Sökning: "Quantitative Backtesting"

Visar resultat 1 - 5 av 7 uppsatser innehållade orden Quantitative Backtesting.

  1. 1. Quantitative Investment Strategies on the Swedish Stock Market

    Kandidat-uppsats, Mälardalens universitet/Akademin för utbildning, kultur och kommunikation

    Författare :Jonatan Knutsson; Gabija Telešova; [2023]
    Nyckelord :Quantitative investment strategies; Quantitative trading strategies; Dividend yield strategy; EV EBITDA strategy; Momentum strategy; Equal-weighted portfolios; Value-weighted portfolios; Swedish stock market.;

    Sammanfattning : This thesis explores the implementation of three quantitative investment strategies – the dividend yield strategy, the EV/EBITDA strategy, and the momentum strategy – within the Swedish stock market using Equal-Weighted Portfolios (EWP) and Value-Weighted Portfolios(VWP). The analysis is based on backtesting during the periods 2009 − 2022, 2001 − 2022, and 1992 − 2022, for each strategy respectively. LÄS MER

  3. 2. Backtesting of simulated method for Counterparty Credit Risk

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

    Författare :Love Lundström; Oscar Öhman; [2020]
    Nyckelord :Counterparty Credit Risk; Risk Factor; Monte Carlo Simulation; Quantitative Backtesting; Statistical Backtesting; OTC Derivative;

    Sammanfattning : After the financial crisis of 2008 regulators found that the derivative market, where financial institutions traded OTC derivatives with each other, played a significantrole in triggering the crisis. This led to the emergence of Counterparty Credit Risk(CCR) which is used to measure the exposure banks have to their counterparties. LÄS MER

  4. 3. Performance testing theblack-litterman model on OMXS30

    Kandidat-uppsats, Stockholms universitet/Finansiering

    Författare :Fredrik Marcusson; Patrik Petersson; [2019]
    Nyckelord :performance testing; omx30; black-litterman; portfolio theory;

    Sammanfattning : An investor wants to maximize return at the cost of as little risk as possible and theBlack-Litterman model can help see that this condition is met. This thesis willinvestigate whether a portfolio created by using modern portfolio theory can beat thebenchmark index in terms of risk-adjusted return during a five year backtest period(2013-2017). LÄS MER

  5. 4. Volatility and variance swaps : A comparison of quantitative models to calculate the fair volatility and variance strike

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

    Författare :Johan Röring; [2017]
    Nyckelord :;

    Sammanfattning : Volatility is a common risk measure in the field of finance that describes the magnitude of an asset’s up and down movement. From only being a risk measure, volatility has become an asset class of its own and volatility derivatives enable traders to get an isolated exposure to an asset’s volatility. LÄS MER

  7. 5. Backtesting expected shortfall: A quantitative evaluation

    Master-uppsats, KTH/Matematisk statistik

    Författare :Johan Engvall; [2016]
    Nyckelord :;

    Sammanfattning : How to measure risk is an important question in finance and much work has been done on how to quantitatively measure risk. An important part of this measurement is evaluating the measurements against the outcomes a procedure known as backtesting. A common risk measure is Expected shortfall for which how to backtest has been debated. LÄS MER