Sökning: "Multifactor models"

Visar resultat 1 - 5 av 14 uppsatser innehållade orden Multifactor models.

  1. 1. Multi-factor approximation : An analysis and comparison ofMichael Pykhtin's paper “Multifactor adjustment”

    Uppsats för yrkesexamina på avancerad nivå, Umeå universitet/Institutionen för matematik och matematisk statistik

    Författare :Michael Zanetti; Philip Güzel; [2023]
    Nyckelord :Credit risk; Value at Risk; Expected Shortfall; Monte Carlo simulation; Advanced Internal Rantings-Based models; Kreditrisk; Value at Risk; Expected Shortfall; Monte Carlo simulation; Advanced Internal Rantings-Based-modeller;

    Sammanfattning : The need to account for potential losses in rare events is of utmost importance for corporations operating in the financial sector. Common measurements for potential losses are Value at Risk and Expected Shortfall. These are measures of which the computation typically requires immense Monte Carlo simulations. LÄS MER

  3. 2. Option pricing with Quadratic Rough Heston Model

    Master-uppsats, Uppsala universitet/Sannolikhetsteori och kombinatorik

    Författare :Marina Dushkina; [2023]
    Nyckelord :option pricing; rough volatility models; Heston model; Monte Carlo methods; calibration; quadratic rough Heston model; volatility smile;

    Sammanfattning : In this thesis, we study the quadratic rough Heston model and the corresponding simulation methods. We calibrate the model using real-world market data. We compare and implement the three commonly used schemes (Hybrid, Multifactor, and Multifactor hybrid). We calibrate the model using real-world market SPX data. LÄS MER

  4. 3. Stockholm Stock Exchange and Environmental Rating – A Multifactor Analysis

    Master-uppsats, Göteborgs universitet/Graduate School

    Författare :Carl Helldén; Julia Lamers; [2022-06-29]
    Nyckelord :ESG; Environmental; asset pricing models; screening strategies;

    Sammanfattning : The thesis investigates if investors can generate positive abnormal performance by investing in Environmental high-rated stocks on the Stockholm stock exchange based on three screening strategies; positive, negative and best-in-class for value-weighted, long-only and long-short portfolios. The sample is between 2010-2020, using CAPM, Fama-French three factor model and Carhart four factor model. LÄS MER

  5. 4. Femte faktorn gillt? : En kvantitativ studie av Fama och Frenchs femfaktormodell på den svenska aktiemarknaden

    Kandidat-uppsats, Södertörns högskola/Företagsekonomi

    Författare :Niklas Lindqvist; Sebastian Löthner; [2021]
    Nyckelord :Fama-French Five Factor Model; Swedish stock market; Portfolio management; Asset pricing; Multifactor models; Fama-French femfaktormodell; Svenska aktiemarknaden; Portföljförvaltning; Prissättning av tillgångar; Multifaktormodeller;

    Sammanfattning : Syfte: Syftet är att testa Fama och Frenchs femfaktormodell på den svenska aktiemarknaden. Detta genom att undersöka huruvida modellen kan statistiskt förklara portföljers genomsnittliga avkastning samt ifall specifika faktorer har statistisk signifikans. Metod: En kvantitativ studie med ett deduktivt förhållningssätt. LÄS MER

  7. 5. Is Sustainability Profitable?

    Kandidat-uppsats, Lunds universitet/Företagsekonomiska institutionen

    Författare :Nils Betsholtz; Anton Lindström; Edvard Wennerberg; [2020]
    Nyckelord :ESG; STOXX 600; Fama-French multifactor factor model; CAPM; Carhart four-factor model; Panel data fixed effect; Business and Economics;

    Sammanfattning : This paper examines the relationship between the ESG-score, including its pillars Environment, Social and Governance and market return from July 2002 through June 2018 by using the Stoxx Europe 600 index. The comparison is done by applying a portfolio approach and panel data fixed effect approach. LÄS MER