Sökning: "risk indexing"

Hittade 2 uppsatser innehållade orden risk indexing.

  1. 1. A  smart beta investment strategy to make risk more transparent : A quantitative study as a contribute to lowering the systemic risk, without sacrifice of return.

    Kandidat-uppsats, Mittuniversitetet/Avdelningen för ekonomivetenskap och juridik

    Författare :Fredrik Kristoffersson; [2017]
    Nyckelord :Smart beta; smart beta strategy; portfolio strategy; risk transparency; indexing investing; CAPM; Stockholmsbörsen; systemic risk;

    Sammanfattning : This study have focused on the creation of a smart beta investment strategy to make risks in terms of beta for individual assets more transparent, and to explore if the constructed portfolios risk in terms of standard deviation significantly gets lower than for different benchmark indexes. The strategy could be used for investors who want to decrease their contribution to systemic risk, without sacrificing return. LÄS MER

  2. 2. Can algorithmic trading beat the market? : An experiment with S&P 500, FTSE 100, OMX Stockholm 30 Index

    Magister-uppsats, Högskolan i Jönköping/IHH, Economics, Finance and StatisticsHögskolan i Jönköping/IHH, Nationalekonomi

    Författare :Ilya Kiselev; [2012]
    Nyckelord :Algorithmic trading; high-frequency trading; investment strategy;

    Sammanfattning : The research at hand aims to define effectiveness of algorithmic trading, comparing with different benchmarks represented by several types of indexes. How big returns can be gotten by algorithmic trading, taking into account the costs of informational and trading infrastructure needed for robot trading implementation?To get the result, it’s necessary to compare two opposite trading strategies:1) Algorithmic trading (implemented by high-frequency trading robot (based on statistic arbitrage strategy) and trend-following trading robot (based on the indicator Exponential Moving Average with the Variable Factor of Smoothing))2) Index investing strategy (classical index strategies “buy and hold”, implemented by four different types of indexes: Capitalization weight index, Fundamental indexing, Equal-weighted indexing, Risk-based indexation/minimal variance). LÄS MER