Sökning: "Sharpe-kvot"
Visar resultat 1 - 5 av 25 uppsatser innehållade ordet Sharpe-kvot.
1. Robust Portfolio Optimization with Correlation Penalties
Master-uppsats, KTH/Matematisk statistikSammanfattning : Robust portfolio optimization models attempt to address the standard optimization method's high sensitivity to noise in the parameter estimates, by taking an investor's uncertainty about the estimates into account when finding an optimal portfolio. In this thesis, we study robust variations of an extension of the mean-variance problem, where an additional term penalizing the portfolio's correlation with an exogenous return sequence is included in the objective. LÄS MER
2. Hållbara investeringar under coronapandemin : En analys om sambandet mellan hållbarhet och prestation
Uppsats för yrkesexamina på avancerad nivå, Umeå universitet/FöretagsekonomiSammanfattning : I takt med att miljömedvetenheten har ökat i samhället har även intresset för hållbara investeringar ökat. Den här studien undersöker prestationen hos svenska hållbara fonder mot svenska konventionella fonder under coronapandemin. LÄS MER
3. The Black-Litterman Asset Allocation Model - An Empirical Analysis of Its Practical Use
Master-uppsats, KTH/Matematik (Avd.)Sammanfattning : Modern portfolio theory has its attractive characteristics of promoting diversification in a portfolio and can be seen as an easy alternative for setting optimal weights for portfolio managers. Furthermore, as portfolio managers try to beat a defined benchmark for their portfolio the Black-Litterman model allows them to include their own prospects on the future return of markets and securities. LÄS MER
4. Värdeinvestering på Stockholmsbörsen : En kvantitativ studie om den effektiva maknadshypotesen och värdeinvesteringsstrategier på Stockholmsbörsen
Kandidat-uppsats, Linnéuniversitetet/Institutionen för ekonomistyrning och logistik (ELO)Sammanfattning : This study examines the total cumulative return and the total risk-adjusted return for OMXSPI and the two investment strategies The Magic Formula and The Acquirer’s Multiple. The aim is to find out if it’s possible to beat the market over time in contradiction to the efficient market hypothesis. LÄS MER
5. Den Magiska Formeln : En studie om magiska formeln och effekterna av olika portföljstorlekar på avkastningen
Kandidat-uppsats, Linnéuniversitetet/Institutionen för ekonomistyrning och logistik (ELO)Sammanfattning : This study will investigate how Joel Greenblatts magic formula has performed on the Swedish stock market compared to the OMXSPI index. The study will also investigate how different portfolio sizes when using the magic formula will perform in a risk perspective to see if it has been more rewardable to take more risk. .. LÄS MER