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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
2006.
National Category
Business Administration
Identifiers
URN: urn:nbn:se:su:diva-6358OAI: oai:DiVA.org:su-6358DiVA: diva2:196385
Uppsok
samhälle/juridik
Available from: 2007-01-05 Created: 2007-01-05Bibliographically approved

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fulltext(488 kB)654 downloads
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CiteExportLink to record
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Citation style
  • apa
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  • vancouver
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Language
  • de-DE
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  • en-US
  • fi-FI
  • nn-NO
  • nn-NB
  • sv-SE
  • Other locale
More languages
Output format
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  • asciidoc
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