Sökning: "Multifactor model"
Visar resultat 1 - 5 av 33 uppsatser innehållade orden Multifactor model.
1. Multi-factor approximation : An analysis and comparison ofMichael Pykhtin's paper “Multifactor adjustment”
Uppsats för yrkesexamina på avancerad nivå, Umeå universitet/Institutionen för matematik och matematisk statistikSammanfattning : The need to account for potential losses in rare events is of utmost importance for corporations operating in the financial sector. Common measurements for potential losses are Value at Risk and Expected Shortfall. These are measures of which the computation typically requires immense Monte Carlo simulations. LÄS MER
2. Option pricing with Quadratic Rough Heston Model
Master-uppsats, Uppsala universitet/Sannolikhetsteori och kombinatorikSammanfattning : In this thesis, we study the quadratic rough Heston model and the corresponding simulation methods. We calibrate the model using real-world market data. We compare and implement the three commonly used schemes (Hybrid, Multifactor, and Multifactor hybrid). We calibrate the model using real-world market SPX data. LÄS MER
3. Predicting Equity Fund Returns: The Impact of the Momentum-Factor on Performance
Kandidat-uppsats, KTH/Matematisk statistikSammanfattning : Momentum has been a persistent and robust factor in explaining excess future returns, generating great interest from investors and financial analysts. Following the financial crisis of 2008 and the Covid-19 pandemic, there have been instances of significant momentum crashes. LÄS MER
4. Stockholm Stock Exchange and Environmental Rating – A Multifactor Analysis
Master-uppsats, Göteborgs universitet/Graduate SchoolSammanfattning : The thesis investigates if investors can generate positive abnormal performance by investing in Environmental high-rated stocks on the Stockholm stock exchange based on three screening strategies; positive, negative and best-in-class for value-weighted, long-only and long-short portfolios. The sample is between 2010-2020, using CAPM, Fama-French three factor model and Carhart four factor model. LÄS MER
5. Femte faktorn gillt? : En kvantitativ studie av Fama och Frenchs femfaktormodell på den svenska aktiemarknaden
Kandidat-uppsats, Södertörns högskola/FöretagsekonomiSammanfattning : Syfte: Syftet är att testa Fama och Frenchs femfaktormodell på den svenska aktiemarknaden. Detta genom att undersöka huruvida modellen kan statistiskt förklara portföljers genomsnittliga avkastning samt ifall specifika faktorer har statistisk signifikans. Metod: En kvantitativ studie med ett deduktivt förhållningssätt. LÄS MER