A Quantitative Risk Optimization of Markowitz Model: An Empirical Investigation on Swedish Large Cap List
2007 (English)Independent thesis Advanced level (degree of Master (One Year)), 20 credits / 30 HE credits
Student thesis
Abstract [en]
This paper is an empirical study on Harry Markowitz work on Modern Portfolio Theory. The model introduced by him assumes the normality of assets’ return. We examined the OMX Large Cap List1 by mathematical and statistical methods for normality of assets’ returns. We studied the effect of the parameters, Skewness and Kurtosis for different time series data. We tried to figure it out which data series is better to construct a portfolio and how these extra parameters can make us better informed in our investments.
Place, publisher, year, edition, pages
Västerås: Mälardalens högskola , 2007. , p. 73
Keywords [en]
Optimisation, Portfolio theory, Stock Market, Markowitz, Excel Modeling, VaR, Sharpe ratio
National Category
Mathematics
Identifiers
URN: urn:nbn:se:mdh:diva-333OAI: oai:DiVA.org:mdh-333DiVA, id: diva2:120810
Presentation
2007-06-26, Västerås, 13:00
Uppsok
Physics, Chemistry, Mathematics
Supervisors
2007-08-032007-08-032010-10-21