Sökning: "Multi Factor Model"

Visar resultat 1 - 5 av 88 uppsatser innehållade orden Multi Factor Model.

  1. 1. Arbitrage Pricing Theory: A study on the Stockholm Stock

    Kandidat-uppsats, Göteborgs universitet/Institutionen för nationalekonomi med statistik

    Författare :Richard Johansson; Pierre Petersson; [2019-03-01]
    Nyckelord :Arbitrage Pricing Theory; APT; Stockholm Stock Exchange; Macroeconomic Factors; Multi Factor Model;

    Sammanfattning : This thesis investigates the macroeconomic factors that affect the returns on the different portfolios in Stockholm Stock Exchange by using Arbitrage Pricing Theory (Stephen Ross 1976). We use the portfolios of Large Cap, Mid Cap, Small Cap, and All Caps. Specifically, multiple index model is used. The sample period is 2012-2017. LÄS MER

  2. 2. Performance Evaluation of Small- and Large-cap stocks - The importance of size effects on the Swedish equity market

    Kandidat-uppsats, Göteborgs universitet/Institutionen för nationalekonomi med statistik

    Författare :Andreas Carlsson; Erik Hulth; [2019-02-20]
    Nyckelord :Performance Evaluation; Asset pricing; Size Effect; Sharpe Ratio; Treynor ratio; Jensen´s alpha; Risk-Adjusted Returns; Fama-French Three-Factor Model; Carhart Four-Factor Model; Multi-factor models; Single-factor model;

    Sammanfattning : This Bachelor´s thesis investigated the performance of small-cap stocks and large-cap stocks on the Swedish equity market (NASDAQ OMX) over the years 2011 to 2016. A number of studies focused on asset pricing have during the last decades indicated that the original Capital Asset Pricing Model (CAPM) is misspecified and has limited power to explain cross-sectional and temporal variations in expected equity returns. LÄS MER

  3. 3. Maximum Predictability Portfolio Optimization

    Master-uppsats, KTH/Matematik (Avd.)

    Författare :Nazim Huseynov; [2019]
    Nyckelord :Portfolio optimization; linear programming; multi-factor model; Portföljoptimering; linjär optimering; multifaktormodell;

    Sammanfattning : Harry Markowitz work in the 50’s spring-boarded modernportfolio theory. It gives investors quantitative tools to compose and assessasset portfolios in a systematic fashion. The main idea of the Mean-Varianceframework is that composing an optimal portfolio is equivalent to solving aquadratic optimization problem. LÄS MER

  4. 4. Browsing behaviour in complex ungulate multi-species systems in Southern Sweden

    Master-uppsats, SLU/Dept. of Wildlife, Fish and Environmental Studies

    Författare :Jonatan Sandberg; [2019]
    Nyckelord :browsing pressure; interspecific competition; multi-species;

    Sammanfattning : In recent years several of the ungulate species present in Sweden have increased in both densities and distribution. Browsing pressure has mainly been attributed to moose but recent research shows that with more complex ungulate ecosystems new interactions and connections might emerge. LÄS MER

  5. 5. Odyssea – en reserapport från en konstnärlig odyssé

    Master-uppsats, Göteborgs universitet/Högskolan för scen och musik

    Författare :Mats Gustavii; [2018-12-17]
    Nyckelord :Music; Artistic studies; Sound; Sound design; 2001: A Space Odyssey; C. Fuglesang; J. Wingstedt; Narrative music; Space;

    Sammanfattning : The purpose of this study is to analyze and describe various sources of artistic inspiration and, inaddition, how other aspects have influenced a compositional process of which both the inclusion andexclusion of sound have been critical factors.The primary sources of inspiration are the sound designs of the science fiction movie genre; createdby humans for humans from the perspective as to how it actually sounds in space. LÄS MER