<p>In this thesis, portfolio optimisation is used to evaluate if a specific sample of portfolios have</p><p>a higher risk level or lower expected return, compared to what may be obtained through</p><p>optimisation. It also compares the return of optimised portfolios with the return of the original</p><p>portfolios. The risk analysis software Aegis Portfolio Manager developed by Barra is used for</p><p>the optimisations. With the expected return and risk level used in this thesis, all portfolios can</p><p>obtain a higher expected return and a lower risk. Over a six-month period, the optimised</p><p>portfolios do not consistently outperform the original portfolios and therefore it seems as</p><p>though the optimisation do not improve the return of the portfolios. This might be due to the</p><p>uncertainty of the expected returns used in this thesis.</p>
| Identifer | oai:union.ndltd.org:UPSALLA/oai:DiVA.org:uu-6397 |
| Date | January 2006 |
| Creators | Mårtensson, Jonathan |
| Publisher | Uppsala University, Department of Economics, Uppsala : Nationalekonomiska institutionen |
| Source Sets | DiVA Archive at Upsalla University |
| Language | English |
| Detected Language | English |
| Type | Student thesis, text |
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