Sökning: "portfolio turnover"

Visar resultat 1 - 5 av 32 uppsatser innehållade orden portfolio turnover.

1. 1. Can Machine Be a Good Stock Picker?: Bridging the Gap between Fundamental Data and Machine Learning

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

   Författare :Tomoya Narita; Povilas Stankevicius; [2023]
   Nyckelord :Machine Learning; XGBoost; Relative Valuation; Convergence Trade;

   Sammanfattning : We investigate the efficacy of historical accounting data and consensus forecasts for relative valuation of stocks, employing tree-based machine learning methods. We run an XGBoost model for monthly cross-sections of financial and pricing data of US equities from 1984 to 2021. LÄS MER

3. 2. Black-Litterman Model for Portfolio Performance Enhancement - An Out-Of-Sample Evaluation of the Black-Litterman Model on a U.S. Stock-Dominated Portfolio

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

   Författare :Christoffer Hellekant; Rasmus Olofsson; [2022-02-15]
   Nyckelord :;

   Sammanfattning : In this thesis, the Black-Litterman model is evaluated out-of-sample and compared to mean-variance and naïve allocation. Two references are implemented in the Black-Litterman framework, the minimum-variance and naive portfolios. The study complements previ-ous work by considering a stock-dominated portfolio, where all assets are from the U.S. LÄS MER

4. 3. Liquidity and its effect on asset returns

   Master-uppsats, Uppsala universitet/Företagsekonomiska institutionen

   Författare :Philip Mafi; Linnéa Wilhelmsson; [2022]
   Nyckelord :Asset-pricing; illiquidity premium; liquidity factor;

   Sammanfattning : With data covering 20 years, we test three different liquidity measures' explanatory power in explaining asset returns on the Swedish stock market, and if an illiquidity premium exists. After establishing whether an illiquidity premium exists or not, we test whether the asset pricing models CAPM and the Fama-French three-factor model can benefit from including a liquidity factor. LÄS MER

5. 4. Hierarchical Clustering in Risk-Based Portfolio Construction

   Master-uppsats, KTH/Matematisk statistik

   Författare :Natasha Nanakorn; Elin Palmgren; [2021]
   Nyckelord :Portfolio construction; asset allocation; risk-based asset allocation; hierarchical clustering; agglomerative clustering; hierarchical risk parity; risk; volatility; Portföljallokering; portföljhantering; portföljmetoder; riskbaserad portföljallokering; hierarkisk klustring; agglomerativ klustring; risk; volatilitet;

   Sammanfattning : Following the global financial crisis, both risk-based and heuristic portfolio construction methods have received much attention from both academics and practitioners since these methods do not rely on the estimation of expected returns and as such are assumed to be more stable than Markowitz's traditional mean-variance portfolio. In 2016, Lopéz de Prado presented the Hierarchical Risk Parity (HRP), a new approach to portfolio construction which combines hierarchical clustering of assets with a heuristic risk-based allocation strategy in order to increase stability and improve out-of-sample performance. LÄS MER

7. 5. Momentum and Trend in Sweden: Enhancing profits and limiting downside risk by using indicators from different time horizons

   Master-uppsats, Göteborgs universitet/Graduate School

   Författare :Alan Dari Lindahl; Jan Wiki; [2020-07-07]
   Nyckelord :momentum; momentum crash; echo; trend; moving averages; cross-section; downside risks; predictability; factor models; turnover; transaction costs;

   Sammanfattning : Although being one of the most robust anomalies ever discovered, the momentum factor occasionally suffer big losses during market recessions periods. We apply and compare different factor models, and find that when sorting the momentum factor on prior 2-6 months it earns a higher average monthly return compared to the common sorting on prior 2-12 months. LÄS MER