Change search
ReferencesLink to record
Permanent link

Direct link
Portföljoptimering som alternativ till indexfonder: Hur skulle en fond konstruerad enligt portföljoptimeringsmodeller utvecklas i jämförelse med index?
Stockholm University, Faculty of Social Sciences, School of Business.
Stockholm University, Faculty of Social Sciences, School of Business.
2006 (Swedish)Independent thesis Advanced level (degree of Master (One Year)), 10 credits / 15 HE creditsStudent thesis
Abstract [sv]

This paper investigates the possibilities to construct automatized portfolios based on optimizations strategies that could outperform comparable indexes. The study is based on time-series of Swedish stocks dating from 1986 to 2006. In the research four different portfolio optimization techniques were studied. These were: the Classical Markowitz Approach, Mean-Absolute-Deviation, Minimum-Regret and Conditional Value-at-Risk of which the three latter are based on generated scenarios. The behaviour of these models was studied for different choices of parameters such as backward time-horizon and targeted average return. The constructed portfolios were then rebalanced on equidistributed occasions in time. The results indicate that portfolio optimization models could indeed generate a better return than index. Particularly, the Minimum-regret technique on average outperforms index significantly, whereas it does not rebalance the assets in the portfolio as often as the other scenario-based models. Markowitz shows good results when rebalanced quite infrequently.

Place, publisher, year, edition, pages
National Category
Business Administration
URN: urn:nbn:se:su:diva-6358OAI: diva2:196385
Available from: 2007-01-05 Created: 2007-01-05Bibliographically approved

Open Access in DiVA

fulltext(488 kB)615 downloads
File information
File name FULLTEXT01.pdfFile size 488 kBChecksum MD5
Type fulltextMimetype application/pdf

By organisation
School of Business
Business Administration

Search outside of DiVA

GoogleGoogle Scholar
Total: 615 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

Total: 728 hits
ReferencesLink to record
Permanent link

Direct link