Portfolio Inversion : Finding Market State Probabilities From Optimal Portfolios
In this project, we aim to find a method for obtainingthe factors in a bull/bear market factor model for asset returnand variance, given an optimal portfolio. The proposed methodwas derived using the Karush-Kuhn-Tucker (KKT) conditionsfor optimal solutions to the convex Markowitz portfolio selection...
| Main Authors: | , |
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| Format: | Others |
| Language: | English |
| Published: |
KTH, Skolan för teknikvetenskap (SCI)
2018
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| Subjects: | |
| Online Access: | http://urn.kb.se/resolve?urn=urn:nbn:se:kth:diva-230166 |