Comparing Portfolio Optimization Models
(2018) EXTM10 20172Department of Economics
- Popular Abstract
- Portfolio Optimization Models are common statistical tools used to find the optimal collection of a given set of financial assets, based on asset prices. Different models hold different attributes and the calibration is based on historical data. This thesis investigates how different Portfolio Optimization Models perform in circumstances where the historical development of the analysed assets is very different from the future.
Please use this url to cite or link to this publication:
http://lup.lub.lu.se/student-papers/record/8933891
- author
- Wirenholt, Tim LU
- supervisor
- organization
- course
- EXTM10 20172
- year
- 2018
- type
- H2 - Master's Degree (Two Years)
- subject
- keywords
- CVaR, Portfolio Optimization, MAD
- language
- English
- id
- 8933891
- date added to LUP
- 2018-09-26 08:24:40
- date last changed
- 2018-09-26 08:24:40
@misc{8933891, author = {{Wirenholt, Tim}}, language = {{eng}}, note = {{Student Paper}}, title = {{Comparing Portfolio Optimization Models}}, year = {{2018}}, }