Essays about: "Expected return forecasting"

Showing result 1 - 5 of 8 essays containing the words Expected return forecasting.

  1. 1. Portfolio Performance Optimization Using Multivariate Time Series Volatilities Processed With Deep Layering LSTM Neurons and Markowitz

    University essay from KTH/Matematisk statistik

    Author : Aron Andersson; Shabnam Mirkhani; [2020]
    Keywords : Recurrent Neural network RNN ; long short-term memory LSTM ; portfolio optimization; markowitz; exponential moving average; sharpe ratio; heteroskedasticity; Markowitz;

    Abstract : The stock market is a non-linear field, but many of the best-known portfolio optimization algorithms are based on linear models. In recent years, the rapid development of machine learning has produced flexible models capable of complex pattern recognition. READ MORE

  3. 2. A Study on the Low Volatility Anomaly in the Swedish Stock Exchange Market : Modern Portfolio Theory

    University essay from Linköpings universitet/Nationalekonomi; Linköpings universitet/Fysik och elektroteknik

    Author : George Abo Al Ahad; Denis Gerzic; [2017]
    Keywords : Fama and Macbeth; Fama and French; Low Volatility Anomaly; Stock; Market; Portfolio Theory; CAPM; Econometrics; Expected return forecasting;

    Abstract : This study investigates, with a critical approach, if portfolios consisting of high beta stocks yields more than portfolios consisting of low beta stocks in the Swedish stock exchange market. The chosen period is 1999-2016, covering both the DotCom Bubble and the financial crisis of 2008. READ MORE

  4. 3. Expected value premium: Evidence from combined Nordic markets

    University essay from Lunds universitet/Nationalekonomiska institutionen

    Author : Ana Milkic; Anh Dau; [2017]
    Keywords : value premium; expected returns; expected dividend yield; Nordic market; Business and Economics;

    Abstract : Accumulated empirical research has evidenced the existence of value premium, which refers to the return gap between value and growth stocks. Our paper aims to investigate this phenomenon for Nordic market by estimating expected return from its fundamentals, dividends and earnings. READ MORE

  5. 4. Finding Value Through Sustainable Performance : A cross-sectional study of the relationship between risk-adjusted return and Environmental, Social and Governance performance on the Indian stock market

    University essay from Umeå universitet/Företagsekonomi

    Author : Christoffer Johansson; Petter Lundström; [2015]
    Keywords : ESG; India; Risk-adjusted return; Screening; Efficient markets;

    Abstract : Problem background and discussion: Emerging countries economies are growing substantially; one of these is India which stock market has been one of the best performing in the world in recent years. Analysts are forecasting further development and some claims that India has the most business- and investment-stimulating political leaders in the world. READ MORE

  6. 5. A Modified Sharpe Ratio Based Portfolio Optimization

    University essay from KTH/Matematisk statistik

    Author : Pär Lorentz; [2012]
    Keywords : Modified Sharpe Ratio; Portfolio Optimization; Transaction Cost; Conditional Forecasting; Performance Analysis; Transition Probability; Stochastic Count Process; Value-at-Risk;

    Abstract : The performance of an optimal-weighted portfolio strategy is evaluated when transaction costs are penalized compared to an equal-weighted portfolio strategy. The optimal allocation weights are found by maximizing a modified Sharpe ratio measure each trading day, where modified refers to the expected return of an asset in this context. READ MORE