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Comparing Portfolio Optimization Models

Wirenholt, Tim LU (2018) EXTM10 20172
Department 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.
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author
Wirenholt, Tim LU
supervisor
organization
course
EXTM10 20172
year
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}},
}