Sökning: "rebalancing"
Visar resultat 1 - 5 av 57 uppsatser innehållade ordet rebalancing.
1. Analyst Recommendations and Stock Returns Evaluating the performance of Nordic markets based on analyst consensus recommendations, and the impact of MiFID II
Kandidat-uppsats,Sammanfattning : This study evaluates the performance of equity analysts who cover publicly traded stocks in the Nordic markets. To assess their performance, we employ a method that involves creating daily rebalanced portfolios based on the consensus recommendation for each covered company over four years. LÄS MER
2. Exchange Rate and Equity Market Dependence under Shifts in Volatility Expectations
Master-uppsats, Lunds universitet/Matematisk statistikSammanfattning : Exchange rate movements have important implications for both policy makers and investors, as they can have large effects on the real economy and the return on investments. Lately, their relation to capital flows have attracted growing interest due to the failure of macroeconomic fundamentals to explain them. LÄS MER
3. A Quantitative Framework for Constructing a Multi-Asset CTA with a Momentum-Based Approach
Uppsats för yrkesexamina på avancerad nivå, Uppsala universitet/DatalogiSammanfattning : 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. Quantitative Investment Strategies on the Swedish Stock Market
Kandidat-uppsats, Mälardalens universitet/Akademin för utbildning, kultur och kommunikationSammanfattning : This thesis explores the implementation of three quantitative investment strategies – the dividend yield strategy, the EV/EBITDA strategy, and the momentum strategy – within the Swedish stock market using Equal-Weighted Portfolios (EWP) and Value-Weighted Portfolios(VWP). The analysis is based on backtesting during the periods 2009 − 2022, 2001 − 2022, and 1992 − 2022, for each strategy respectively. LÄS MER
5. Steel yourselves : Effects of a price cap sanction on Russian steel
Kandidat-uppsats, Uppsala universitet/Nationalekonomiska institutionenSammanfattning : This thesis examines the potential effects of a price cap sanction on semi-finished steel products against the Russian steel industry. The research question is: "What are the effects on the Russian economy of a price cap on semi-finished steel products?”. LÄS MER