Sökning: "Olga Gladuniak"

Hittade 1 uppsats innehållade orden Olga Gladuniak.

  1. 1. Factor Sensitivities to Alternative Macroeconomic Environments

    D-uppsats, Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

    Författare :Olga Gladuniak; [2017]
    Nyckelord :smart beta; factor investing; Markov switching models; dynamic portfolios;

    Sammanfattning : In this thesis, we examine how different factors are exposed to alternative macroeconomic environments. We apply a range of different approaches in order to explore these relationships. Firstly, we analyse mean excess returns and Sharpe ratios of factors in different macroeconomic regimes. LÄS MER