Sökning: "risk weights"

Visar resultat 1 - 5 av 115 uppsatser innehållade orden risk weights.

  1. 1. Unveiling the Impact of ESG Ratings on Risk-Adjusted Returns : Evidence from European Companies

    Master-uppsats, Uppsala universitet/Företagsekonomiska institutionen

    Författare :David Melin; Otta Alexander; [2023]
    Nyckelord :ESG; Sustainability; Risk-adjusted return; Risk factor; Factor model; Portfolio; Europe;

    Sammanfattning : This study uses a sample of 600 companies from Europe to investigate the risk-adjusted returns of four portfolios with high and low ESG ratings between 2011 and 2021. Four asset pricing models and additional measures for risk and return are tested on different portfolio weights. LÄS MER

  3. 2. Analysing the Optimal Fund Selection and Allocation Structure of a Fund of Funds

    Master-uppsats, KTH/Matematik (Avd.)

    Författare :Idun Cederberg; Ida Cui; [2023]
    Nyckelord :Master Thesis; Financial Mathematics; Fund of Funds; Portfolio Optimization; Mean Variance Optimization; Masterexamensarbete; finansiell matematik; fond i fond; portföljoptimering; modern portföljteori;

    Sammanfattning : This thesis aims to investigate different types of optimization methods that can be used when optimizing fund of fund portfolios. Moreover, the thesis investigates which funds that should be included and what their respective portfolio weights should be, in order to outperform the Swedish SIX Portfolio Return Index. LÄS MER

  4. 3. 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

  5. 4. Pre-study for SMR and Nuclear Establishment in Norway

    Master-uppsats, Lunds universitet/Institutionen för energivetenskaper

    Författare :Johan Stefan Nordström; [2023]
    Nyckelord :Energy mapping; Nuclear power; SMR; small modular reactors; siting; Norway; Energy; Technology and Engineering;

    Sammanfattning : Norway has Europe’s highest share of renewable electricity production and the lowest power sector emissions. Thanks to the country’s stable power production, Norway has affordable and stable access to electricity, leading to industries choosing to relocate to the country. LÄS MER

  7. 5. Evaluation and Selection of Routes for Automated Road Freight Vehicles : Using the analytical hierarchy process (AHP) to evaluate andselect potential routes for automated driving systems (ADS) in the road freight industry when considering the operational design domain (ODD) and strategic criteria

    Master-uppsats, KTH/Produktionsutveckling

    Författare :Jan Kauper; [2023]
    Nyckelord :;

    Sammanfattning : Researchers anticipate the road freight industry to be among the first ones to integrate automated driving systems (ADS) in their operations. Matching the driving capabilities with suitable routes is pivotal for deploying ADS at early stages. LÄS MER