Sökning: "risk-managed momentum"

Hittade 5 uppsatser innehållade orden risk-managed momentum.

  1. 1. Hierarchical Clustering To Improve Portfolio Tail Risk Characteristics

    Master-uppsats, Lunds universitet/Matematisk statistik

    Författare :Adam Eidenvall; [2021]
    Nyckelord :Hierarchical Clustering; Asset Allocation; Portfolio Construction; Graph Theory; Machine Learning; Risk Parity; Regime Shift; Bootstrapping; Walk Forward; Mathematics and Statistics;

    Sammanfattning : Many agree that estimating portfolio risks has better estimation possibilities, than estimations on returns. Therefore investors attempts to construct better, more efficient riskmanaged portfolios by diversifying portfolios through factors rather than traditional asset classes. LÄS MER

  3. 2. Avoiding crashes: Exploring risk-managed Momentum strategies

    Magister-uppsats, Lunds universitet/Företagsekonomiska institutionen

    Författare :Jasmin Sunner; Marc Seppi; [2021]
    Nyckelord :momentum; risk-managed Momentum strategies; momentum crashes; Business and Economics;

    Sammanfattning : The momentum effect is a persistent and stable phenomenon, achieving very high abnormal returns, which could not yet be explained by conventional pricing models. However, this very high returns are punctuated by extreme strategy crashes leading to high losses, for which investors need decades to recover from. LÄS MER

  4. 3. Risk-Managed Momentum Strategy Using Support Vector Machines

    D-uppsats, Handelshögskolan i Stockholm/Institutionen för nationalekonomi

    Författare :Patrick Schneeberger; [2018]
    Nyckelord :Financial Market; Investment Decisions; Momentum Strategy; Support Vector Machines;

    Sammanfattning : Investment decisions are difficult to make, given the uncertainty about the future. For the purpose of reducing that uncertainty, I investigate, for one, how the consumer price index and the return on the 3-month US Treasury bill can be used by support vector machines to make monthly directional trend predictions of a value-weighted portfolio of stocks traded at AMEX, NYSE and NASDAQ. LÄS MER

  5. 4. Risk-Managed Momentum in Europe

    Magister-uppsats, Lunds universitet/Nationalekonomiska institutionen

    Författare :Anton Nizov; [2017]
    Nyckelord :momentum; momentum crashes; risk-managed momentum; Business and Economics;

    Sammanfattning : This thesis sets out to evaluate a risk-managed momentum strategy in the European stock market. The recent performance of momentum in Europe is first evaluated. A momentum premium still exists in Europe but the strategy suffered large losses in 2009. LÄS MER

  7. 5. Risk Managed Time Series Momentum

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

    Författare :Sutian Ming; Richard Eidestedt; [2015]
    Nyckelord :momentum crash; time series momentum; time-varying risk; optionality;

    Sammanfattning : This paper aims to investigate the crashes of time series momentum and to explore a systematic approach that mitigates the crashes of this strategy. Similar to cross-sectional momentum, time series momentum is also prone to severe drawdowns subsequent of a market decline when market volatility is high, contemporaneous with market reversals. LÄS MER