mdh.sePublications
Change search
CiteExportLink to record
Permanent link

Direct link
Cite
Citation style
  • apa
  • ieee
  • modern-language-association-8th-edition
  • vancouver
  • Other style
More styles
Language
  • de-DE
  • en-GB
  • en-US
  • fi-FI
  • nn-NO
  • nn-NB
  • sv-SE
  • Other locale
More languages
Output format
  • html
  • text
  • asciidoc
  • rtf
A Quantitative Risk Optimization of Markowitz Model: An Empirical Investigation on Swedish Large Cap List
Mälardalen University, Department of Mathematics and Physics.
Mälardalen University, Department of Mathematics and Physics.
2007 (English)Independent thesis Advanced level (degree of Master (One Year)), 20 credits / 30 HE creditsStudent 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. , 73 p.
Keyword [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: diva2:120810
Presentation
2007-06-26, Västerås, 13:00
Uppsok
Physics, Chemistry, Mathematics
Supervisors
Available from: 2007-08-03 Created: 2007-08-03 Last updated: 2010-10-21

Open Access in DiVA

fulltext(997 kB)19082 downloads
File information
File name FULLTEXT01.pdfFile size 997 kBChecksum MD5
0d76ac6c78001b7191abf71766b2c8b3e09fcfeab09708f470742527fe00ad94b630bb36
Type fulltextMimetype application/pdf

By organisation
Department of Mathematics and Physics
Mathematics

Search outside of DiVA

GoogleGoogle Scholar
Total: 19082 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: 1761 hits
CiteExportLink to record
Permanent link

Direct link
Cite
Citation style
  • apa
  • ieee
  • modern-language-association-8th-edition
  • vancouver
  • Other style
More styles
Language
  • de-DE
  • en-GB
  • en-US
  • fi-FI
  • nn-NO
  • nn-NB
  • sv-SE
  • Other locale
More languages
Output format
  • html
  • text
  • asciidoc
  • rtf