Sökning: "FACTOR MIMICKING PORTFOLIO"

Hittade 5 uppsatser innehållade orden FACTOR MIMICKING PORTFOLIO.

  1. 1. There Is Nothing Certain But The Uncertain

    Magister-uppsats, Lunds universitet/Nationalekonomiska institutionen

    Författare :Hannes Thorstensson; Carl Tjernberg; [2023]
    Nyckelord :Uncertainty; Vol-of-vol; Ambiguity; Asset Pricing; Business and Economics;

    Sammanfattning : Risk and risk aversion are crucial concepts in finance. Models in finance typically assume a known probability distribution of returns, which does often not hold in reality. This papers aims to measure the uncertainty surrounding the probability distribution in equity markets and to evaluate if such uncertainty is priced. LÄS MER

  3. 2. Responsible Investing: Costs and Benefits. A Cross-Country Study in Europe.

    Magister-uppsats, Lunds universitet/Nationalekonomiska institutionen

    Författare :Shayan Meskinimood; [2021]
    Nyckelord :Responsible investing; Environmental awareness; Portfolio performance; ESG-Sharpe Ratio frontier; ESG-adjusted CAPM.; Business and Economics;

    Sammanfattning : This study employs the ESG-Sharpe Ratio frontiers framework and the ESG-adjusted CAPM model, introduced by Pedersen et al. (2020), to identify the costs and benefits of responsible investing and investigate the relationship between the environmental, social, and governance (ESG) issues and portfolio performance in different countries across Europe. LÄS MER

  4. 3. Multiple factor models for equities : An empirical study of the performance of factor mimicking portfolios

    Uppsats för yrkesexamina på avancerad nivå, Umeå universitet/Institutionen för matematik och matematisk statistik

    Författare :Christoffer Forssén; Gustav Åhs; [2017]
    Nyckelord :;

    Sammanfattning : The trade-off between risk and return for equities has long been a challenge for portfolio and risk managers in order to create financial success and stability. This issue has led to several researchers trying to explain equity returns through various factor models. LÄS MER

  5. 4. Is Default Risk Systematic? An Augmentation of the Fama and French Three-Factor Model with Credit-Default Swap Spreads

    Magister-uppsats, Lunds universitet/Företagsekonomiska institutionen

    Författare :Philip Hagander; Karl Egervall; [2013]
    Nyckelord :DEFAULT RISK; FAMA AND MACBETH; EQUITY PRICING; SYSTEMATIC RISK; FACTOR MIMICKING PORTFOLIO TECHNIQUE.; Business and Economics;

    Sammanfattning : The purpose of the study is to quantitatively verify the systematic property of default risk and to statistically test if adding a default risk factor to the Fama and French Three-Factor Model can enhance its performance. The applied method is derived from the Fama and French Three- factor methodology and enhancing it with an additional default risk factor. LÄS MER

  7. 5. Default Risk in Equity Returns

    Master-uppsats, Lunds universitet/Företagsekonomiska institutionen

    Författare :Aracelly Del Carmen Holst; Olena Martynenko; [2010]
    Nyckelord :FACTOR RISK PREMIUM; FACTOR MIMICKING PORTFOLIO; ASSET PRICING; DEFAULT RISK; Management of enterprises; Företagsledning; management; Business and Economics;

    Sammanfattning : Purpose: The current thesis assignment aims to quantitatively verify systematic character of default risk and the statistical quality of the competing three- and four-factor asset pricing models. Method: The experimental design applied to this study is premised on the three-factor model of Fama and French enhanced by default risk factor. LÄS MER