Sökning: "variance ratio test"
Visar resultat 1 - 5 av 24 uppsatser innehållade orden variance ratio test.
- Kandidat-uppsats, Göteborgs universitet/Institutionen för nationalekonomi med statistik
Sammanfattning : This thesis investigates whether the Swedish stock market shows signs of weak form efficiency between January 2012 and January 2019. Weekly data is gathered from the OMXSPI and from three indices of different capitalization segments, namely Large cap, Mid cap and Small cap. LÄS MER
- Kandidat-uppsats, Lunds universitet/Nationalekonomiska institutionen
Sammanfattning : This thesis utilizes mean-variance analysis and Sharpe-ratio optimization to explore the possibilities of adding cryptocurrencies to enhance portfolio performance. While earlier such research has focused on Bitcoin alone, this study examines 17 of the largest cryptocurrencies, selected based on their market capitalization. LÄS MER
- Master-uppsats, Lunds universitet/Matematisk statistik
Sammanfattning : This is a M.Sc. thesis investigating the compatibility and performance of a regime switching framework as a complement to the Black-Litterman portfolio allocation model. Conclusively, it is considered to be a compatible match of models in terms of practical implementation and the results indicate that the model is performing well. LÄS MER
- D-uppsats, Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi
Sammanfattning : This paper studies whether the popularity of VIX ETPs can be explained by their suitability as portfolio diversifiers for retail investors having access to a typical set of ETFs. We first carry out an analysis from the perspective of investors with a quadratic utility function by employing the mean-variance spanning test and the mean-variance criterion. LÄS MER
5. En jämförelse mellan kvantitativ och traditionell fondförvaltning - Är det dags for algoritmerna att ta över fondförvaltningen?Kandidat-uppsats, Lunds universitet/Nationalekonomiska institutionen
Sammanfattning : The purpose of this thesis is to compare quantitative management of stock-funds versus traditional management as a fundamental strategy, for a period of 10-years between 2007- 2017. Our essay has a special focus towards extreme market-conditions, which we defined as deviations of 5% in the MSCI World Index. LÄS MER