Sökning: "asset allocation strategies"

Visar resultat 1 - 5 av 28 uppsatser innehållade orden asset allocation strategies.

  1. 1. Portfolio Strategies Under Different Inflationary Regimes

    Master-uppsats, KTH/Matematik (Avd.)

    Författare :Mohit Parkash; Diana Halladgi Naghadeh; [2023]
    Nyckelord :Inflation; Regression Analysis; Portfolio Optimization; Markowitz; Efficient Frontier; Asset Allocation; Portfolio Management; Financial Mathematics; Inflation; Regressionsanalys; Portföljoptimering; Markowitz; Effektiv Front; Tillgångsallokering; Portföljförvaltning; Finansiell Matematik;

    Sammanfattning : In 2023, the topic of ongoing inflation is being discussed almost daily as it has become inevitable. The global economy is facing significant uncertainty and downward pressure as several leading developed nations adopted expansionary fiscal policies and quantitative easing monetary policies during the pandemic. LÄS MER

  3. 2. A Quantitative Framework for Constructing a Multi-Asset CTA with a Momentum-Based Approach

    Uppsats för yrkesexamina på avancerad nivå, Uppsala universitet/Datalogi

    Författare :Rebecca Fällström; [2023]
    Nyckelord :Commodity trading advisors; CTA; trend-following; momentum strategies; risk parity; equally weighted; Markowitz weights; optimization;

    Sammanfattning : Commodity Trading Advisors (CTAs) have gained popularity due to their abilities to generate an absolute return strategy. Little is known about how CTAs work and what variables are important to tune in order to create a profitable strategy. LÄS MER

  4. 3. ESG scores´ effect on investment strategies : How does Dogs of Dow and The Magic Formula´s performance get effected when weighted according to their ESG score? 

    Kandidat-uppsats, Linnéuniversitetet/Institutionen för ekonomistyrning och logistik (ELO)

    Författare :Oscar Johnsson; Elias Henriksson; [2022]
    Nyckelord :Dogs of Dow; the Magic Formula; ESG score; Investment strategy; Asset Allocation; Socially responsible investing; Stockholm large cap; CAPM; Stock market;

    Sammanfattning : This thesis investigates the two investment strategies Dogs of Dow and The Magic Formula. We test how the strategies perform when getting weighted to ESG scores and also if they outperform OMXSPI during the years 2012-2022. LÄS MER

  5. 4. AP-fondernas investeringsstrategier i fastigheter

    Master-uppsats, Lunds universitet/Fastighetsvetenskap

    Författare :Gabriel Bring; Lova Bildstein-Hagberg; [2021]
    Nyckelord :Public pension funds; Real estate investment; Investment strategy; Diversification; Direct real estate; Indirect real estate; Technology and Engineering;

    Sammanfattning : Since 2010 the first, second, third and fourth Swedish public pension funds (AP-funds)have drastically increased their exposure towards real estate. The AP-funds have done this through starting and acquiring private property companies. With these companies,the funds have gradually increased their real estate assets. LÄS MER

  7. 5. Gold – a hedge, safe haven or a diversifier - A comparison between the Swedish and the American financial market

    Kandidat-uppsats, Göteborgs universitet/Institutionen för nationalekonomi med statistik

    Författare :Johannes Schmidt; Mikael Westerbäck; [2020-02-21]
    Nyckelord :Efficient frontier; investments strategies; Sharpe Ratio; gold; stocks; bonds; hedge; safe haven; portfolio analysis;

    Sammanfattning : The purpose of this study is to investigate the role of gold as a financial asset and comparing the result between the American and the Swedish financial market. Using time series data for monthly and daily returns of S&P500, OMXS30, American 10-year bonds, Swedish 10-year bonds, oil and gold this study analyzes if gold has been a hedge, safe have or a diversifier for Swedish and American stocks and bonds the last 20 years. LÄS MER