Tid: 1 juni 2018 kl 13.00-13.35.

Föredragshållare: Gustav Rehnman och Nils Tesch

Title: Application of mean absolute deviation optimization in portfolio management

Abstract: This thesis is an implementation project of a portfolio optimization model, with the purpose of creating a decision support tool. It aims to provide quantitative input to the portfolio construction process at Handelsbanken Fonder, by applying Konno and Yamazaki's Mean Absolute Deviation method, with a Feinstein and Thapa modification. Additionally, the Black-Litterman model is implemented to approximate the input of expected return. The linear optimization problem was then solved by the Simplex algorithm. The main deliverable is a model that can assist portfolio managers in making investment decisions. Back-testing of the model showed that it did not outperform the benchmark portfolios, which is likely a result of only allowing long positions in the model. Nevertheless, the model provides value by giving the user a second opinion on the efficient frontier, for any given investment decision.

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