Essays about: "Out-of-sample analysis"
Showing result 11 - 15 of 53 essays containing the words Out-of-sample analysis.
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11. Risk Measurement and Performance Attribution for IRS Portfolios Using a Generalized Optimization Method for Term Structure Estimation
University essay from Linköpings universitet/ProduktionsekonomiAbstract : With the substantial size of the interest rate markets, the importance of accurate pricing, risk measurement and performance attribution can not be understated. However, the models used on the markets often have underlying issues with capturing the market's fundamental behavior. READ MORE
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12. Hierarchical Clustering in Risk-Based Portfolio Construction
University essay from KTH/Matematisk statistikAbstract : Following the global financial crisis, both risk-based and heuristic portfolio construction methods have received much attention from both academics and practitioners since these methods do not rely on the estimation of expected returns and as such are assumed to be more stable than Markowitz's traditional mean-variance portfolio. In 2016, Lopéz de Prado presented the Hierarchical Risk Parity (HRP), a new approach to portfolio construction which combines hierarchical clustering of assets with a heuristic risk-based allocation strategy in order to increase stability and improve out-of-sample performance. READ MORE
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13. Myth Busted: Stock Return Anomalies Revisited
University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomiAbstract : Research has uncovered over 450 anomaly factors that exhibit stock return predictability. However, after anomalies are published and studied in successive literature, the return predictability often seems to attenuate or disappear. READ MORE
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14. Index prediction on the Swedish stock market using natural language processing methods on Swedish news
University essay from Lunds universitet/Matematisk statistikAbstract : This master thesis explores if topic modelling and sentiment analysis on Swedish financial newspaper data can be used to predict the direction of the Swedish stock market. A pipeline was set up where full length articles as well as article summaries were fed into a topic model and a sentiment analysis model. READ MORE
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15. Tidying up the factor zoo: Using machine learning to find sparse factor models that predict asset returns.
University essay from Göteborgs universitet/Institutionen för nationalekonomi med statistikAbstract : There exist over 300 firm characteristics that provide significant information about average asset return. John Cochrane refers to this as a “factor zoo” and challenges researchers to find the independent characteristics which can explain average return. READ MORE
