Sökning: "varians för aktier"
Visar resultat 1 - 5 av 8 uppsatser innehållade orden varians för aktier.
1. Impact of Quantitative and Qualitative Parameters on Stock Performance
Kandidat-uppsats, KTH/Matematisk statistikSammanfattning : Stocks belonging to publicly traded companies is a topic which in society is mystified and by some considered to be an unpredictable phenomenon where you either make an economic loss or gain seemingly by chance. Despite this, there are numerous fields of work where the sole purpose is to predict the movement of stocks in order to maximize economic gain. LÄS MER
2. Online intra-day portfolio optimization using regime based models
Uppsats för yrkesexamina på avancerad nivå, Lunds universitet/Matematisk statistikSammanfattning : In this thesis model predictive control (MPC) is used to dynamically optimize a portfolio where the data is sampled every 5 minutes. Previous research has shown how MPC optimization applied to daily sampled financial data can generate a portfolio that exceeds the value of standard portfolio strategies such as Strategic asset allocation. LÄS MER
3. Beating the MSCI USA Index by Using Other Weighting Techniques
Master-uppsats, KTH/Matematisk statistikSammanfattning : In this thesis various portfolio weighting strategies are tested. Their performance is determined by their average annual return, Sharpe ratio, tracking error, information ratio and annual standard deviation. LÄS MER
4. Price Impact Correlation Between Buy-/Sell-Pressure in the Stock Market and Subsequent Price Changes
Master-uppsats, Lunds universitet/Matematisk statistikSammanfattning : In this thesis, the correlation between aggregated buy-/sell-pressure and price change is analyzed, something often referred to as price impact. The purpose is not only to find a model that can explain how prices change given a certain traded volume, but also to see how much of the variance in price changes results from the actual buy- or sell-pressure. LÄS MER
5. Robust portfolio optimization with Expected Shortfall
Master-uppsats, KTH/Matematisk statistikSammanfattning : This thesis project studies robust portfolio optimization with Expected Short-fall applied to a reference portfolio consisting of Swedish linear assets with stocks and a bond index. Specifically, the classical robust optimization definition, focusing on uncertainties in parameters, is extended to also include uncertainties in log-return distribution. LÄS MER