Similarity-Based Grouping of a Universe of Securities
(2013) FMS820 20131Mathematical Statistics
- Abstract (Swedish)
- Securities can be classified in multiple ways. One of the most common ways to classify securities is using Morningstar’s label system. For instance a fund can be Large-Value or Small-Growth. However, these systems have inherit limitations that makes it hard to properly maximize diversification in the selection of a portfolio. In this thesis, we present a method
to classify securities that allows flexibility in the number of groups as well as the underlying data on which we classify. The goal is to have a complete system, able to take any universe of securities as input and produce a high-quality classification of that universe of securities.
Please use this url to cite or link to this publication:
http://lup.lub.lu.se/student-papers/record/3628866
- author
- Olsen, Fredrik
- supervisor
- organization
- course
- FMS820 20131
- year
- 2013
- type
- H2 - Master's Degree (Two Years)
- subject
- language
- English
- id
- 3628866
- date added to LUP
- 2013-04-02 10:37:07
- date last changed
- 2013-04-03 13:33:51
@misc{3628866, abstract = {{Securities can be classified in multiple ways. One of the most common ways to classify securities is using Morningstar’s label system. For instance a fund can be Large-Value or Small-Growth. However, these systems have inherit limitations that makes it hard to properly maximize diversification in the selection of a portfolio. In this thesis, we present a method to classify securities that allows flexibility in the number of groups as well as the underlying data on which we classify. The goal is to have a complete system, able to take any universe of securities as input and produce a high-quality classification of that universe of securities.}}, author = {{Olsen, Fredrik}}, language = {{eng}}, note = {{Student Paper}}, title = {{Similarity-Based Grouping of a Universe of Securities}}, year = {{2013}}, }