A performance investigation and evaluation of selected portfolio optimization methods with varying assets and market scenarios
This study investigates and evaluates how different portfolio optimization methods perform when varying assets and financial market scenarios. Methods included are mean variance, Conditional Value-at-Risk, utility based, risk factor based and Monte Carlo optimization. Market scenarios are represente...
| Main Authors: | , |
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| Format: | Others |
| Language: | English |
| Published: |
KTH, Matematisk statistik
2016
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| Subjects: | |
| Online Access: | http://urn.kb.se/resolve?urn=urn:nbn:se:kth:diva-190997 |