NDLTD Global ETD Search
  • Refine Query
  • Source
  • Publication year
  • to
  • Language
  • 1
  • Tagged with
  • 1
  • 1
  • 1
  • 1
  • 1
  • 1
  • 1
  • 1
  • 1
  • 1
  • 1
  • 1
  • 1
  • 1
  • 1
  • About
  • The Global ETD Search service is a free service for researchers to find electronic theses and dissertations. This service is provided by the Networked Digital Library of Theses and Dissertations.
    Our metadata is collected from universities around the world. If you manage a university/consortium/country archive and want to be added, details can be found on the NDLTD website.

Search results

Showing 1 to 1 of 1 (0.333 seconds)
1

The Omega Function : A Comparison Between Optimized Portfolios

Salih, Ali January 2011 (has links)
The traditional way to analyze stocks and portfolios within the area of finance have been restricted to Sharpe and Markovitz. The Omega function and its properties enlighten the field of finance and differs from the traditional ways when it comes to the volatility of the stocks. The Omega function, the Sharpe performance criteria and mean-variance model by Markovitz will be used. All calculations are done in Matlab and the data sheets are excel tables. The aim of this thesis is to investigate the nordic small cap market by using the Omega function, Sharpe performance criteria and the mean variance model by Markovitz. In order to to see how the purposed methods differs.
Portfolio
Portfolio theory
optimising
optimizing
optimization
optimisation
Omega
Omega function
sharpe
sharpe ratio
ranking assets
markowitz
transaction cost

Page generated in 0.3365 seconds