Sökning: "Effective portfolio"

Visar resultat 1 - 5 av 97 uppsatser innehållade orden Effective portfolio.

  1. 1. Modelling the Exchange Rate: Evidence from the Impacts of Quantitative Easing in Sweden

    D-uppsats, Handelshögskolan i Stockholm/Institutionen för nationalekonomi

    Författare :Anny Eklund; Markus Sallkvist; [2024]
    Nyckelord :Quantitative easing; Exchange rate; Bayesian VAR model; Small open economy; Triangular factorisation;

    Sammanfattning : Quantitative easing, the unconventional monetary policy measure used by many central banks to combat low inflation when interest rates are at the lower bound, has shown to be an effective tool for depreciating the domestic currency. Although the exchange rate is of particular importance in a small open economy as it directly impacts inflation dynamics,trade competitiveness and plays a substantial role in shaping monetary policy, few papers have investigated how the depreciating effect of QE to the exchange rate works. LÄS MER

  3. 2. Portfolio Strategies Under Different Inflationary Regimes

    Master-uppsats, KTH/Matematik (Avd.)

    Författare :Mohit Parkash; Diana Halladgi Naghadeh; [2023]
    Nyckelord :Inflation; Regression Analysis; Portfolio Optimization; Markowitz; Efficient Frontier; Asset Allocation; Portfolio Management; Financial Mathematics; Inflation; Regressionsanalys; Portföljoptimering; Markowitz; Effektiv Front; Tillgångsallokering; Portföljförvaltning; Finansiell Matematik;

    Sammanfattning : In 2023, the topic of ongoing inflation is being discussed almost daily as it has become inevitable. The global economy is facing significant uncertainty and downward pressure as several leading developed nations adopted expansionary fiscal policies and quantitative easing monetary policies during the pandemic. LÄS MER

  4. 3. Can Machine Be a Good Stock Picker?: Bridging the Gap between Fundamental Data and Machine Learning

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

    Författare :Tomoya Narita; Povilas Stankevicius; [2023]
    Nyckelord :Machine Learning; XGBoost; Relative Valuation; Convergence Trade;

    Sammanfattning : We investigate the efficacy of historical accounting data and consensus forecasts for relative valuation of stocks, employing tree-based machine learning methods. We run an XGBoost model for monthly cross-sections of financial and pricing data of US equities from 1984 to 2021. LÄS MER

  5. 4. Portfolio Optimization Problems with Cardinality Constraints

    Kandidat-uppsats, KTH/Skolan för teknikvetenskap (SCI)

    Författare :Abolgasem Esmaeily; Felix Loge; [2023]
    Nyckelord :Portfolio Optimization; Modern Portfolio Theory MPT • Mixed Integer Programming MIP ; Efficient Frontier; Cardinality Constraints; Daily Returns; Expected Returns; Asset Allocation; Diversification;

    Sammanfattning : This thesis analyzes the mean variance optimization problem with respect to cardinalityconstraints. The aim of this thesis is to figure out how much of an impact transactionchanges has on the profit and risk of a portfolio. We solve the problem by implementingmixed integer programming (MIP) and solving the problem by using the Gurobi solver. LÄS MER

  7. 5. Etik och avkastning - en Nordisk studie i hur ESG-selektion påverkar avkastning.

    Kandidat-uppsats, Lunds universitet/Företagsekonomiska institutionen

    Författare :Markus Lemaitre; Ludvig Nilsson; Martin Nilsson; [2023]
    Nyckelord :SRI; ESG; Unethical; Risk-adjusted return; Excess return; Effective portfolio; Business and Economics;

    Sammanfattning : Studiens syfte är att undersöka huruvida ESG-profilering påverkar aktiers prestation sett till avkastning på den nordiska marknaden.... LÄS MER