Sökning: "Sharpe Ratio and Trading"

Visar resultat 21 - 25 av 28 uppsatser innehållade orden Sharpe Ratio and Trading.

  1. 21. Smart Beta - index weighting

    Master-uppsats, KTH/Matematisk statistik

    Författare :Oscar Blomkvist; [2015]
    Nyckelord :Smart beta; portfolio optimization; Sharpe ratio; equal weights; diversification; fundamental analysis; P E-ratio; performance; risk; trading cost; market impact.; Smart beta; portföljoptimering; Sharpe-kvot; likaviktad; diversifiering;

    Sammanfattning : This study is a thesis ending a 120 credit masters program in Mathematics with specialization Financial Mathematics and Mathematical Statistics at the Royal Institute of Technology (KTH). The subject of Smart beta is defined and studied in an index fund context. LÄS MER

  3. 22. On Pairs Trading : A Comparison between Cointegration and Correlation as Selection-criteria

    Kandidat-uppsats, Uppsala universitet/Statistiska institutionen

    Författare :Erik Hognesius; Jakob Höllerbauer; [2014]
    Nyckelord :Pairs trading; Cointegration; Correlation; Simulation Study; NASDAQ100; Parhandel; Kointegration; Korrelation; Simuleringsstudie; NASDAQ100;

    Sammanfattning : In this paper we show that pairs of stocks which have a true long run equilibrium (cointegration) yield a higher return than pairs of stocks that relies on a more spurious relationship (correlation) when applying Pairs Trading for a trading period from 31/12-09 to 25/6-14. We get an annual return for the cointegration portfolio of 4,15%, with a Sharpe-ratio of 0,87. LÄS MER

  4. 23. Analysis of Moving Average Convergence Divergence(MACD) as a Tool of Equity Trading at the Karachi Stock Exchange

    Magister-uppsats, Blekinge Tekniska Högskola/Sektionen för management

    Författare :Abdul Waheed; [2013]
    Nyckelord :Finance; Equity Trading;

    Sammanfattning : The study is an effort to analyse Moving Average Convergence Divergence (MACD) as a tool of equity trading at the Karachi Stock Exchange.Technical Analysis is one of the methods that provide basis for decision making in equity trading.MACD is one of the variables of Technical Analysis. LÄS MER

  5. 24. A Modified Sharpe Ratio Based Portfolio Optimization

    Magister-uppsats, KTH/Matematisk statistik

    Författare :Pär Lorentz; [2012]
    Nyckelord :Modified Sharpe Ratio; Portfolio Optimization; Transaction Cost; Conditional Forecasting; Performance Analysis; Transition Probability; Stochastic Count Process; Value-at-Risk;

    Sammanfattning : The performance of an optimal-weighted portfolio strategy is evaluated when transaction costs are penalized compared to an equal-weighted portfolio strategy. The optimal allocation weights are found by maximizing a modified Sharpe ratio measure each trading day, where modified refers to the expected return of an asset in this context. LÄS MER

  7. 25. The Performance of Technical Analysis : A case study in Chinese domestic A share

    Magister-uppsats, Handelshögskolan vid Umeå universitet

    Författare :Haoming Geng; Cheng Wang; [2010]
    Nyckelord :Technical analysis; Chinese stock market; Moving average; Trading range breakout; Sharpe ratio; mean return;

    Sammanfattning : In this thesis, we conduct a case study by applying simple technical trading rules on Chinese stock market. The technical trading rules we tested are moving average rules and trading range breakout rules. The stock indices we tested are SSE A (Shanghai A) and SZSE (Shenzhen A) share, these shares are limited to the Chinese domestic traders. LÄS MER