Sökning: "Sharpe-ratio"

Visar resultat 6 - 10 av 299 uppsatser innehållade ordet Sharpe-ratio.

  1. 6. Robust Portfolio Optimization with Correlation Penalties

    Master-uppsats, KTH/Matematisk statistik

    Författare :Pelle Nydahl; [2023]
    Nyckelord :Portfolio Optimization; Portfolio Allocation; Robust Optimization; Correlation; Risk Factor Model; EMA Filtering; Weighted Linear Regression; Portföljoptimering; Portföljallokering; Robust optimering; Korrelation; Riskfaktor-modell; EMA-filtrering; Viktad linjär regression;

    Sammanfattning : 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

  3. 7. Socially Responsible and Financially Rewarding: The Relationship Between ESG and Stock Market Returns

    D-uppsats, Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

    Författare :Kristian Eklund; Felix Freiherr von Uslar-Gleichen; [2023]
    Nyckelord :ESG Performance; ESG Index; Index Returns; Sustainable Finance; Systematic Risk;

    Sammanfattning : We study the link between the ESG-performance of 20 OECD countries and the excess returns of their major stock indices between 2005 and 2015. Our research shows a significant positive relationship between the two metrics. LÄS MER

  4. 8. Do Stocks Outperform Treasury Bills? Evidence From a Swedish Setting

    C-uppsats, Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

    Författare :Anton Li; Ricky Yu; [2023]
    Nyckelord :Individual stocks; Treasury bills; Skewness; Buy-and-hold returns; Diversification;

    Sammanfattning : Most Swedish stocks listed since 1983 post lifetime buy-and-hold returns that are less than one-month Swedish Treasury bills. In terms of risk-adjusted returns for the same time horizon, individual Swedish stocks vastly underperform value-weighted benchmarks when measured with a Sharpe ratio. LÄS MER

  5. 9. Predicting the Movement of the S&P 500 Index using Machine Learning

    Magister-uppsats, Lunds universitet/Nationalekonomiska institutionen; Lunds universitet/Statistiska institutionen

    Författare :Bakary Bah; [2023]
    Nyckelord :Machine Learning; S P 500 Index; Random Forest; Logistic Regression; Business and Economics;

    Sammanfattning : Predicting the stock market has been a longstanding topic of interest in financial research. It is regarded as a highly challenging but important task given the vital role the financial markets play in shaping the global economies. In this thesis, the goal is to predict the movement of the S&P 500 Index using machine learning methods. LÄS MER

  7. 10. The Performance of Growth Stocks Compared to Value Stocks : – A Study Conducted on the Swedish and Danish Stock Market

    Magister-uppsats, Jönköping University/Internationella Handelshögskolan

    Författare :Philip He Voong; Niels Larsen; [2023]
    Nyckelord :;

    Sammanfattning : Background: Most investors strive to achieve the same goal with their investments, maximize returns and profits. However, the approach deviates as there are many alternatives on the stock markets. Preferences such as the amount of risk also influences an investor’s selection of stocks. LÄS MER