Sökning: "Market-Capitalization portfolio"

Visar resultat 1 - 5 av 25 uppsatser innehållade orden Market-Capitalization portfolio.

1. 1. The benefits of optimized portfolios- An empirical comparison between optimized portfolios and benchmarks

   Master-uppsats, Göteborgs universitet/Graduate School

   Författare :John Nestenborg; Simon Petersson; [2022-06-29]
   Nyckelord :Optimized portfolios; Global Minimum Variance; GMV; Equal Risk Contribution; ERC; Naive portfolio; Market-Capitalization portfolio; Comparison between portfolio weighting schemes;

   Sammanfattning : Uncertainty about the future is an everlasting part of investing. This study aims at testing the historical performance out-of-sample for optimized portfolios and if the performance was superior to benchmarks. 11 different portfolios are compared to two different benchmarks; the naive- and market-capitalized portfolio. LÄS MER

3. 2. ESG Portfolios in Different Markets - Investigating the Relationship Between ESG Performance and Financial Performance

   Master-uppsats, Lunds universitet/Nationalekonomiska institutionen

   Författare :Ludwig Wolff; [2022]
   Nyckelord :ESG Portfolios; Abnormal Returns; Carhart Four-Factor Model; U.S; Europe; Emerging markets; Business and Economics;

   Sammanfattning : By applying one of the largest datasets on ESG ratings to date with around 8000 companies included during the sample period between 2006-2021. This paper investigates the increasingly popular link between firms’ social and financial performance and the potential abnormal returns to be found using ESG investment strategies. LÄS MER

4. 3. A Neural Network Approach for Generating Investors’ Views in the Black-Litterman Model

   Master-uppsats, KTH/Matematik (Avd.)

   Författare :Rafael Lavatt; [2022]
   Nyckelord :Black-Litterman; Neural Networks; Portfolio Optimization; Black-Litterman; Neurala nätverk; portföljoptimering;

   Sammanfattning : This thesis investigates how neural networks can be used to produce investors' views for the Black-Litterman market model. The study uses two data sets, one with global stock market indexes and one with stock market data from the S&P 500. LÄS MER

5. 4. Performance of Small- and Large-cap stock portfolios- The importance of market anomalies across business cycles

   Master-uppsats, Göteborgs universitet/Graduate School

   Författare :Erik Hulth; [2021-06-30]
   Nyckelord :Stock performance; Market anomalies; Asset pricing; Portfolio sorting techniques; Factor-portfolio sorting techniques; Value effect; Size effect; Momentum effect; Temporal influences; Business cycles; GDP-gap; Single-and Multi- Factor models; CAPM; Fama-French Three-Factor model; Carhart Four-Factor model; Risk-adjusted equity returns; Sharpe Ratio; Jensen´s alpha; NASDAQ OMX and NYSE;

   Sammanfattning : This Master´s thesis investigated the importance of the market anomalies size (market capitalization), value (Book-to-Market ratio) and momentum (lagged short-term momentum) for equity returns of small- and large-cap composite stock portfolios. The study focused on two contrasting stock markets (NASDAQ OMX and NYSE) across domestic business cycles over the time-period 2006 to 2021. LÄS MER

7. 5. Stocks only go up: Discussions on WallStreetBets and their relationship with stock returns and trading activity

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

   Författare :Julius Döbbe; Philipp Probst; [2021]
   Nyckelord :WallStreetBets; Reddit; Investor Attention; Stock Returns; Trading Activity;

   Sammanfattning : We investigate the ability of stock ticker mentions on the online message board Reddit WallStreetBets (WSB) to forecast abnormal stock returns and trading activity. By simply counting the number of times a stock is mentioned on WSB, we construct a novel and direct measure of investor attention. In a sample of more than 2,500 U.S. LÄS MER