Sökning: "Naive portfolio"

Visar resultat 1 - 5 av 16 uppsatser innehållade orden Naive portfolio.

1. 1. Predicering av aktiekursutveckling för svenska aktier utifrån konjunkturdata

   Kandidat-uppsats, KTH/Skolan för elektroteknik och datavetenskap (EECS)

   Författare :Edward Ehrling; Felix Dahl; [2023]
   Nyckelord :;

   Sammanfattning : This study aims to investigate whether Swedish economic indicators can be used to predict stock market performance on the Stockholm Stock Exchange. The study is expected to contribute to new research in the field and also explore the potential utility of these predictions for individual investors. LÄS MER

3. 2. An Artificial Neural Network Approach to Algorithmic Trading

   Master-uppsats, Lunds universitet/Matematisk statistik

   Författare :Timmie Bengtsson; [2023]
   Nyckelord :Financial Markets; Machine Learning; Long Short-Term Memory; Gated Recurrent Unit; Recurrent Neural Networks; Time Series Analysis; Algorithmic Trading; Mathematics and Statistics;

   Sammanfattning : The field of machine learning has advanced significantly in recent decades, and, at the same time, computational power has improved to the point where training large machine learning models, such as artificial neural networks, is now accessible. Consequently, there has been a rise in the use of these models within the financial sector, with some firms leveraging them to assist with investment decisions. LÄS MER

4. 3. 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

5. 4. Black-Litterman Model for Portfolio Performance Enhancement - An Out-Of-Sample Evaluation of the Black-Litterman Model on a U.S. Stock-Dominated Portfolio

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

   Författare :Christoffer Hellekant; Rasmus Olofsson; [2022-02-15]
   Nyckelord :;

   Sammanfattning : In this thesis, the Black-Litterman model is evaluated out-of-sample and compared to mean-variance and naïve allocation. Two references are implemented in the Black-Litterman framework, the minimum-variance and naive portfolios. The study complements previ-ous work by considering a stock-dominated portfolio, where all assets are from the U.S. LÄS MER

7. 5. Deep Reinforcement Learning Approach to Portfolio Optimization

   Kandidat-uppsats, Lunds universitet/Nationalekonomiska institutionen

   Författare :Lorik Sadriu; [2022]
   Nyckelord :Deep Reinforcement Learning; Portfolio Optimization; Portfolio performance; EMH; Business and Economics;

   Sammanfattning : This paper evaluates whether a deep reinforcement learning (DRL) approach can be implemented, on the Swedish stock market, to optimize a portfolio. The objective is to create and train two DRL algorithms that can construct portfolios that will be benchmarked against the market portfolio, tracking OMXS30, and the two conventional methods, the naive portfolio, and minimum variance portfolio. LÄS MER