Sökning: "Black Swans"

Visar resultat 1 - 5 av 10 uppsatser innehållade orden Black Swans.

  1. 1. CAPM Beta and Geopolitical Risk

    Master-uppsats, Lunds universitet/Nationalekonomiska institutionen

    Författare :Filip Ternemo; [2022]
    Nyckelord :Black Swan Investing; CAPM Beta; Excess Returns; Geopolitical Risk; Mean Reversion.; Business and Economics;

    Sammanfattning : Recent years, geopolitical risks have dominated the news feed for the financial markets. There have historically been some geopolitical events that have resulted in major declines in the stock market and such a market day can be classified as a geopolitical Black Swan. LÄS MER

  3. 2. Accuracy of Risk Measures For Black Swan Events

    Kandidat-uppsats, KTH/Matematisk statistik

    Författare :Viktor Barry; [2021]
    Nyckelord :Black swans; value at risk; conditional value at risk; monte carlo simulation; financial mathematics; risk analysis; financial risk; Black Swan; value at risk; conditional value at risk; monte carlo-simulering; finansiell matematik; riskanalys; finansiell risk;

    Sammanfattning : This project aims to analyze the risk measures Value-at-Risk and Conditional-Value-at-Risk for three stock portfolios with the purpose of evaluating each method's accuracy in modelling Black Swan events. This is achieved by utilizing a parametric approach in the form of a modified (C)VaR with a Cornish-Fisher expansion, a historic approach with a time series spanning ten years and a Markov Monte Carlo simulation modeled with a Brownian motion. LÄS MER

  4. 3. Black Swan Investments : How to manage your investments when the market is in distress

    Kandidat-uppsats, Linnéuniversitetet/Institutionen för ekonomistyrning och logistik (ELO)

    Författare :William Knutsson; David Ekeroth; [2020]
    Nyckelord :Black Swans; mean reversion; beta; investment strategy; volatility; CAPM; Sharpe ratio; DJIA;

    Sammanfattning : This study examines how investors can take advantage of Black Swan events by applying an investment strategy that involves investing in stocks that have performed badly during Black Swan events. The stocks are chosen from and compared to the Dow Jones Industrial Average Index. LÄS MER

  5. 4. Black Swan Investing: An empirical study in context of efficient markets

    Magister-uppsats, Lunds universitet/Företagsekonomiska institutionen

    Författare :Aleksis Tastsidis Olsson; Pontus Löfberg; [2014]
    Nyckelord :Black Swans; Efficient market hypothesis; Fat-tails; Kelly criterion; Outliers; Trading strategy; Unknown unknowns; Business and Economics;

    Sammanfattning : Purpose: The purpose of this paper is to assess the sustainability of the efficient market theorem when accounting for extreme events, which are of the essence in a Black Swan investment philosophy. Methodology: Quantitative approach. LÄS MER

  7. 5. Excess Returns with Black Swan Investing on the Indian Stock Market

    Magister-uppsats, Lunds universitet/Nationalekonomiska institutionen

    Författare :Jonas Nihlén; Jakob Malm; [2014]
    Nyckelord :Black Swan; Mean Reversion; Beta; Excess Returns; Emerging Markets; India; Business and Economics;

    Sammanfattning : Previous studies have shown a significant relation between the beta value and return of a stock. In our study we show that excess returns on the National Stock Exchange in India can be obtained by using a Black-Swan investment strategy, with beta as a portfolio- building tool. LÄS MER