Sökning: "Skewness"

Visar resultat 1 - 5 av 103 uppsatser innehållade ordet Skewness.

  1. 1. 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. 2. 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. 3. 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. 4. Womens's Opportunities within the Audit Industry in San José, Costa Rica : an interview study of Costa Rican women's experiences

    Magister-uppsats, Högskolan i Borås/Akademin för textil, teknik och ekonomi

    Författare :Stina Ytterberg; Anna Grimsdal; [2023]
    Nyckelord :Audit industry; Female career opportunities; Gender discrimination; Glass ceiling; Costa Rica;

    Sammanfattning : The purpose of this study is to fill the gap identified in how women perceive their opportunities to advance in their careers as auditors in San José, Costa Rica. This study also seeks to get answers to what it is like to work as a woman in a male-dominated industry in the chosen country. LÄS MER

  7. 5. Texture Analysis and Ultra high-frequency ultrasound in use for diagnosing Hirschsprung's disease

    Kandidat-uppsats, Lunds universitet/Avdelningen för Biomedicinsk teknik

    Författare :Sophia Klarén; Jonathan Jedhammar; [2023]
    Nyckelord :Hirschsprung s disease; Aganglionosis; UHF ultrasound; Texture analysis; Nakagami; Skewness; Kurtosis; Technology and Engineering;

    Sammanfattning : An investigation into the use of statistical texture analysis in combination with ultra high-frequency ultrasound for diagnosing Hirschsprung’s disease (HD); An illness that manifests itself through the absence of ganglia cells in lower parts of the intestine. Current diagnostic techniques carry a higher risk of long-term consequences in newborns and children which enables a new avenue of research into new methods. LÄS MER