Sökning: "downside deviation"

Visar resultat 1 - 5 av 7 uppsatser innehållade orden downside deviation.

  1. 1. ESG and Risk-Adjusted Performance : A study on equity funds under Swedish management during the COVID-19 pandemic

    Kandidat-uppsats, Södertörns högskola/Nationalekonomi

    Författare :Clarissa Mao; Jawid Safa; [2022]
    Nyckelord :Socially responsible investment; ESG; Risk-adjusted performance; portfolio risk and standard deviation;

    Sammanfattning : This research study examines the risk-adjusted performance and portfolio risk of 60 large cap equity funds - mutual funds - under Swedish management. These funds apply environmental, social and governance criteria in their investment strategies. LÄS MER

  3. 2. Downside risk: is downside risk being priced in the U.S. stock market?

    Kandidat-uppsats,

    Författare :Raouf Bahsoun; Arsalan Hakimi; [2020-07-06]
    Nyckelord :Excess kurtosis; skewness; Value-at-Risk; Expected shortfall; semi deviation; downside beta; Sortino ratio; Fama-French three-factor model; Fama French Five Factor model; Carhart four-factor model; q-four factor model; q-five factor model; asset pricing; U.S. stock market;

    Sammanfattning : This paper aims to add further research to the field of downside risk, and downside risk measures’ influence on the average returns in the U.S. stock market. LÄS MER

  4. 3. Downside deviation as a measure of identifying underperforming assets

    Kandidat-uppsats, KTH/Skolan för teknikvetenskap (SCI)

    Författare :Alfred Askeljung; Andreas Möller; [2020]
    Nyckelord :;

    Sammanfattning : Quantitative approaches to achieving excess return are becoming increasingly popular as computational capabilities increase. Today, the main issue at hand is the development of accurate and reliable models for predicting the return of individual instruments. LÄS MER

  5. 4. A Performance Evaluation of Black Swan Investments.

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

    Författare :Fabian Brunåker; Andreas Nordqvist; [2013-07-04]
    Nyckelord :Black Swans; fat tails; standard deviation; mean reversion; investment strategy; downside deviation; extreme market movements;

    Sammanfattning : This thesis evaluates an investment strategy that involves investing in ten out of the 30 most traded stocks listed on the Stockholm Stock Exchange, exploiting the market’s reaction to unpredicted events, so called Black Swans. By investing in ten of the stocks with the largest price change after days with extreme negative returns and ten of the stocks with the least change in price after extreme positive returns, the strategy outperforms the market. LÄS MER

  7. 5. Varför kriminell? : En kvalitativ studie om unga mäns väg in i kriminaliteten

    Kandidat-uppsats, Institutionen för samhällsvetenskaper

    Författare :Anna Ottosson; Sofia Nilsson; [2013]
    Nyckelord :Unga män; kriminalitet; svår uppväxt; socialt kapital;

    Sammanfattning : I denna studie används en kvalitativ metod i form av intervjuer med fem unga män som har ett kriminellt förflutet. Syftet med studien är att ta reda på vilka faktorer som kan ha påverkat dessa unga män in i en kriminell livsstil. LÄS MER