Sökning: "Robust Skewness"
Visar resultat 1 - 5 av 11 uppsatser innehållade orden Robust Skewness.
1. Robust Portfolio Optimization with Correlation Penalties
Master-uppsats, KTH/Matematisk statistikSammanfattning : Robust portfolio optimization models attempt to address the standard optimization method's high sensitivity to noise in the parameter estimates, by taking an investor's uncertainty about the estimates into account when finding an optimal portfolio. In this thesis, we study robust variations of an extension of the mean-variance problem, where an additional term penalizing the portfolio's correlation with an exogenous return sequence is included in the objective. LÄS MER
2. Incorporating Climate Change in the Eurosystem's Corporate Sector asset purchases : Design of a Climate Change Score
Master-uppsats, KTH/Hållbar utveckling, miljövetenskap och teknikSammanfattning : The new European Central Bank’s strategy review, unveiled in July 2021, has placed climate change at the core of its new monetary policy strategy. As climate change affects price stability through physical and transition risks, climate change considerations belong to the Eurosystem’s primary mandate. LÄS MER
3. The Performance of Stocks Earning Extreme Single-Day Returns: Evidence from Sweden
D-uppsats, Handelshögskolan i Stockholm/Institutionen för finansiell ekonomiSammanfattning : In 2011, Bali et al. presented evidence that stocks with extreme one and multi day-returns significantly underperform stocks with less extreme returns in the following month. They attributed this to investors exhibiting a preference for stocks with lottery-like payoffs. LÄS MER
4. Sort Merge Buckets: Optimizing Repeated Skewed Joins in Dataflow
Master-uppsats, KTH/Skolan för elektroteknik och datavetenskap (EECS)Sammanfattning : The amount of data being generated and consumed by today’s systems and applications is staggering and increasing at a vertiginous rate. Many businesses and entities rely on the analysis and the insights gained from this data to deliver their service. LÄS MER
5. VIX ETPs as Portfolio Diversifiers
D-uppsats, Handelshögskolan i Stockholm/Institutionen för finansiell ekonomiSammanfattning : This paper studies whether the popularity of VIX ETPs can be explained by their suitability as portfolio diversifiers for retail investors having access to a typical set of ETFs. We first carry out an analysis from the perspective of investors with a quadratic utility function by employing the mean-variance spanning test and the mean-variance criterion. LÄS MER