  • rtf