The objective of robust portfolio optimization is to find a way to allocate capital to some financial assets such that portfolio return is maximized in the worst-case scenario, which is desirable for investors with a low tolerance for risk. This study aims to apply the robust approach to asset allocation based on 30 of the biggest stocks on the Stockholm Stock Exchange. Three models with different constraints on portfolio return and variance are obtained and solved using the Gurobi Optimizer. The result of any one of the models could be proposed as a low-risk portfolio. The choice between the models is a trade-off between higher expected return and lower variance, and it depends on the individual preferences of the investor.
| Identifer | oai:union.ndltd.org:UPSALLA1/oai:DiVA.org:kth-330261 |
| Date | January 2023 |
| Creators | Mårtensson, Anna, Frisk Gärtner, Edith |
| Publisher | KTH, Skolan för teknikvetenskap (SCI) |
| Source Sets | DiVA Archive at Upsalla University |
| Language | English |
| Detected Language | English |
| Type | Student thesis, info:eu-repo/semantics/bachelorThesis, text |
| Format | application/pdf |
| Rights | info:eu-repo/semantics/openAccess |
| Relation | TRITA-SCI-GRU ; 2023:105 |
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